A Preferred-Habitat Model of the Term Structure of Interest Rates

By Dimitri Vayanos, Jean-Luc Vila. 2009

166 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/1128d54af6de5e3dc0aad3be0614c17ce6daa456

Citations in the corpus

• Understanding Inflation-Indexed Bond Markets (2009, unknown): “As Viceira (2003) and Vayanos and Vila (2007) explain, FRS 17 requires UK pension funds to mark their liabilities to market, using discount rates derived from government bonds.”
• The Financial Market Impact of Quantitative Easing in the United Kingdom (2012, unknown): “More recently, using a partial equilibrium approach, Vayanos and Vila (2009) propose a theoretical model of preferred habitat, in which bond prices are determined through the activities of risk-averse arbitrageurs and preferred-habitat investors.”
• Deviations from Covered Interest Rate Parity (2018, unknown): “Likewise, models of market and funding liquidity, as in Brunnermeier and Pedersen (2009), or models of preferred habitat, as in Vayanos and Vila (2009) and Greenwood or Vayanos (2014), are potential theoretical frameworks to account for the CIP deviations.”
• A capital structure channel of monetary policy (2018, unknown): “…analyze bond issuance yields around the introduction of the CSPP. Motivated by theories that emphasize the importance of LSAPs on asset prices (e.g. Vayanos and Vila, 2009, Greenwood, Hanson, and Stein, 2010; Krishnamurthy and Vissing-Jorgensen, 2013), we hypothesize that the CSPP announcement…”
• Transmission of Quantitative Easing: The Role of Central Bank Reserves (2016, unknown): “The seminal model of Vayanos and Vila (2009), which is the main reference in the literature used to provide the theoretical foundation of portfolio bal- 1See also Joyce et al. (2011), Hamilton and Wu (2012), Thornton (2012), and Neely (2013) for discussions.”
• The Effectiveness of Alternative Monetary Policy Tools in a Zero Lower Bound Environment (2011, unknown): “In the next section we develop a discrete-time version of the framework recently proposed by Vayanos and Vila (2009).”
• Anticipated and repeated shocks in liquid markets (2013, unknown): “…auctions’ temporary price impact in the secondary Treasury markets, both before and after auctions taking place, as well as their spillover effects across maturities and across markets.15 Our results are generally consistent with the market segmentation view modeled in Vayanos and Vila (2009).”
• Limits of Arbitrage (2010, unknown): “In Vayanos & Vila (2009) and Greenwood & Vayanos (2010b), arbitrageurs absorb shocks to the demand and supply of government bonds with specific maturities, and hedge by trading bonds with other maturities.”
• The Federal Reserve's Large‐Scale Asset Purchase Programmes: Rationale and Effects (2012, unknown): “Recently, Vayanos and Vila (2009) have offered more rigorous foundations for this approach within a term-structure model with two types of investors.”
• Bond Liquidity Premia (2012, unknown): “The preferred-habitat model of Vayanos and Vila (2009) suggests that risk-averse or capital-constrained arbitrageurs may not successfully align the yields of similar bonds with different ages in the case”
• Extracting inflation expectations and inflation risk premia from the term structure: a joint model of the UK nominal and real yield curves (2010, unknown): “market heterogeneity into a partial equilibrium model, see eg Vayanos and Vila (2007) ).”
• What are the Macroeconomic Effects of Asset Purchases (2016, unknown): “…presence of financial frictions, such as imperfect substitutability between long and short bonds (Harrison, 2012) or preferred habitat investors (Vayanos and Vila, 2009), economic theory does suggest that a rise in asset purchases will lead to a fall in the interest rate on long-term bonds, by…”
• The Effects of Quantitative Easing on Interest Rates (2011, unknown): “QE2, which does not involve MBS purchases, does not affect MBS yields. f. Default Risk Channel Lower grade bonds such as Baa bonds carry higher default risk than Treasury bonds.”