Interest rate volatility, the yield curve, and the macroeconomy / Scott Joslin, Yaniv Konchitchki (Record no. 361356)
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| fixed length control field | 01389nam a22001817a 4500 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION | |
| fixed length control field | 190323b xxu||||| |||| 00| 0 eng d |
| 022 ## - INTERNATIONAL STANDARD SERIAL NUMBER | |
| International Standard Serial Number | 0304-405X |
| 245 ## - TITLE STATEMENT | |
| Title | Interest rate volatility, the yield curve, and the macroeconomy / Scott Joslin, Yaniv Konchitchki |
| Statement of responsibility, etc | Scott Joslin, Yaniv Konchitchki |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT) | |
| Place of publication, distribution, etc | Amsterdam |
| Name of publisher, distributor, etc | Elsevier |
| Date of publication, distribution, etc | May 2018 |
| 300 ## - PHYSICAL DESCRIPTION | |
| Extent | Pages 344-362 |
| 440 ## - SERIES STATEMENT/ADDED ENTRY--TITLE | |
| Title | Journal of Financial Economics |
| Volume number/sequential designation | 128 (2) |
| International Standard Serial Number | 0304-405X |
| 500 ## - GENERAL NOTE | |
| General note | Abstract<br/>This paper provides theory and evidence that a low-dimensional term structure model can simultaneously price bonds and related options. It shows that a component of volatility risk largely unrelated to the shape of the yield curve is a determinant of expected excess returns for holding long maturity bonds. It also finds evidence for this return relationship both in the model and directly in the data through regression analysis. The paper also identifies a link between corporate earnings performance and interest rate volatility, providing a channel driving interest rate volatility. The structure of risk in the model that gives rise to these features of volatility is distinct from that inherent in recent models with unspanned stochastic volatility. |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | Macro-finance term structure model |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | Interest rate volatility |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | No-arbitrage model |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | Macroeconomy |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) | |
| Source of classification or shelving scheme | Library of Congress Classification |
| Item type | Periodicals |
| Withdrawn status | Lost status | Source of classification or shelving scheme | Damaged status | Home library | Current library | Shelving location | Date acquired | Total Checkouts | Date last seen | Price effective from | Koha item type |
|---|---|---|---|---|---|---|---|---|---|---|---|
| Library of Congress Classification | College Library | College Library | Periodical Section | 03/23/2019 | 03/23/2019 | 03/23/2019 | Periodicals |