The DOI matches its Crossref record; 2 of the 2 references it cites were found in a registry or an index.
Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks
Open accessAbstract
This paper quantifies how variation in economic activity and inflation in the United States influences the market prices of level, slope, and curvature risks in Treasury markets. We develop a novel arbitrage‐free dynamic term structure model in which bond investment decisions are influenced by output and inflation risks that are unspanned by (imperfectly correlated with) information about the shape of the yield curve. Our model reveals that, between 1985 and 2007, these risks accounted for a large portion of the variation in forward terms premiums, and there was pronounced cyclical variation in the market prices of level and slope risks.
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Cites
By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior
Campbell, J. Y., & Cochrane, J. H. (1999) · Journal of Political Economy · doi:10.1086/250059 · Cited by 5,210
An Historical Analysis of Monetary Policy Rules
Taylor, J. (1998) · doi:10.3386/w6768 · Cited by 657
Cited by
The Signaling Channel for Federal Reserve Bond Purchases
Francisco, F. R. B. O. S., Bauer, M. D., Rudebusch, G. D., & Francisco, F. R. B. O. S. (2013) · Federal Reserve Bank of San Francisco, Working Paper Series · doi:10.24148/wp2011-21 · Cited by 303
Term structure models and the zero bound: An empirical investigation of Japanese yields
Kim, D. H., & Singleton, K. J. (2012) · Journal of Econometrics · doi:10.1016/j.jeconom.2011.12.005 · Cited by 281
Self-citationRecovery Capacity of Small Nonprofits in Post-2017 Hurricane Puerto Rico
Chandrasekhar, D., García, I., & Khajehei, S. (2022) · Journal of the American Planning Association · doi:10.1080/01944363.2021.1938637 · Cited by 19
Metadata
- Authors
- JOSLIN, S., PRIEBSCH, M., & SINGLETON, K. J.
- Venue
- The Journal of Finance
- Publisher
- Wiley
- Published
- 2014-05-08
- Volume
- 69
- Issue
- 3
- Pages
- 1197-1233
- ISSN
- 0022-1082 (ISSN-L)
- 1540-6261
- OpenAlex
- W2140667952
- Cited by
- 585
- References
- 2
- FWCI
- 87.25
- Type
- journal article
- Language
- en
- Open access
- green
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- JOSLIN, S., PRIEBSCH, M., & SINGLETON, K. J. (2014). Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks. The Journal of Finance. https://doi.org/10.1111/jofi.12131
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
