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dc.contributor.authorYe, Xiaoxia*
dc.date.accessioned2017-02-14T10:32:07Z
dc.date.available2017-02-14T10:32:07Z
dc.date.issued2015
dc.identifier.citationYe X (2015) A new approach to measuring market expectations and term premia. The Journal of Fixed Income. 24(4): 22-46.en_US
dc.identifier.urihttp://hdl.handle.net/10454/11346
dc.descriptionNoen_US
dc.description.abstractThis article develops a novel approach for measuring market expectations and term premia in the term structure of interest rates. Key components of this approach are generic impact measures of state variables in a Gaussian dynamic term structure model. These measures are inherent in a particular state variable regardless of how other state variables are defined within the model. With the help of these measures, the approach gives rise to market expectations that predict yield changes well, and term premia with a legitimate impact on the forward curve. In my empirical analysis, I show the generic impact of the short rate on the yield curve, and present observations of the historical dynamics of market expectations and term premia. The calibrated model is also employed to study the impacts of recent unconventional monetary policies.en_US
dc.language.isoenen_US
dc.relation.isreferencedbyhttp://dx.doi.org/10.3905/jfi.2015.24.4.022en_US
dc.subjectTerm structure of interest rates; Market expectations; Short rate; LSAP; MEP; QE3en_US
dc.titleA New Approach to Measuring Market Expectations and Term Premiaen_US
dc.status.refereedYesen_US
dc.typeArticleen_US
dc.type.versionNo full-text in the repositoryen_US


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