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All HBS Web
(61)
- Research (56)
- Faculty Publications (23)
- 10 Jan 2012
- First Look
First Look: January 10
bonds varies predictably over time. We also find strong evidence that the spread between the nominal and the real bond risk premium, or the breakeven inflation risk premium, also varies over time. We argue...
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Sean Silverthorne
- 27 May 2009
- First Look
First Look: May 27, 2009
Finally, the long-run risks model implies extremely low yields and negative-term premia on inflation-indexed bonds. Download the paper from SSRN ($5): http://papers.nber.org/papers/W14788 Measuring the...
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Martha Lagace
- 23 Jan 2018
- First Look
First Look at New Research and Ideas, January 23, 2018
Journal of Econometrics Scenario Generation for Long Run Interest Rate Risk Assessment By: Engle, Robert F., Guillaume Roussellet, and Emil N. Siriwardane Abstract—We propose a statistical model of the term structure of U.S. treasury...
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Sean Silverthorne
- 19 May 2015
- First Look
First Look: May 19
decreased volatility of supply shocks and increased volatility of the Fed's long-run inflation target. Endogenous responses of bond risk premia amplify these effects of monetary policy on bond risks....
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Sean Silverthorne
- 11 Oct 2016
- First Look
October 11, 2016
the standard inflationary bias. With countercyclical inflation, investors require risk premia on nominal debt, making nominal debt issuance costly for low credibility governments. We provide empirical...
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Sean Silverthorne
- 24 Mar 2009
- First Look
First Look: March 24, 2009
estimates around 10 can match observed risk premia for the wealthiest stockholders across sets of test assets that include the 25 Fama and French size and value portfolios, the market portfolio, bond...
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Martha Lagace
- 12 Jul 2011
- First Look
First Look: July 12
debt issuers deteriorates during credit booms, and that this deterioration forecasts low excess returns to corporate bondholders. The key insight is that changes in the pricing of credit risk disproportionately affect the financing costs...
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Carmen Nobel
- 25 Jul 2006
- First Look
First Look: July 25, 2006
Authors:Jakub Wojciech Jurek and Luis M. Viceira Revised Working Paper Author's Abstract We develop an analytical solution to the dynamic portfolio choice problem of an investor with power utility defined over wealth at a finite horizon who faces an investment...
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Sean Silverthorne
- 27 Jan 2015
- First Look
First Look: January 27
not had lower costs of equity (lower stock returns), consistent with a stock market anomaly previously documented in other samples. A calibration suggests that a binding 10 percentage point increase in Tier 1 capital to risk-weighted assets could double banks' View Details
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Sean Silverthorne
- 13 Apr 2010
- First Look
First Look: April 13
problem of an investor with power utility defined over wealth at a finite horizon, who faces a time-varying investment opportunity set, parameterized using a flexible vector autoregression. We apply this framework to study the horizon...
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Martha Lagace
- 01 Jul 2014
- First Look
First Look: July 1
short-term debt against the refinancing risk implied by the need to roll over its debt more often. We then extend the model to allow private financial intermediaries to compete with the government in the provision of short-term,...
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Carmen Nobel
- 01 Mar 2016
- First Look
March 1, 2016
sentiment proxies indicate that credit risk is aggressively priced, this tends to be followed by a subsequent widening of credit spreads, and the timing of this widening is, in turn, closely tied to the onset of a contraction in economic...
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Sean Silverthorne
- 14 Mar 2017
- First Look
First Look at New Research, March 14
https://pubwww.hbs.edu/faculty/Pages/item.aspx?num=52405 forthcoming Critical Finance Review Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds By: Campbell, John Y., Adi Sunderam, and Luis M. Viceira Abstract—The...
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Sean Silverthorne
- 25 Mar 2014
- First Look
First Look: March 25
anti-inflationary stance, while the more recent decrease in bond risks after 1997 is attributed primarily to an increase in the persistence of monetary policy interacting with continued shocks to the central bank's inflation target....
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Sean Silverthorne
- 29 Jan 2013
- First Look
First Look: Jan. 29
some cases down to the source code level. Our study thus extends the concept of IP modularity to comprise the notion of hierarchy levels. Working PapersInflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds...
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Sean Silverthorne
- 21 Jan 2014
- First Look
First Look: January 21
in bond risk premia. Specifically, bond risk premia are high when aggregate MBS duration is high. The model offers an explanation for why long-term rates may appear to be...
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Sean Silverthorne
- 29 Apr 2014
- First Look
First Look: April 29
more anti-inflationary stance, while the more recent decrease in bond risks after 1997 is attributed primarily to a renewed emphasis on output stabilization and an increase in the persistence of monetary policy. Endogenous responses of...
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Sean Silverthorne
- 10 Jun 2002
- Research & Ideas
How to Look at Globalization Now
the extra costs (not directly borne by the global producer) and risks of cross-border operation continue to be very significant. As a result, the net price premia, adjusted for risk, available to producers of globally standardized...
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by Martha Lagace
- 22 Apr 2008
- First Look
First Look: April 22, 2008
market looked behind "the thin film of gold." Our results point to a dichotomy: whereas country-risk premia fell after gold adoption in developed countries, there were no credibility gains in the volatile economic and political...
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Martha Lagace
- 20 Feb 2008
- First Look
First Look: February 20, 2008
middlemen and defaulted on their loans. The risk of such events may explain, at least partly, why many seemingly more profitable export crops are not adopted. Download the paper: http://www.hbs.edu/research/pdf/08-065.pdf Catering through...
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Martha Lagace