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Integration of sovereign bonds markets : time variation and maturity effects
Chaieb, Ines; Errunza, Vihang R.; Gibson, Rajna - 2014
We examine time varying integration of developed (DM) and emerging (EM) market government bonds. Although we find an upward trend for most countries and maturity bands, we do observe reversals and negative trends among both DMs and EMs and for some maturities during the financial crisis. We...
Persistent link: https://www.econbiz.de/10010413280
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How does sovereign bond market integration relate to fundamentals and CDS spreads?
Chaieb, Ines; Errunza, Vihang R.; Gibson, Rajna - 2016
from the 25th to the 75th percentile as a result of higher political stability and credit quality, lower inflation and … inflation risk, and lower illiquidity. The 10% increase in integration leads to, on average, a decrease in the sovereign cost of …
Persistent link: https://www.econbiz.de/10011618981
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The US, Economic News, and the Global Financial Cycle
Boehm, Christoph E.; Kroner, T. Niklas - National Bureau of Economic Research - 2023
We provide evidence for a causal link between the US economy and the global financial cycle. Using intraday data, we show that US macroeconomic news releases have large and significant effects on global risky asset prices. Stock price indexes of 27 countries, the VIX, and commodity prices all...
Persistent link: https://www.econbiz.de/10014247914
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Equilibrium yield curve, the Phillips curve, and monetary policy
Katagiri, Mitsuru - In: Journal of money, credit and banking : JMCB 54 (2022) 8, pp. 2235-2272
Persistent link: https://www.econbiz.de/10013466724
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Long-term inflation expectations and inflation dynamics
Thórarinn G. Pétursson - In: International journal of finance & economics : IJFE 27 (2022) 1, pp. 158-174
Persistent link: https://www.econbiz.de/10012814348
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Core inflation, expectations and inflation dynamics in Brazil
Brito, Antônio Clécio de; Arruda, Elano Ferreira; … - In: International journal of economics and finance 11 (2019) 6, pp. 1-13
Persistent link: https://www.econbiz.de/10012040416
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Insights from OECD Phillips curve equations on recent inflation outcomes
Turner, David; Chalaux, Thomas; Guillemette, Yvan; … - 2019
A statistically significant relationship between the unemployment gap and inflation can be found for a clear majority … slack on inflation can often be dominated by other shocks, including imported inflation. The current Secretariat Phillips … curve specification assumes inflation expectations are anchored at the central bank’s target, although some experimentation …
Persistent link: https://www.econbiz.de/10012202854
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Evaluation of the New Keynesian Phillips Curve : evidence from the Euro Area and United States
Kim, Insu - In: Applied economics letters 25 (2018) 18, pp. 1306-1315
Persistent link: https://www.econbiz.de/10012135391
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Friedman (1968) versus Phelps (1968) about policy-making
Rivot, Sylvie - In: History of economic ideas : HEI 26 (2018) 3, pp. 93-121
Persistent link: https://www.econbiz.de/10012129608
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Stock returns and inflation shocks in weaker economic times
Connolly, Robert A.; Stivers, Christopher T.; Sun, Licheng - In: Financial management : FM 51 (2022) 3, pp. 827-867
Persistent link: https://www.econbiz.de/10013468461