RT Journal Article
SR Electronic
T1 Measuring Bond Investors’ Risk Appetite Using the Interest Rate Term Structure
JF The Journal of Investing
FD Institutional Investor Journals
SP 115
OP 127
DO 10.3905/joi.2019.28.6.115
VO 28
IS 6
A1 Michael J. Howell
YR 2019
UL https://pm-research.com/content/28/6/115.abstract
AB The distribution of term premia includes additional information beyond that contained in the traditional three-parameter decomposition of the Treasury yield curve. The author finds that the position and the size of the curvature hump are both important. A yield curve hump positioned at longer maturities appears to be consistent with lengthier time horizons of investors and with more risk-seeking behavior. The author finds that this new parameter Granger drives both future US economic activity and bond returns.TOPICS: Fixed income and structured finance, fixed-income portfolio management, statistical methods