Information in (and not in) the Term Structure

By G. Duffee. 2011

323 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/1029938fdc07718444983a8484a6f352b61fc32a

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Citations in the corpus

Out-of-Sample Predictions of Bond Excess Returns and Forward Rates: An Asset Allocation Perspective (2010, unknown): “Du¤ee and Stanton (2008) also show that the high persistence of interest rates has important implications for the preferred method used to estimate term structure models.”
The Effectiveness of Alternative Monetary Policy Tools in a Zero Lower Bound Environment (2011, methodology): “Estimation of such equations by OLS, as we have done, rather than imposing the cross-equation restrictions of the complete 6- or 7-factor affine term structure model has been shown to make little difference for the resulting forecasts in other applications (Duffee (2011)).”
Estimation of Affine Term Structure Models with Spanned or Unspanned Stochastic Volatility (2014, background): “Example #2: Hidden factors Recently, Duffee(2011) argued that more than three factors are needed to explain the time-series dynamics of yields and risk premia, where these additional factors are “hidden” from the cross-section of yields because the factors are not priced.”
A Factor Analysis of Bond Risk Premia (2009, background): “For example, Zt could include the individual forward rates studied in Fama and Bliss (1987), the single forward factor studied in Cochrane and Piazzesi (2005), or other predictor variables based on a few macroeconomic series.”
Forecasting with the term structure: The role of no-arbitrage restrictions (2011, methodology): “• The ﬁve-factor Gaussian model of Duﬀee (2011) This model tightly restricts risk premia dynamics.”
Sharpe ratios in term structure models (2010, background): “For general Gaussian models this requirement is satisﬁed, although Duﬀee (2008) notes that in special cases B is singular.”
Uncertainty Shocks as Second-Moment News Shocks (2017, background): “Duffee (2011), 10 for example, shows that in a standard class of affine term structure models, true expectations are spanned by market prices except in knife-edge cases, even under arbitrary specifications for risk premia.”
Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks (2013, unknown): “Independently, Duffee (2011) proposes a latent factor (yields-only) model for accommodating unspanned risks in bond markets.4 We formally derive a canonical form for MTSMs with unspanned information that affects expected excess returns, and provide a convenient normalization that ensures…”
Testable Implications of Affine Term Structure Models (2011, methodology): “We find that a specification 1On the other hand, Duffee (2011) found that the ATSM cross-section restrictions don’t and shouldn’t help with forecasting.”
Properties of Foreign Exchange Risk Premiums (2012, background): “The first building block of the global economy are two domestic factors (X1t, X2t)t>0 structure models with latent factors, see Duffee (2002, 2006, 2011) and Bikbov and Chernov (2010, 2011).”
Decomposing real and nominal yield curves (2016, unknown): “The estimator may be viewed as a generalization of the Fama and MacBeth (1973) procedure allowing for time varying prices of risk (see also Adrian, Crump, and Moench (2014)).”
The Cross-Section of Credit Risk Premia and Equity Returns (2013, background): “Similarly, Duffee (2011) argues that there is a hidden factor that has predictive power but is unspanned by ATSMs.”