 A Systematic View on Term PremiaChapter Chapter 4 in The Yield Curve and Financial Risk Premia, 2011, pp 83-114 from Springer Abstract: Abstract In recent years, the concept of term premia has become a focus of attention for academics, policy makers as well as the investment community. This heightened attention was initially triggered by the puzzling behavior of long-term interest rates in the Unites States and in other industrialized countries (Greenspan, 2005). The interest-rate conundrum manifested itself in stable and even falling long-term bond yields despite a reversal in the short-term FED funds cycle. Over the period between June 2004 and February 2005, the FED decided to increase the target rate by over 120 basis points. Over the same time, the 10-year treasury rate lost temporarily over 100 basis points. Among the global saving glut, declining inflation expectations, reduced global macroeconomic and financial uncertainty were cited as explanations attempts, shrinking bond term premia though were the most promising fact to capture the conundrum within a coherent macroeconomic framework (Kim and Wright, 2005; Rudebusch et al., 2006; Backus and Wright, 2007). Keywords: Central Bank; Euro Area; Default Risk; Credit Spread; Bond Yield (search for similar items in EconPapers) There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it. Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:spr:lnechp:978-3-642-21575-9_4 Ordering information: This item can be ordered from DOI: 10.1007/978-3-642-21575-9_4 Access Statistics for this chapter More chapters in Lecture Notes in Economics and Mathematical Systems from Springer |
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