01903cas a2200277 a 4500 AALejournalIMF016290 230101c9999 xx r poo 0 0eng d 5.00 USD 9781513531861 1018-5941 BD-DhAAL BD-DhAAL Chami, Ralph. Riding the Yield Curve : Risk Taking Behavior in a Low Interest Rate Environment / Ralph Chami, Thomas Cosimano, Celine Rochon, Julieta Yung. Washington, D.C. : International Monetary Fund, 2020. 1 online resource (26 pages) IMF Working Papers <strong>Off-Campus Access:</strong> No User ID or Password Required <strong>On-Campus Access:</strong> No User ID or Password Required Electronic access restricted to authorized BRAC University faculty, staff and students 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 market stochastic discount factor that is non-linear and therefore consistent with the empirical properties of cashflow valuations identified in the literature. We provide evidence that non-linearities arise from hedging strategies of investors exposed to interest rate risk. Capital losses are amplified when interest rates increase and risk averse investors have taken positions on instruments with longer maturity, expecting instead interest rates to revert back to their historical average. Mode of access: Internet Cosimano, Thomas. Rochon, Celine. Yung, Julieta. IMF Working Papers; Working Paper ; No. 2020/053 Full text available on IMF http://elibrary.imf.org/view/journals/001/2020/053/001.2020.issue-053-en.xml IMF e-Library