Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks

By Scott Joslin, Marcel A. Priebsch, Kenneth J. Singleton. 2013

526 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/6937cc7f6a1460e3ac373b48d351cf78348fac76

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

In Finance

Citations in the corpus

International channels of the Fed’s unconventional monetary policy (2013, unknown): “This approach is similar to that of Joslin et al. (2012).”
MONETARY POLICY UNCERTAINTY AND ECONOMIC FLUCTUATIONS: MONETARY POLICY UNCERTAINTY AND ECONOMIC FLUCTUATIONS (2017, unknown): “We also follow Joslin, Priebsch, and Singleton(2014) and assume the macro factors mt are unspanned.”
Term Premia and Inflation Uncertainty: Empirical Evidence from an International Panel Dataset: Comment (2014, methodology): “3 Another possibility is to restrict the risk pricing as in Joslin, Priebsch, and Singleton (2012) and Bauer (2011), and in this way to use the information in the cross-section of interest rates to pin down the VAR parameters.”
Bond Risk Premia with Machine Learning∗ (2018, unknown): “Yet, recent studies show that there is substantial information about future excess returns that is not embedded in the current yield curve (see, e.g., Cooper and Priestley, 2008, Ludvigson and Ng, 2009, Duffee, 2011b, Joslin et al., 2014, Cieslak and Povala (2015), and Gargano et al., 2017).”
International Bond Risk Premia (2013, unknown): “Joslin et al. (2010) develop a term-structure model in which macro risk is unspanned by bond yields.”
The Signaling Channel for Federal Reserve Bond Purchases (2013, unknown): “Other event studies include Joyce et al. (2011), Neely (2012), Krishnamurthy and Vissing-Jorgensen (2011), and Swanson (2011).”
The Term Structure of Interbank Risk (2012, unknown): “Alternative approaches to restricting risk premiums include using various information criteria to select the optimal specification as in Joslin, Priebsch, and Singleton (2010) and adopting a Bayesian framework as in Bauer (2011).”
A New Perspective on Gaussian Dynamic Term Structure Models (2011, unknown): “In this case, the forecasts of future yields implied by a GDTSM are in principle different than those from an unrestricted V AR, and we investigate the empirical relevance of these constraints within three-factor (N = 3) GDTSMs. Additionally, we show that our canonical form allows for computationall”