The bond yield conundrum: alternative hypotheses and the state of the economy
We study the bond yield conundrum in a macro-finance framework. Building upon a flexible and non-structural macro-finance model, we test the hypothesis that the bond yield conundrum is connected to various sources of uncertainty in the financial markets. Moreover we explicitly test for the role of the state of the economy. Our findings give a richer description of the drivers of the term premium yet the conundrum remains. The results in this paper indicate that the underlying observable drivers of the term premium are not yet fully understood.
|Date of creation:||Oct 2010|
|Date of revision:|
|Contact details of provider:|| Postal: |
Phone: 44 - 20 - 7183 8801
Fax: 44 - 20 - 7183 8820
|Order Information:|| Email: |
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Glenn D. Rudebusch & Eric T. Swanson & Tao Wu, 2006.
"The bond yield "conundrum" from a macro-finance perspective,"
Working Paper Series
2006-16, Federal Reserve Bank of San Francisco.
- Glenn D. Rudebusch & Eric T. Swanson & Tao Wu, 2006. "The Bond Yield "Conundrum" from a Macro-Finance Perspective," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 24(S1), pages 83-109, December.
- Ben S. Bernanke & Jean Boivin & Piotr Eliasz, 2004.
"Measuring the effects of monetary policy: a factor-augmented vector autoregressive (FAVAR) approach,"
Finance and Economics Discussion Series
2004-03, Board of Governors of the Federal Reserve System (U.S.).
- Ben Bernanke & Jean Boivin & Piotr S. Eliasz, 2005. "Measuring the Effects of Monetary Policy: A Factor-augmented Vector Autoregressive (FAVAR) Approach," The Quarterly Journal of Economics, MIT Press, vol. 120(1), pages 387-422, January.
- Ben S. Bernanke & Jean Boivin & Piotr Eliasz, 2004. "Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach," NBER Working Papers 10220, National Bureau of Economic Research, Inc.
- Malcolm Baker & Jeffrey Wurgler, 2007.
"Investor Sentiment in the Stock Market,"
NBER Working Papers
13189, National Bureau of Economic Research, Inc.
- Chauvet, Marcelle & Piger, Jeremy, 2008.
"A Comparison of the Real-Time Performance of Business Cycle Dating Methods,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 26, pages 42-49, January.
- Marcelle Chauvet & Jeremy M. Piger, 2005. "A comparison of the real-time performance of business cycle dating methods," Working Papers 2005-021, Federal Reserve Bank of St. Louis.
- Andrew Ang & Sen Dong, 2005.
"No-Arbitrage Taylor Rules,"
2005 Meeting Papers
22, Society for Economic Dynamics.
- Gulasekaran Rajaguru & Tilak Abeysinghe, 2004.
"Quarterly real GDP estimates for China and ASEAN4 with a forecast evaluation,"
Journal of Forecasting,
John Wiley & Sons, Ltd., vol. 23(6), pages 431-447.
- Tilak Abeysinghe & Gulasekaran Rajaguru, 2003. "Quarterly Real GDP Estimates for China and ASEAN4 with a Forecast Evaluation," Departmental Working Papers wp0404, National University of Singapore, Department of Economics.
- Ravi Bansal & Hao Zhou, 2002.
"Term Structure of Interest Rates with Regime Shifts,"
Journal of Finance,
American Finance Association, vol. 57(5), pages 1997-2043, October.
- Ravi Bansal & Hao Zhou, 2001. "Term structure of interest rates with regime shifts," Finance and Economics Discussion Series 2001-46, Board of Governors of the Federal Reserve System (U.S.).
- Carlo Ambrogio Favero & Massimilano Marcellino & Francesca Neglia, .
"Principal components at work: The empirical analysis of monetary policy with large datasets,"
223, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Massimiliano Marcellino & Carlo A. Favero & Francesca Neglia, 2005. "Principal components at work: the empirical analysis of monetary policy with large data sets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(5), pages 603-620.
- Eijffinger, Sylvester C W & Geraats, Petra M, 2002.
"How Transparent are Central Banks?,"
CEPR Discussion Papers
3188, C.E.P.R. Discussion Papers.
- Eijffinger, S.C.W. & Geraats, P., 2006. "How transparent are central banks?," Other publications TiSEM b34dfb1f-520f-4787-a08f-5, Tilburg University, School of Economics and Management.
- Eijffinger, S.C.W. & Geraats, P.M., 2004. "How Transparent Are Central Banks?," Cambridge Working Papers in Economics 0411, Faculty of Economics, University of Cambridge.
- Ben S. Bernanke & Vincent R. Reinhart & Brian P. Sack, 2004.
"Monetary Policy Alternatives at the Zero Bound: An Empirical Assessment,"
Brookings Papers on Economic Activity,
Economic Studies Program, The Brookings Institution, vol. 35(2), pages 1-100.
- Ben S. Bernanke & Vincent R. Reinhart & Brian P. Sack, 2004. "Monetary policy alternatives at the zero bound: an empirical assessment," Finance and Economics Discussion Series 2004-48, Board of Governors of the Federal Reserve System (U.S.).
- John H. Boyd & Jian Hu & Ravi Jagannathan, 2005.
"The Stock Market's Reaction to Unemployment News: Why Bad News Is Usually Good for Stocks,"
Journal of Finance,
American Finance Association, vol. 60(2), pages 649-672, 04.
- John H. Boyd & Ravi Jagannathan & Jian Hu, 2001. "The Stock Market's Reaction to Unemployment News: Why Bad News is Usually Good for Stocks," NBER Working Papers 8092, National Bureau of Economic Research, Inc.
- Basistha, Arabinda & Kurov, Alexander, 2008. "Macroeconomic cycles and the stock market's reaction to monetary policy," Journal of Banking & Finance, Elsevier, vol. 32(12), pages 2606-2616, December.
When requesting a correction, please mention this item's handle: RePEc:cpr:ceprdp:8063. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ()The email address of this maintainer does not seem to be valid anymore. Please ask to update the entry or send us the correct address
If references are entirely missing, you can add them using this form.