A Model-Free Term Structure of U.S. Dividend Premiums

2018 ◽  
Author(s):  
Maxim Ulrich ◽  
Stephan Florig ◽  
Christian Wuchte
Keyword(s):  
Term Structure ◽  
Free Term ◽  
Model Free

scholarly journals Central Bank Credibility During COVID-19: Evidence from Japan

2021 ◽  
pp. 01-38
Author(s):  
Jens H. E. Christensen ◽  
◽  
Mark M. Spiegel ◽  
Keyword(s):  
Fiscal Policy ◽  
Term Structure ◽  
Inflation Expectations ◽  
Free Term ◽  
Structure Model ◽  
Term Structure Model ◽  
Policy Responses ◽  
Expected Inflation ◽  
Monetary And Fiscal Policy ◽  
Central Bank Credibility

Japanese realized and expected inflation has been below the Bank of Japan’s two percent target for many years. We use the exogenous COVID-19 pandemic shock to examine the efficacy of monetary and fiscal policy responses for elevating inflation expectations from an arbitrage-free term structure model of nominal and real yields. We find that monetary and fiscal policy announcements during this period failed to lift inflation expectations, which instead declined notably and are projected to only slowly revert back to levels far below the announced target. Hence, our results illustrate the challenges faced in raising well-anchored low inflation expectations.

Arbitrage-Free Nelson-Siegel

2013 ◽  
Author(s):  
Francis X. Diebold ◽  
Glenn D. Rudebusch
Keyword(s):  
Time Series ◽  
Term Structure ◽  
Cross Section ◽  
Yield Curve ◽  
Factor Loading ◽  
Free Term ◽  
New Class ◽  
Free Model ◽  
Theoretical Dimension ◽  
Dns Model

This chapter discusses a new class of affine arbitrage-free models that overcome the problems with empirical implementation of the canonical affine arbitrage-free model. This new class is based on the dynamic Nelson–Siegel model (DNS) and retains its empirical tractability. Thus, from one perspective, the chapter takes the theoretically rigorous but empirically problematic affine arbitrage-free model and makes it empirically tractable by incorporating DNS elements. From an alternative perspective, it takes the DNS model and makes it theoretically more satisfactory. DNS is simple and stable to estimate, and it is quite flexible and fits both the cross section and time series of yields remarkably well. However, DNS fails on an important theoretical dimension: It does not impose the restrictions necessary to eliminate opportunities for riskless arbitrage. The lack of freedom from arbitrage motivated Diebold et al. (2005) and Christensen et al. (2011) to introduce the class of arbitrage-free Nelson–Siegel (AFNS) yield curve models, which are affine arbitrage-free term structure models that nevertheless maintain the DNS factor-loading structure.

The term structure of S&P 100 model-free volatilities

2013 ◽  
Vol 13 (7) ◽  
pp. 1041-1058 ◽  
Author(s):  
Kian-Guan Lim ◽  
Christopher Ting
Keyword(s):  
Term Structure ◽  
Model Free
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