Fiscal policy driven bond risk premia

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August undefined, 2024

WebFiscal policy driven bond risk premia Lorenzo Bretscher Alex Hsuy Andrea Tamoniz This draft: December 29, 2024 Abstract Fiscal policy matters for bond risk premia. Empirically, … WebThe authors thank Hui Chen, Eric Leeper, Yang Liu, Deborah Lucas, Pengfei Wang, and participants in seminars and conferences at Cheung Kong Graduate School of Business, Tsinghua University’s People’s Bank of China School of …

Sovereign default risk premia, fiscal limits, and fiscal policy

WebApr 1, 2012 · We develop a closed economy model to study the interactions among sovereign risk premia, fiscal limits, and fiscal policy. The fiscal limits, which measure the government's ability to service its debt, arise endogenously from dynamic Laffer curves.The state-dependent distributions of fiscal limits depend on the growth of lump-sum … WebFiscal policy matters for bond risk premia. Empirically, government spending level and uncertainty predict bond excess returns, as well as term structure level and slope … dewalt brush trimmer battery

Monetary Policy Uncertainty and Bond Risk Premium

WebMay 1, 2024 · Fiscal policy matters for bond risk premia. Empirically, government spending level and uncertainty predict bond excess returns, as well as term structure … Webrole of fiscal institutions. After controlling for institutional changes, fiscal policy remains a significant determinant of risk premia in EMU. Better institutions are connected with … Webbond risk premia. We investigate the empirical link between scal policy and the term structure of Trea-sury yields both in the time-series and in the cross-section. To study the … dewalt buffer polisher lowes

Fiscal Policy And the Nominal Term Premium - HORVATH - 2024

Bond Risk Premia — John H. Cochrane

WebAbstract:Fiscal policy matters for bond risk premia. Empirically, government spending level and uncertainty predict bond excess returns, as well as term structure level and … WebSep 15, 2016 · Fiscal policy matters for bond risk premia. Empirically, government spending level and volatility predict excess bond returns. Shocks to government spending level … dewalt bs 1310 bandsaw specsWebSep 1, 2015 · When estimated, the model highlights a broad range of channels through which monetary policy affects risk premia and the economy, risk premia affect monetary policy and the economy, and... church lench pub

"WebMar 1, 2005 · Fiscal Policy Health Insurance Europe Media Teaching Asset Pricing BLOG. Folder: ABOUT. Back. About Me Short Bio Vita Disclosures Soaring CONTACT Bond Risk Premia. Research. Mar 1. Written By LeAnn Mae Racoma. With Monika Piazzesi. American Economic Review 95:1, 138-160 (2005). We forecast one year bond excess returns with … " - Fiscal policy driven bond risk premia

Fiscal policy driven bond risk premia

Government Debt and Risk Premia - wiki.wsb.wisc.edu

WebJan 25, 2024 · During periods of high debt, larger risk premia imply that fiscal policy is more uncertain, becomes counterproductive, and can lead to debt crises. Therefore, a high debt level makes fiscal policy riskier and less desirable. ... Fiscal policy driven bond risk premia. J Financ Econ, 138 (1) (2024), pp. 53-73. View PDF View article View in Scopus ... WebFiscal policy driven bond risk premia; Save to my profile Fiscal policy driven bond risk premia. Journal. Journal of Financial Economics. Subject. Finance. Publishing details. Journal of Financial Economics 2024 Vol 138:1 p 53-73. Authors / Editors. Bretscher L; Hsu A; Tamoni A. Publication Year.

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WebBond Risk Premia By JOHN H. C OCHRANE AND M ONIKA P IAZZESI * We study time variation in expected excess bond returns. We run regressions of one-year excess returns on initial forward rates. We Þnd that a single factor, a single tent-shaped linear combination of forward rates, predicts excess returns on one- to Þve-year maturity bonds with R ... WebFiscal policy driven bond risk premia; Save to my profile Fiscal policy driven bond risk premia. Journal. Journal of Financial Economics. Subject. Finance. Publishing details. …

WebErica X.N. Li, Tao Zha, Ji Zhang, and Hao Zhou Working Paper 2024-19 October 2024 Full text . Abstract: We incorporate regime switching between monetary and fiscal policies in … WebNov 5, 2024 · The literature thus suggests that the intensified sensitivity of sovereign risk premia to loose fiscal policy warrants caution in the use of debt-financed fiscal stimuli in times of economic and debt crises, during which investors are more likely to be risk averse. ... the change in the risk premium was most likely driven by fiscal ...

WebThis paper explores the interactions between yield curve dynamics and nominal government debt maturity operations under fiscal stress in a New Keynesian model with endogenous bond risk premia. Violations of debt maturity neutrality occur when the yield curve slope is nonzero in a fiscally-led policy regime. WebCampbell (1999) and Wachter (2006) suggest that bond and equity risk premia should covary with a slow- moving habit driven by shocks to aggregate consumption. Brandt …

WebJan 1, 2024 · Fiscal policy matters for bond risk premia. Empirically, government spending level and uncertainty predict bond excess returns, as well as term structure level and slope movements.

WebOct 20, 2009 · Without the macro factors, risk premia appear virtually acyclical, whereas with the estimated factors risk premia have a marked countercyclical component, consistent with theories that imply investors must be compensated for risks associated with macroeconomic activity. JEL dewalt buffing pads 10WebWe explore an important role of monetary-fiscal policy interactions in explaining three stylized facts: (1) a positive correlation of stock and bond returns in 1971-2001 and a negative one after 2001, (2) a negative correlation of consumption and inflation in 1971-2001 and a positive one after 2001, and (3) the coexistence of a positive bond risk … dewalt burnside dartmouthWebJan 1, 2016 · Abstract. We show that uncertainty of monetary policy (MPU) commands a risk premium in the US Treasury bond market. Using the news based MPU measure in Baker, Bloom, and Davis (2016) to capture ... dewalt buffer polisher kitWebNov 1, 2024 · We provide evidence that COVID-19 government responses stabilize sovereign bond markets and are instrumental in decreasing volatility. This effect is mainly driven by economic stimuli, such as income support and debt or contract relief. We contribute to three major fields of research. church lending apiWebturity. Long bonds’ expected excess returns load more heavily on our return-forecasting factor than do short bonds’ expected excess returns. If we wish to explain these facts with a factor risk premium (the same for all bonds) multiplied by a covariance of each bond with a shock, then we must ﬁnd a shock that aﬀects all bond returns in ... church lench schoolWebAbstract. We incorporate regime switching between monetary and fiscal policies in a general equilibrium model to explain three stylized facts: (1) the positive stock-bond return correlation from 1971 to 2000 and the negative one after 2000, (2) the negative correlation between consumption and inflation from 1971 to 2000 and the positive one ... dewalt cabinet shop newfane vtWebFiscal policy matters for bond risk premia. Empirically, government spending level and uncertainty predict bond excess returns, as well as term structure level and slope … dewalt buffer polisher dwp849x