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Inflation and Asset PricesPflueger, Carolin January 2012 (has links)
Do corporate bond spreads reflect fear of debt deflation? Most corporate bonds have fixed nominal face values, so unexpectedly low inflation raises firms' real debt burdens and increases default risk. The first chapter develops a real business cycle model with time-varying inflation risk and optimal, but infrequent, capital structure choice. In this model, more volatile or more procyclical inflation lead to quantitatively important credit spread increases. This is true even with inflation volatility as moderate as that in developed economies since 1970. Intuitively, this result obtains because inflation persistence generates large uncertainty about the price level at long maturities and because firms cannot adjust their capital structure immediately. We find strong empirical support for our model predictions in a panel of six developed economies. Both inflation volatility and the inflation-stock return correlation have varied substantially over time and across countries. They jointly explain as much variation in credit spreads as do equity volatility and the dividend-price ratio. Credit spreads rise by 15 basis points if either inflation volatility or the inflation-stock return correlation increases by one standard deviation. Firms counteract higher debt financing costs by adjusting their capital structure in times of higher inflation uncertainty. The second chapter empirically decomposes excess return predictability in inflation-indexed and nominal government bonds into liquidity, market segmentation, real interest rate risk and inflation risk. This chapter finds evidence for time-varying liquidity premia in Treasury Inflation Protected Securities (TIPS) and for time-varying liquidity premia in TIPS and for time-varying inflation risk premia in nominal bonds. The third chapter develops a pre-test for weak instruments in linear instrumental variable regression that is robust to heteroskedasticity and autocorrelation. Our test statistic is a scaled version of the regular first-stage F statistic. The critical values depend on the long-run variance-covariance matrix of the first stage. We apply our pre-test to the instrumental variable estimation of the Elasticity of Intertemporal Substitution and find that instruments previously considered not to be weak do not exceed our threshold.
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Essays in asset pricing and portfolio choiceIlleditsch, Philipp Karl 15 May 2009 (has links)
In the first essay, I decompose inflation risk into (i) a part that is correlated with real returns on the market portfolio and factors that determine investor’s preferences and investment opportunities and (ii) a residual part. I show that only the first part earns a risk premium. All nominal Treasury bonds, including the nominal money-market account, are equally exposed to the residual part except inflation-protected Treasury bonds, which provide a means to hedge it. Every investor should put 100% of his wealth in the market portfolio and inflation-protected Treasury bonds and hold a zero-investment portfolio of nominal Treasury bonds and the nominal money market account.
In the second essay, I solve the dynamic asset allocation problem of finite lived, constant relative risk averse investors who face inflation risk and can invest in cash, nominal bonds, equity, and inflation-protected bonds when the investment opportunityset is determined by the expected inflation rate. I estimate the model with nominal bond, inflation, and stock market data and show that if expected inflation increases, then investors should substitute inflation-protected bonds for stocks and they should borrow cash to buy long-term nominal bonds.
In the lastessay, I discuss how heterogeneity in preferences among investors withexternal non-addictive habit forming preferences affects the equilibrium nominal term structure of interest rates in a pure continuous time exchange economy and complete securities markets. Aggregate real consumption growth and inflation are exogenously specified and contain stochastic components thataffect their means andvolatilities. There are two classes of investors who have external habit forming preferences and different localcurvatures oftheir utility functions. The effects of time varying risk aversion and different inflation regimes on the nominal short rate and the nominal market price of risk are explored, and simple formulas for nominal bonds, real bonds, and inflation risk premia that can be numerically evaluated using Monte Carlo simulation techniques are provided.
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Títulos públicos indexados à inflação e a ancoragem das expectativas no BrasilHatisuka, Eric Uoya 30 January 2012 (has links)
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Previous issue date: 2012-01-30 / O objetivo deste trabalho é investigar a ancoragem das expectativas de inflação de longo prazo no Brasil, medidas por intermédio das taxas de inflação implícitas nos títulos indexados ao IPCA. Para isso, são extraídas as curvas de juros reais e nominais dos preços do mercado secundário de títulos públicos, e uma vez de posse destes valores, são calculadas as taxas de inflação implícitas observadas diariamente no mercado brasileiro. Utilizando um modelo simples, estimado por Mínimos Quadrados Ordinários (MQO) robusto, testa-se a sensibilidade de alguns vértices das taxas de inflação implícita em relação às variações mensais de indicadores macroeconômicos relevantes para a trajetória de curto prazo da inflação e política monetária. Desta maneira, pretende-se avaliar se o comportamento da inflação implícita nos preços de mercado dos títulos públicos pode oferecer evidências de que as expectativas estão bem ancoradas no Brasil, no âmbito do regime de metas de inflação. / This work aims to investigate the anchoring of the long term inflation expectations in Brazil, as measured by the break even inflation rates in the IPCA-indexed bonds. On that matter, the nominal and real daily yield curves are calculated from the prices observed in the market, and then, used to generate the break even inflation rate yield curve. Using a simple model, estimated by robust OLS, some vertices of the inflation compensation are tested over the monthly releases of economic data, important to the short term course of inflation and monetary policy. Thus, it is intended to assess whether the behavior of the long term inflation compensation provides evidence that the inflation expectations are well anchored in Brasil, under the inflation targeting regime.
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