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Crump, Richard K. - 2019

yield curve models that commit to a parsimoniously parameterized factor structure may be omitting important information …

Persistent link: https://www.econbiz.de/10012889010

Equity Volatility Term Premia

Van Tassel, Peter - 2020

This paper estimates the term-structure of volatility risk premia for the stock market. Realized variance term premia are increasing in systematic risk and predict variance swap returns. Implied volatility term premia are decreasing in risk initially, but then increase at a lag, predicting VIX...

Persistent link: https://www.econbiz.de/10012851215

Option-Implied Term Structures

Vogt, Erik - 2014

The illiquidity of long-maturity options has made it difficult to study the term structures of option spanning portfolios. This paper proposes a new estimation and inference framework for these option-implied term structures that addresses long-maturity illiquidity. By building a sieve estimator...

Persistent link: https://www.econbiz.de/10013039825

Inflation risk premia, yield volatility and macro factors

Berardi, Andrea; Plazzi, Alberto - 2018

We incorporate a latent stochastic volatility factor and macroeconomic expectations in an affine model for the term structure of nominal and real rates. We estimate the model over 1999-2016 on U.S. data for nominal and TIPS yields, the realized and implied volatility of T-bonds and survey...

Persistent link: https://www.econbiz.de/10011877284

Dissecting the yield curve : the international evidence

Berardi, Andrea; Plazzi, Alberto - 2019

while allowing for aggregate stochastic volatility. We find that the bulk of yield dynamics comes from short rate …

Persistent link: https://www.econbiz.de/10012179422

Time Variation in Asset Price Responses to Macro Announcements

Goldberg, Linda S. - 2013

uncertainty on the information content of news announcements, the interaction of monetary policy and financial stability …

Persistent link: https://www.econbiz.de/10013076594

Has the new bail-in framework increased the yield spread between subordinated and senior bonds?

Pablos Nuevo, Irene - 2019

This paper investigates the impact of the introduction and implementation of the new EU bail-in framework on the banks subordinated bond yield spreads over senior unsecured bonds, and links the bond yields developments with the characteristics of the issuing entities and the economic and...

Persistent link: https://www.econbiz.de/10012104463

Price pressure and price discovery in the term structure of interest rates

Mixon, Scott; Tuzun, Tugkan - 2018

We study the price pressure and price discovery effects in the U.S. Treasury market by using a term structure model. Our model decomposes yield curve shifts into two components: a virtually permanent change related to order flow and a transitory, price pressure effect due to dealer inventories....

Persistent link: https://www.econbiz.de/10012016240

Information in yield spread trades

Park, Yang-Ho - 2019

Using positions data on bond futures, I document that speculators' spread trades contain private information about … information about future payrolls. Steepening trades can also predict the rise of stock prices within a few hours before … highlights spread traders' superior information and its important role in explaining announcement returns and pre …

Persistent link: https://www.econbiz.de/10012018461

Outages in sovereign bond markets

Kerssenfischer, Mark; Helmus, Caspar - 2024

We use outages as natural experiments to study sovereign bond market functioning. When the euro area futures market goes down, trading activity on the cash market declines, liquidity evaporates, and transaction prices deviate from fundamental values. Tracing back this macro-level market...

Persistent link: https://www.econbiz.de/10014558830

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