LOGIN TO YOUR ACCOUNT

Username
Password
Remember Me
Or use your Academic/Social account:

CREATE AN ACCOUNT

Or use your Academic/Social account:

Congratulations!

You have just completed your registration at OpenAire.

Before you can login to the site, you will need to activate your account. An e-mail will be sent to you with the proper instructions.

Important!

Please note that this site is currently undergoing Beta testing.
Any new content you create is not guaranteed to be present to the final version of the site upon release.

Thank you for your patience,
OpenAire Dev Team.

Close This Message

CREATE AN ACCOUNT

Name:
Username:
Password:
Verify Password:
E-mail:
Verify E-mail:
*All Fields Are Required.
Please Verify You Are Human:
fbtwitterlinkedinvimeoflicker grey 14rssslideshare1
Cieslak, A.; Povala, Pavol
Publisher: Birkbeck College, University of London
Languages: English
Types: Book
Subjects: ems
We study information in the volatility of US Treasuries. We propose a no-arbitrage term structure model with a stochastic covariance of risks in the economy, and estimate it using high-frequency data and options. We identify volatilities of the expected short rate and of the term premium. Volatility of short rate expectations rises ahead of recessions and during stress in financial markets, while term premium volatility increases in the aftermath. Volatile short rate expectations predict economic activity independently of the term spread at horizons up to one year, and are related to measures of monetary policy uncertainty. The term premium volatility comoves with a more general level of economic policy uncertainty. We also study channels through which volatility affects model-based inference about the yield curve.

Share - Bookmark

Cite this article