Use this URL to cite or link to this record in EThOS: http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.656824
Title: Bond markets
Author: Whelan, Paul
ISNI:       0000 0004 3364 0530
Awarding Body: Imperial College London
Current Institution: Imperial College London
Date of Award: 2014
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Abstract:
I study questions related to risk premia in real bond markets. First, I document novel evidence that factors explaining excess returns for nominal Treasuries are also common to the real term structure. This suggests that sources of bond predictability should be interpreted in the context of the real consumption risks as opposed to the dynamics of inflation. Next, I investigate the role of monetary policy as a source of time-varying priced risk. I use both high-frequency and low-frequency approaches to show that monetary policy is non-neutral in the sense of affecting bond risk premia. I conclude by studying a general equilibrium term structure model with multiple agents who disagree about the unobservable model for the economy. These agents are induced to engage in speculative trading because of their beliefs, which in turn generates endogenously time-varying risk premia. My results show that speculation can help explain low short term interest rates, time-varying expected returns, and path-dependence in the cross-section of yields.
Supervisor: Buraschi, Andrea Sponsor: Not available
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID: uk.bl.ethos.656824  DOI: Not available
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