term premium
Direct tests of the expectations theory of the term structure: Survey expectations, the term premium and coefficient biases
... constant term premium might be called tests of the hypothetical pure form of the ET, a time:varying term premium is not a failure of the ET, but is simply an unfortunate complication for ...
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A survey-based estimation of the Swiss franc forward term premium
... the term pre- mium is, on average, close to zero but time varying, while forecast errors are positive on ...the term premium in CHF LIBOR futures has been persistently negative between 2010 and ...a ...
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A Markov switching unobserved component analysis of the CDX index term premium
... average premium is ...maximum premium (251 basis points) on the same day, as it is reflected in the negative slope of the credit ...the term premium of the CDX 10-year – 5-year index becomes ...
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Why Do Emerging Economies Borrow Short Term?
... (short term), more than 3-year maturity and up to 6-year maturity (medium-short term), more than 6-year maturity and up to 9-year maturity (medium-long term), and more than 9-year maturity (long ...
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Short-Term Determinants of the Idiosyncratic Sovereign Risk Premium:A Regime-Dependent Analysis for European Credit Default Swaps
... CDS term premium embeds the economy-wide forward-looking default ...this term premium as the difference between sovereign CDS spreads at 10-year and 5-year ...CDS term premium ...
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Tests of the expectations hypothesis and policy reaction to the term spread: some comparative evidence
... An alternative line of research is represented by the theoretical model proposed by McCallum (1994b). The author develops a model of the interaction between the EH of the TS, a time-varying autoregressive term ...
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Calculating the Equity Risk Premium and the Risk-free Rate
... short- term bonds, known as the term ...the term premium has been about ...the term premium reduction that was made to estimate the short-term ...
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Econometric tests of the expectations theory of the term structure in New Zealand
... This chapter develops the approach that will be used to test the validity of the expectations theory using models that incorporate measures of a time-varying term premium. Th[r] ...
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WHEN THE FED YIELDS DYNAMICS AND IMPACT OF U.S. RATE RISE MAY 2015 BLACKROCK INVESTMENT INSTITUTE
... Real term premium: Holders of long-term bonds also need to be compensated for the risk that real interest rates will rise by more than expected in the ...real term premium has flipped ...
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Does The Expectations Hypothesis Explain The Term Structure Of Treasury Bond Yields In Tunisia?
... The results show the rejection of the EH for models 1 and 2: 1-year 4-year and 1-year 6-year maturity. This rejection implies that agents do not optimally use all available information to forecast short-term ...
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The term structure of illiquidity premia
... short-term premium, we see a significant impact of the bond market volatility and the stock market ...short term BUNDs. This is sensible since short term BUNDs provide high liquidity and low ...
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Group long-term care policy for members of Maccabi Healthcare Services
... are intended to supplement the cover provided by another long-term care policy held by the insured (hereinafter, the "base policy" - an individual policy, group policy through a health fund, or other group ...
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Instructor Quick Start Guide: Oxford Learning Link Direct for Cooper s The Cell: A Molecular Approach, 8 th Edition
... A: Students who are not prepared to redeem their access code or purchase access at the start of the term will have the option to activate a 14-day free trial. Additional details can be found in the Student ...
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Implicit options in life insurance: An overview
... to this process are stochastic models and supplementary scenario tests, which gen- erally lead to a much better assessment and awareness of risks through increased transparency. Besides accounting and regulation, ...
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Nonprofit/For-Profit Status and Earning Differentials in the Japanese At-home Elderly Care Industry: Evidence from Micro-level Data on Home Helpers and Staff Nurses
... introduction of the public long-term care insurance program in the 2000 (see Shimizutani and Noguchi, 2004; Mitchell et al. 2004). Before 2000, only lower-income households were eligible to receive elderly care ...
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Another look at yield spreads: Monetary policy and the term structure of interest rates
... Liquidity plays an important role in explaining how banks determine their allocation of funds. This paper analyses whether this fact can explain the term structure of interest rates and yield spreads. The paper ...
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ARIZONA. Stonewood VALU. Automobile Program
... excluded for any vehicles owned by the named driver or spouse. More than one driver can be included on the policy; however, there is a separate premium charge for each driver. Physical Damage coverages are not ...
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Asset returns and economic risk
... The objective of the empirical analysis is to ana- lyze the following two related issues: (1) the sources of economic risk that investors should track and hedge against and (2) the sign of the risk premia commanded by ...
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Interest Rate Modeling Conundrums
... fundamental term-structure modeling is to distinguish the risk-free and default-free ...volatility term of the risk-free curve needs to be (almost surely) zero at any time t if assuming the interest-rate ...
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Narrowing down the determinants of between-school segregation : an analysis of the intake to all schools in England, 1989–2011.
... short term it could offer incentives to schools taking students from disadvantaged backgrounds (the student premium in England), ensure via banding or similar processes that school intakes represent the ...
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