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~person:"Campbell, John Y."
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Campbell, John Y.
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ECONIS (ZBW)
39
RePEc
4
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1
A Simple Account of the Behavior of Long-Term
Interest
Rates
Campbell, John Y.
;
Shiller, Robert J.
-
2021
Recent empirical research on the term structure of
interest
rates
has shown that the long-term interest rate is well … described by adistributed lag on short-term
interest
rates
, but does not conform to the expectations theory of the term …
Persistent link: https://www.econbiz.de/10013233035
Saved in:
2
Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds
Campbell, John Y.
;
Sunderam, Adi
;
Viceira, Luis M.
-
2021
structure of
interest
rates
is driven by four state variables: the real interest rate, temporary and permanent components of …
Persistent link: https://www.econbiz.de/10013244134
Saved in:
3
Some Lessons from the Yield Curve
Campbell, John Y.
-
2021
This paper reviews the literature on the relation between short- and long-term
interest
rates
. It summarizes the mixed …
Persistent link: https://www.econbiz.de/10013235878
Saved in:
4
Equity Volatility and Corporate Bond Yields
Campbell, John Y.
-
2010
This paper explores the effect of equity volatility on corporate bond yields. Panel data for the late 1990's show that idiosyncratic firm-level volatility can explain as much cross-sectional variation in yields as can credit ratings. This finding, together with the upward trend in idiosyncratic...
Persistent link: https://www.econbiz.de/10012763016
Saved in:
5
A Defense of Traditional Hypotheses About the Term Structure of Interestrates
Campbell, John Y.
-
2010
Expectations theories of asset returns may be interpreted as stating either that risk premia are zero, or that they are constant through time. Under the former interpretation, different versions of the expectations theory of the term structure are inconsistent with one another, but I show that...
Persistent link: https://www.econbiz.de/10012763377
Saved in:
6
Inflation bets or deflation hedges? : the changing risks of nominal bonds
Campbell, John Y.
;
Sunderam, Adi
;
Viceira, Luis M.
-
2009
Persistent link: https://www.econbiz.de/10003809228
Saved in:
7
The Term Structure of the Risk-Return Tradeoff
Campbell, John Y.
-
2009
Recent research in empirical finance has documented that expected excess returns on bonds and stocks, real
interest
…
rates
, and risk shift over time in predictable ways. Furthermore, these shifts tend to persist over long periods of time. In …
Persistent link: https://www.econbiz.de/10012767587
Saved in:
8
Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds
Campbell, John Y.
-
2009
structure of
interest
rates
is driven by four state variables: the real interest rate, temporary and permanent components of …
Persistent link: https://www.econbiz.de/10012463946
Saved in:
9
The Term Structure of Euromarket
Interest
Rates
: an Empirical Investigation
Campbell, John Y.
-
2008
This paper is an empirical investigation of the predictability andcomovement of risk premia in the term structure of Euromarket interestrates. We show that variables which have been used as proxies for riskpremia on uncovered foreign asset positions also predict excess returns inEuroniarket term...
Persistent link: https://www.econbiz.de/10012773589
Saved in:
10
Stock Returns and the Term Structure
Campbell, John Y.
-
2008
rate is high. In this paper I show that more generally the state of the term structure of
interest
rates
predicts stock … place almost all its weight on bills, indicating that uncertainty about nominal
interest
rates
is important in pricing both …
Persistent link: https://www.econbiz.de/10012774670
Saved in:
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