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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

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

Combining negative rates, forward guidance and asset purchases : identification and impacts of the ECB's unconventional policies

Rostagno, Massimo; Altavilla, Carlo; Carboni, Giacomo; … - 2021

This paper provides new empirical evidence that bears on the efficacy of unconventional monetary policies when the main policy rate is negative. When a negative interest rate policy (NIRP) is deployed in concert with rate forward guidance (FG) and quantitative easing (QE), the identification of...

Persistent link: https://www.econbiz.de/10012519567

Monetary Policy Statements, Treasury Yields, and Private Yields : Before and after the Zero Lower Bound

Kiley, Michael T. - 2013

Monetary policy actions since 2008 have influenced long-term interest rates through forward guidance and quantitative easing - both "unconventional" strategies. We examine whether the effect of such actions on Treasury yields have passed through to private yields to a degree comparable to...

Persistent link: https://www.econbiz.de/10013083658

Low Frequency Effects of Macroeconomic News on Government Bond Yields

Altavilla, Carlo - 2017

In this study, we analyze the reaction of the U.S. Treasury bond market to innovations in macroeconomic fundamentals. We identify these innovations based on macroeconomic news, which are defined as differences between the actual releases and market expectations. We find that that macroeconomic...

Persistent link: https://www.econbiz.de/10012972912

The term structure of equity premia in an affine arbitrage-free model of bond and stock market dynamics

Lemke, Wolfgang; Werner, Thomas - 2009

captures the arbitrage-free dynamics of stock returns and nominal bond yields. The model nests the class of affine term …

Persistent link: https://www.econbiz.de/10003832616