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Essays on the term structure of interest rates.

Record Type:	Language materials, manuscript : Monograph/item
Title/Author:	Essays on the term structure of interest rates./
Author:	Liu, Rui.
Description:	1 online resource (230 pages)
Notes:	Source: Dissertation Abstracts International, Volume: 78-09(E), Section: A.
Subject:	Finance. -
Online resource:	click for full text (PQDT)
ISBN:	9781369768954

Essays on the term structure of interest rates.
Liu, Rui.

Essays on the term structure of interest rates. - 1 online resource (230 pages)

Source: Dissertation Abstracts International, Volume: 78-09(E), Section: A.

Thesis (Ph.D.)--University of Houston, 2017.

Includes bibliographical references

This dissertation consists of three essays on the term structure of interest rates. In the first essay, I provide evidence on the existence of unspanned macro risk. I investigate the usefulness of unspanned macro information for forecasting bond risk premia in a macro-finance term structure model from the perspective of a bond investor. I account for model uncertainty by combining forecasts with and without unspanned output and inflation risks optimally from the forecaster's objective, and I take advantage of the no-arbitrage condition by imposing risk premium restrictions for the purpose of forecasting. Incorporating macro information generates significant gains in forecasting bond risk premia relative to yield curve information at long forecast horizons, especially when allowing for time-varying combination weight. These gains in predictive accuracy significantly improve investor utility.

Electronic reproduction.
Ann Arbor, Mich. :
ProQuest,
2018

Mode of access: World Wide Web

ISBN: 9781369768954Subjects--Topical Terms:

559073
Finance.
Index Terms--Genre/Form:

554714
Electronic books.

Essays on the term structure of interest rates.
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245 1 0 $a Essays on the term structure of interest rates.
264 0 $c 2017
300 $a 1 online resource (230 pages)
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500 $a Source: Dissertation Abstracts International, Volume: 78-09(E), Section: A.
500 $a Adviser: Kris Jacobs.
502 $a Thesis (Ph.D.)--University of Houston, 2017.
504 $a Includes bibliographical references
520 $a This dissertation consists of three essays on the term structure of interest rates. In the first essay, I provide evidence on the existence of unspanned macro risk. I investigate the usefulness of unspanned macro information for forecasting bond risk premia in a macro-finance term structure model from the perspective of a bond investor. I account for model uncertainty by combining forecasts with and without unspanned output and inflation risks optimally from the forecaster's objective, and I take advantage of the no-arbitrage condition by imposing risk premium restrictions for the purpose of forecasting. Incorporating macro information generates significant gains in forecasting bond risk premia relative to yield curve information at long forecast horizons, especially when allowing for time-varying combination weight. These gains in predictive accuracy significantly improve investor utility.
520 $a Cochrane and Piazzesi (2005) and Duffee (2011a) find that information not captured by traditional term structure factors helps predict excess bond returns. The second essay shows that when estimating no-arbitrage affine term structure models, aligning in-sample and out-of-sample objective functions results in term structure factors that capture similar information that remains hidden from existing approaches. Specifically, the estimates of the third term structure factor radically differ. Consistent with Cochrane and Piazzesi (2005), this factor confirms the importance of the fourth principal component of yields for forecasting the term structure. The new objective function leads to substantial improvements in forecasting performance. Model term premiums are higher and expected future short rates are lower.
520 $a The third essay proposes a no-arbitrage term structure model with a Taylor rule and two macroeconomic variables, real activity growth and inflation, that each contain long-run and short-run components. Variance decompositions and impulse responses indicate that the impact of macroeconomic variables on the term structure differs from existing models. For short maturities, inflation is relatively more important than real activity growth at short forecast horizons. For longer maturity yields, the long-run component of inflation explains most of the long-horizon forecast variance, but real activity growth matters for short forecast horizons. Unlike existing macro models, the model implies plausible term premia and expectations of short rates. The long-run components also improve the prediction of bond excess returns relative to information in the yield curve and macro variables. Measures of in-sample and out-of-sample fit confirm the benefits of allowing for long- and short-run components.
533 $a Electronic reproduction. $b Ann Arbor, Mich. : $c ProQuest, $d 2018
538 $a Mode of access: World Wide Web
650 4 $a Finance. $3 559073
655 7 $a Electronic books. $2 local $3 554714
690 $a 0508
710 2 $a ProQuest Information and Learning Co. $3 1178819
710 2 $a University of Houston. $3 845547
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=10597385 $z click for full text (PQDT)