Series: IMF Working Papers
Author(s): Ralph Chami , Thomas Cosimano , Celine Rochon , and Julieta Yung
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 13 March 2020
Keywords: Interest rate increases, Discount rates, Risk premium, Financial markets, Financial instruments, Interest rate risk, non-linear stochastic discount factor, investment portfolio, term structure model, risk aversion distribution
Investors seek to hedge against interest rate risk by taking long or short positions on bonds of different maturities. We study changes in risk taking behavior in a low interest rate environment by estimating a mar...