Speculation and the Bond Market: An Empirical No-Arbitrage Framework

References

• Admati AR (1985) A noisy rational expectations equilibrium for multi-asset securities markets. Econometrica 53(3):629–657.Crossref, Google Scholar
• Allen F, Morris S, Shin HS (2006) Beauty contests and iterated expectations in asset markets. Rev. Financial Stud. 19(3):719–752.Crossref, Google Scholar
• Bacchetta P, van Wincoop E (2006) Can information heterogeneity explain the exchange rate determination puzzle? Amer. Econom. Rev. 96:552–576.Crossref, Google Scholar
• Barillas F (2013) Can we exploit predictability in bond markets? Working paper, Emory University, Atlanta.Google Scholar
• Barillas F, Nimark KP (2017) Speculation and the term structure of interest rates. Rev. Financial Stud. 30(11):4003–4037.Crossref, Google Scholar
• Bauer MD, Rudebusch GD, Wu JC (2012) Correcting estimation bias in dynamic term structure models. J. Bus. Econom. Statist. 30(3):454–467.Crossref, Google Scholar
• Chen H, Joslin S, Tran NK (2010) Affine disagreement and asset pricing. Amer. Econom. Rev. 100(2):522–526.Crossref, Google Scholar
• Chen H, Joslin S, Tran NK (2012) Rare disasters and risk sharing with heterogeneous beliefs. Rev. Financial Stud. 25(7):2189–2224.Crossref, Google Scholar
• Chernov M, Mueller P (2012) The term structure of inflation expectations. J. Financial Econom. 106(2):367–394.Crossref, Google Scholar
• Christiano LJ, Eichenbaum M, Evans CL (2005) Nominal rigidities and the dynamic effects of a shock to monetary policy. J. Political Econom. 113(1):1–45.Crossref, Google Scholar
• Chun AL (2011) Expectations, bond yields, and monetary policy. Rev. Financial Stud. 24(1):208–247.Crossref, Google Scholar
• Cochrane JH, Piazzesi M (2005) Bond risk premia. Amer. Econom. Rev. 95(1):138–160.Crossref, Google Scholar
• Cochrane J, Piazzesi M (2009) Decomposing the yield curve. Mimeo, University of Chicago, Chicago.Google Scholar
• Constantinides GM, Duffie D (1996) Asset pricing with heterogeneous consumers. J. Political Econom. 104(2):219–240.Crossref, Google Scholar
• Dai Q, Singleton K (2000) Specification analysis of affine term structure models. J. Finance 55(5):1943–1978.Crossref, Google Scholar
• D’Amico S, Kim DH, Wei M (2014) Tips from TIPS: The informational content of Treasury Inflation-Protected Security prices. Finance and Economics Discussion Series 2014-024, Federal Reserve Board, Washington, DC.Google Scholar
• Diamond DW, Verrecchia RE (1981) Information aggregation in a noisy rational expectations economy. J. Financial Econom. 9(3):221–235.Crossref, Google Scholar
• Duffee GR (2002) Term premia and interest rate forecasts in affine models. J. Finance 57(1):405–443.Crossref, Google Scholar
• Duffee GR (2010) Sharpe ratios in term structure models. Mimeo, Johns Hopkins University, Baltimore.Google Scholar
• Duffee GR (2011) Information in (and not in) the term structure. Rev. Financial Stud. 24(9):2895–2934.Crossref, Google Scholar
• Duffee GR (2012) Bond pricing and the macroeconomy. Constantinides G, Harris M, Stulz R, eds. Handbook of the Economics of Finance (Elsevier, Amsterdam), 907–967.Google Scholar
• Duffie D, Kan R (1996) Yield factor models of interest rates. Math. Finance 6(4):379–406.Crossref, Google Scholar
• Durbin J, Koopman SJ (2002) A simple and efficient simulation smoother for state space time series analysis. Biometrica 89(3):603–615.Crossref, Google Scholar
• Federal Reserve Board (2005) Testimony of Chairman Alan Green-span—Federal Reserve Board’s semiannual Monetary Policy Report to the Congress Before the Committee on Banking, Housing, and Urban Affairs, U.S. Senate February 16, 2005, https://www.federalreserve.gov/boarddocs/hh/2005/february/testimony.htm.Google Scholar
• Geweke J (2005) Contemporary Bayesian Econometrics and Statistics (Wiley-Interscience, Hoboken, NJ).Crossref, Google Scholar
• Greenwood R, Vayanos D (2014) Bond supply and excess bond returns. Rev. Financial Stud. 27(3):663–713.Crossref, Google Scholar
• Grossman S (1976) On the efficiency of competitive stock markets where trades have diverse information. J. Finance 31(2):573–585.Crossref, Google Scholar
• Grossman S, Stiglitz J (1980) On the impossibility of informationally efficient markets. Amer. Econom. Rev. 70(3):393–408.Google Scholar
• Gurkaynak RS, Sack B, Wright JH (2007) The U.S. Treasury yield curve: 1961 to the present. J. Monetary Econom. 54(8):2291–2304.Crossref, Google Scholar
• Hamilton JD, Wu JC (2014) Testable implications of affine term structure models. J. Econometrics 178(part 2):231–242.Crossref, Google Scholar
• Hellwig MF (1980) On the aggregation of information in competitive markets. J. Econom. Theory 22(3):477–498.Crossref, Google Scholar
• Joslin S, Priebsch M, Singleton K (2014) Risk premiums in dynamic term structure models with unspanned macro risks. J. Finance 69(3):1197–1233.Crossref, Google Scholar
• Joslin S, Singleton K, Zhu H (2011) A new perspective on Gaussian DTSMs. Rev. Financial Stud. 24(3):926–970.Crossref, Google Scholar
• Keynes JM (1936) The General Theory of Money, Interest and Employment (Palgrave Macmillan, London).Google Scholar
• Kim DH, Orphanides A (2012) Term structure estimation with survey data on interest rate forecasts. J. Financial Quant. Anal. 47(1):241–272.Google Scholar
• Leeper EM, Sims CA, Zha T (1996) What does monetary policy do? Brookings Papers Econom. Activity 1996(2):1–78.Crossref, Google Scholar
• Ludvigson S, Ng S (2009) Macro factors in bond risk premia. Rev. Financial Stud. 22(12):5027–5067.Crossref, Google Scholar
• Mankiw NG (1986) The equity premium and the concentration of aggregate shocks. J. Financial Econom. 17(1):211–219.Crossref, Google Scholar
• Nimark K (2017) Dynamic higher order expectations. 2017 Meeting Papers 1132, Society for Economic Dynamics.Google Scholar
• Piazzesi M, Salomao J, Schneider M (2013) Trend and cycle in bond premia. Unpublished manuscript, Stanford University, Stanford, CA.Google Scholar
• Sims CA (1980) Macroeconomics and reality. Econometrica 48(1):1–48.Crossref, Google Scholar
• Singleton KJ (1987) Asset prices in a time series model with disparately informed, competitive traders. Burnett WA, Singleton KJ, eds. New Approaches to Monetary Economics (Cambridge University Press, Cambridge, UK), 249–272.Crossref, Google Scholar
• Struby E (2016) Macroeconomic disagreement in treasury yields. Working paper, Carleton College, Northfield, MN.Google Scholar
• Townsend RM (1983) Forecasting the forecasts of others. J. Political Econom. 91(4):546–588.Crossref, Google Scholar
• Xiong W, Yan H (2010) Heterogeneous expectations and bond markets. Rev. Financial Stud. 23(4):1433–1466.Crossref, Google Scholar