Bond Markets

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Title: Bond Markets
Author(s): Whelan, Paul
Item Type: Thesis or dissertation
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.
Content Version: Open Access
Publication Date: Jun-2014
Date Awarded: Apr-2015
URI: http://hdl.handle.net/10044/1/24909
Advisor: Buraschi, Andrea
Department: Business School
Publisher: Imperial College London
Qualification Level: Doctoral
Qualification Name: Doctor of Philosophy (PhD)
Appears in Collections:Imperial College Business School PhD theses



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