Kenneth J. Singleton

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This paper quantifies how variation in real economic activity and inflation in the U.S. influenced the market prices of level, slope, and curvature risks in U.S. Treasury markets. We develop a novel arbitrage-free dynamic term structure model in which bond investment decisions are influenced by real output and inflation risks that are unspanned by(More)
We study the nature of sovereign credit risk using an extensive set of sovereign CDS data. We find that the majority of sovereign credit risk can be linked to global factors. A single principal component accounts for 64 percent of the variation in sovereign credit spreads. Furthermore, sovereign credit spreads are more related to the U.S. stock and(More)
In any canonical Gaussian dynamic term structure model (GDTSM), the conditional forecasts of the pricing factors are invariant to the imposition of no-arbitrage restrictions. This invariance is maintained even in the presence of a variety of restrictions on the factor structure of bond yields. To establish these results, we develop a novel canonical GDTSM(More)
JEL classification: G12 E43 C58 Keywords: Macro-finance term structure model Filtering No-arbitrage model Factor model a b s t r a c t This paper explores the implications of filtering and no-arbitrage for the maximum likelihood estimates of the entire conditional distribution of the risk factors and bond yields in Gaussian macro-finance term structure(More)
This paper develops a new family of Gaussian macro-dynamic term structure models (MTSMs) in which bond yields follow a low-dimensional factor structure and the historical distribution of bond yields and macroeconomic variables is characterized by a vector-autoregression with order p > 1. Most formulations of MTSMs with p > 1 are shown to imply a much higher(More)
Many equilibrium term structure models (ETSMs) in which the state of the economy follows an affine process imply that the variation in expected excess returns on bond portfolio positions is fully spanned by the conditional variances of the state variables. We show that these two assumptions alone– an affine state process with conditional variances that span(More)
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