WebAug 5, 2024 · We show that accounting for government debt and distortionary taxes help the New Keynesian model match the level of the nominal term premium with a lower relative … WebJan 1, 2016 · Abstract. We show that uncertainty of monetary policy (MPU) commands a risk premium in the US Treasury bond market. Using the news based MPU measure in Baker, Bloom, and Davis (2016) to capture ...
Bond Risk Premia - Stanford University
Web3 hours ago · Inflation Components. Energy prices have been falling since last June, driven by the decline in WTI crude prices from a 2024 high of over $120/barrel to the current level of about $75-$80 per ... Webeconomists and fiscal policy makers alike. If government bond yields include risk premia, increasing indebtedness may cause bond yields to go up, thus raising the cost of borrowing and imposing discipline on governments. Market discipline of this kind may be especially relevant and important in a monetary union, such as EMU, in which the alfalfa square bale price
EconPapers: Fiscal policy driven bond risk premia - Research …
WebWe explore an important role of monetary-fiscal policy interactions in explaining three stylized facts: (1) a positive correlation of stock and bond returns in 1971-2001 and a negative one after 2001, (2) a negative correlation of consumption and inflation in 1971-2001 and a positive one after 2001, and (3) the coexistence of a positive bond risk … WebEconomic and Monetary Union (EMU) on risk premia in Eurozone government bond mar-kets and show that it is important to control for institutional change when assessing EMU's effects on the responsiveness of risk premia to fiscal fundamentals. Second, we assess the impact of good institutions on risk premia. We focus both on the role of the ... WebFiscal policy matters for bond risk premia. Empirically, government spending level and uncertainty predict bond excess returns, as well as term structure level and slope … alfalfa song to darla lyrics