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Riding the Yield Curve: Risk Taking Behavior in a Low Interest Rate Environment*

Riding the Yield Curve: Risk Taking Behavior in a Low Interest Rate Environment* »

Source: Riding the Yield Curve: Risk Taking Behavior in a Low Interest Rate Environment

Volume/Issue: 2020/53

Series: IMF Working Papers

Author(s): Ralph Chami , Thomas Cosimano , Celine Rochon , and Julieta Yung

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 13 March 2020

ISBN: 9781513531861

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...

Riding the Yield Curve: Risk Taking Behavior in a Low Interest Rate Environment

Riding the Yield Curve: Risk Taking Behavior in a Low Interest Rate Environment »

Volume/Issue: 2020/53

Series: IMF Working Papers

Author(s): Ralph Chami , Thomas Cosimano , Celine Rochon , and Julieta Yung

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 13 March 2020

DOI: http://dx.doi.org/10.5089/9781513531861.001

ISBN: 9781513531861

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...