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When It Cannot Get Better or Worse: The Asymmetric Impact of Good and Bad News on Bond Returns in Expansions and Recessions

Beber, Alessandro; Brandt, Michael W. - Institut für Schweizerisches Bankwesen <Zürich> - 2007

We examine empirically the response of bond returns and their volatility to good and bad macroeconomic news in economic … bad news for bond returns in expansions and, to a lesser extent, when it contains good news for bond returns in … contractions. In particular, we observe the strongest bond market response to bad news in the release of non-farm payrolls in …

Persistent link: https://www.econbiz.de/10005858024

International Stock-Bond Correlations in a Simple Affine Asset Pricing Model

D'Addona, Stefano; Kind, Axel H. - Institut für Schweizerisches Bankwesen <Zürich> - 2006

correlations and to explain how economic fundamentals influence the correlation between stock and bond returns. The presented model … to generate stock-bond correlations that are in line with empirically observed figures. …

Persistent link: https://www.econbiz.de/10005858383

Flight-to-Quality or Flight-to-Liquidity? Evidence from the Euro-Area Bond Market

Beber, Alessandro; Brandt, Michael W.; Kavajec, Kenneth A. - Institut für Schweizerisches Bankwesen <Zürich> - 2006

Do bond investors demand credit quality or liquidity? The answer is both, but at different times and for different … reasons. Using data on the Euro-area government bond market, which features a unique negative correlation between credit … market uncertainty. In contrast, the destination of large flows into the bond market is determined almost exclusively by …

Persistent link: https://www.econbiz.de/10005858392

Pricing Prepayment Option in C&I Loans at Origination

Cossin, Didier; Lu, Hongze - Institut für Schweizerisches Bankwesen <Zürich>; … - 2002

This paper presents a pricing model of commercial and industrial (C&I) loan prepayment option. Modeling of prepayment is essential in pricing mortgage contracts since prepayment truncates the timing and amount of expected cash flows. Lenders normally charge a penalty for prepayment, for example...

Persistent link: https://www.econbiz.de/10005858717

Adjusted Present Value and Tax Shield im Rahmen des DCF-Konzeptes - Zur analytischen Umsetzung aus theoretischer und praktischer Sicht

Volkart, Rudolf - Institut für Schweizerisches Bankwesen <Zürich> - 1998

Die analytisch korrekte Bestimmung von DCF-Unternehmens- und Projektwerten ist nicht trivial...

Persistent link: https://www.econbiz.de/10005857031

Forecasting Inflation from the Term Structure: A Comparison of Alternative Specifications

Li, Fuchun; Pelgrin, Florian; Tkacz, Greg - Institut für Schweizerisches Bankwesen <Zürich> - 2007

Several authors have shown that there exists a signiﬁcant relationship between the term structure of interest rates and future changes in the rate of inﬂation. More recently, this relationship has been strengthened through the introduction of nonlinearities and regime shifts. This paper...

Persistent link: https://www.econbiz.de/10005857756

Ambiguity Aversion and the Term Structure of Interest Rates

Gagliardini, Patrick; Porchia, Paolo; Trojani, Fabio - Institut für Schweizerisches Bankwesen <Zürich> - 2007

displays ambiguity aversion, modeled by Multiple Priors Recursive Utility. Bond excess returns reﬂect a premium for ambiguity …

Persistent link: https://www.econbiz.de/10005858032

Optimal Investment in Variance Swaps Under Stochastic Volatility

Egloff, Daniel; Leippold, Markus; Wu, Liuren - Institut für Schweizerisches Bankwesen <Zürich> - 2006

With increasing appreciation of the fact that stock return variance is stochastic and variance risk is heavily priced, the industry has created a series of variance derivative products to span variance risk. The variance swap contract is the most actively traded of these products. It pays at...

Persistent link: https://www.econbiz.de/10005858375

The Quality of Public Information and the Term Structure of Interest Rates

Lundtofte, Frederik - Institut für Schweizerisches Bankwesen <Zürich> - 2007

This paper analyzes the term structure of interest rates in an exchange-only Lucas (1978) economy where consumers learn about a stochastic growth rate through observations of the endowment process and an external public signal. We allow for deluded consumers, who exaggerate the degree of...

Persistent link: https://www.econbiz.de/10005858508

The stability of factor models of interests rates

Audrino, Francesco; Barone-Adesi, Giovanni; Mira, Antonietta - Institut für Schweizerisches Bankwesen <Zürich> - 2003

The term structure of American interest rates is ﬁltered to reduce the inﬂuence of cross correlations and auto correlations on its factors. A three-factor model is ﬁtted to the ﬁltered data. Contrary to most studies of the term structure on monthly data, performing statistical tests we...

Persistent link: https://www.econbiz.de/10005858553