Guihai Zhao - Latest - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-28T13:46:26+00:00Expectation-Driven Term Structure of Equity and Bond Yields
https://www.bankofcanada.ca/2022/05/staff-working-paper-2022-21/
Recent findings on the term structure of equity and bond yields pose serious challenges to existing models of equilibrium asset pricing. This paper presents a new equilibrium model of subjective expectations to explain the joint historical dynamics of equity and bond yields (and their yield spreads).2022-05-11T15:27:58+00:00enExpectation-Driven Term Structure of Equity and Bond Yields2022-05-11Asset pricingFinancial marketsInterest ratesStaff Working Paper 2022-21https://www.bankofcanada.ca/wp-content/uploads/2022/05/swp2022-21.pdfMing ZengGuihai ZhaoMay 2022EE4E43GG0G00G1G12Learning, Equilibrium Trend, Cycle, and Spread in Bond Yields
https://www.bankofcanada.ca/2020/04/staff-working-paper-2020-14/
This equilibrium model explains the trend in long-term yields and business-cycle movements in short-term yields and yield spreads. The less-frequent inverted yield curves (and less-frequent recessions) after the 1990s are due to recent secular stagnation and procyclical inflation expectations.2020-04-16T09:34:26+00:00enLearning, Equilibrium Trend, Cycle, and Spread in Bond Yields2020-04-16Asset pricingFinancial marketsInterest ratesStaff Working Paper 2020-14https://www.bankofcanada.ca/wp-content/uploads/2020/04/swp2020-14.pdfStaff Working Paper 2020-14Guihai ZhaoApril 2020EE4E43GG0G00G1G12Ambiguity, Nominal Bond Yields and Real Bond Yields
https://www.bankofcanada.ca/2018/06/staff-working-paper-2018-24/
Equilibrium bond-pricing models rely on inflation being bad news for future growth to generate upward-sloping nominal yield curves. We develop a model that can generate upward-sloping nominal and real yield curves by instead using ambiguity about inflation and growth.2018-06-12T11:02:04+00:00enAmbiguity, Nominal Bond Yields and Real Bond Yields2018-06-12Asset pricingFinancial marketsInterest ratesStaff Working Paper 2018-24https://www.bankofcanada.ca/wp-content/uploads/2018/06/swp2018-24.pdfAmbiguity, Nominal Bond Yields and Real Bond YieldsGuihai ZhaoJune 2018EE4E43GG0G00G1G12