Arbeitspapier
Decomposing the yield curve with linear regressions and survey information
The decomposition of bond yields into term premiums and average expected future short rates is impaired by the limited availability of information about the dynamics of the expectations component. Therefore, many studies require the model-implied average expected future short rates to be close to short rate expectations from surveys. In this paper, I restrict the variance of changes in model-implied average expected future short rates to match the variance of changes in short rate expectations from surveys. The variance of changes in survey expectations is relatively similar across markets and thus provides a reliable source of additional information about the expectation formation of investors. Technically, I impose a nonlinear restriction to the term structure model of Adrian, Crump, and Moench (2013). I show that typical small sample problems of term structure estimations can be mitigated if the restriction on the variance of changes is imposed. However, the analysis also makes a case for unrestricted estimations if they are based on a dataset with a typical sample length in macro finance, though.
- ISBN
-
978-3-95729-835-5
- Sprache
-
Englisch
- Erschienen in
-
Series: Deutsche Bundesbank Discussion Paper ; No. 27/2021
- Klassifikation
-
Wirtschaft
Interest Rates: Determination, Term Structure, and Effects
Financial Markets and the Macroeconomy
- Thema
-
Affine Term Structure Models
Empirical Finance
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Halberstadt, Arne
- Ereignis
-
Veröffentlichung
- (wer)
-
Deutsche Bundesbank
- (wo)
-
Frankfurt a. M.
- (wann)
-
2021
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Halberstadt, Arne
- Deutsche Bundesbank
Entstanden
- 2021
Ähnliche Objekte (12)
Decomposing the yield curve with linear regressions and survey information
The (ir)relevance of the nominal lower bound for real yield curve analysis
Pricing the Bund term structure with linear regressions – without an observable short rate
Pricing the Bund term structure with linear regressions : without an observable short rate
Time-dependent pricing and New Keynesian Phillips curve
Financial frictions,the Phillips curve and monetary policy
The imperfect-common-knowledge Phillips curve: Calvo versus Rotemberg
Forecasting the price of crude oil via convenience yield predictions
Unconventional monetary policy, bank lending, and security holdings: The yield-induced portfolio rebalancing channel
The New Keynesian Phillips Curve in Europe: does it fit or does it fail?
Foreign direct investment, spillovers and absorptive capacity: evidence from quantile regressions
U-MIDAS: MIDAS regressions with unrestricted lag polynomials
Decomposing the yield curve with linear regressions and survey information
The (ir)relevance of the nominal lower bound for real yield curve analysis
Pricing the Bund term structure with linear regressions – without an observable short rate
Pricing the Bund term structure with linear regressions : without an observable short rate
Time-dependent pricing and New Keynesian Phillips curve
Financial frictions,the Phillips curve and monetary policy
The imperfect-common-knowledge Phillips curve: Calvo versus Rotemberg
Forecasting the price of crude oil via convenience yield predictions
Unconventional monetary policy, bank lending, and security holdings: The yield-induced portfolio rebalancing channel
The New Keynesian Phillips Curve in Europe: does it fit or does it fail?
Foreign direct investment, spillovers and absorptive capacity: evidence from quantile regressions
U-MIDAS: MIDAS regressions with unrestricted lag polynomials
Decomposing the yield curve with linear regressions and survey information
The (ir)relevance of the nominal lower bound for real yield curve analysis
Pricing the Bund term structure with linear regressions – without an observable short rate
Pricing the Bund term structure with linear regressions : without an observable short rate
Time-dependent pricing and New Keynesian Phillips curve
Financial frictions,the Phillips curve and monetary policy
The imperfect-common-knowledge Phillips curve: Calvo versus Rotemberg
Forecasting the price of crude oil via convenience yield predictions
Unconventional monetary policy, bank lending, and security holdings: The yield-induced portfolio rebalancing channel
The New Keynesian Phillips Curve in Europe: does it fit or does it fail?
Foreign direct investment, spillovers and absorptive capacity: evidence from quantile regressions