Speculative dynamics in the term structure of interest rates

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Nimark, Kristoffer. Speculative dynamics in the term structure of interest rates. 2009
To cite or link this document: http://hdl.handle.net/10230/6062
dc.contributor.author Nimark, Kristoffer
dc.contributor.other Universitat Pompeu Fabra. Departament d'Economia i Empresa
dc.date.issued 2009-12-01
dc.identifier.uri http://hdl.handle.net/10230/6062
dc.description.abstract When long maturity bonds are traded frequently and rational traders have non-nested information sets, speculative behavior arises. Using a term structure model displaying such speculative behavior, this paper demonstrates that (i) dispersion of expectations about future short rates is sufficient for individual traders to systematically predict excess returns and (ii) the new term structure dynamics driven by speculative trade is orthogonal to public information in real time, but (iii) can nevertheless be quantified using only publicly available yield data. Speculative dynamics are found to be quantitatively important, potentially accounting for a substantial fraction of the variation of US bond yields.
dc.language.iso eng
dc.relation.ispartofseries Economics and Business Working Papers Series; 1194
dc.rights L'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative Commons
dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.title Speculative dynamics in the term structure of interest rates
dc.type info:eu-repo/semantics/workingPaper
dc.date.modified 2016-06-04T02:51:09Z
dc.subject.keyword Macroeconomics and International Economics
dc.subject.keyword term structure of interest rates; speculative dynamics; excess returns; nonnested information; private information.
dc.rights.accessRights info:eu-repo/semantics/openAccess

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