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Short and Long-Run Behaviour of Long-Term Sovereign Bond Yields

Afonso, António - 2010

This study assesses the short and long-run behaviour of long-term sovereign bond yields in OECD countries, for the …

Persistent link: https://www.econbiz.de/10013135912

Bauer, Michael D. - 2015

structure can help predict interest rates and excess bond returns. We demonstrate that the statistical tests that have been used … slope of the yield curve are robust predictors of excess bond returns, and there is no robust and convincing evidence for …

Persistent link: https://www.econbiz.de/10013012562

Macro News and Bond Yield Spreads in the Euro Area

Caporale, Guglielmo Maria - 2014

estimation of a VAR-GARCH model. The results can be summarized as follows. Negative news have significant positive effects on …

Persistent link: https://www.econbiz.de/10013045338

IMF Surveillance and Financial Markets - A Political Economy Analysis

Fratzscher, Marcel - 2014

The International Monetary Fund (IMF) is in the process of re-inventing itself with bilateral and multilateral surveillance emerging as a key function. The paper analyses how IMF surveillance announcements may be influenced by political power that member countries exert at the IMF. First, we...

Persistent link: https://www.econbiz.de/10013069721

Evaluation of Long-Dated Investments Under Uncertain Growth Trend, Volatility and Catastrophes

Gollier, Christian - 2021

Because of the uncertainty about how to model the growth process of our economy, there is still much confusion about which discount rates should be used to evaluate actions having long-lasting impacts, as in the contexts of climate change, social security reforms or large public infrastructures...

Persistent link: https://www.econbiz.de/10013315817

An Extended Macro-Finance Model with Financial Factors

Dewachter, Hans - 2013

This paper extends the benchmark Macro-Finance model by introducing, next to the standard macroeconomic factors, additional liquidity-related and return forecasting factors. Liquidity factors are obtained from a decomposition of the TED spread while the return-forecasting (risk premium) factor...

Persistent link: https://www.econbiz.de/10013095098

Stock Market Integration between Three CEECs, Russia and the UK

Caporale, Guglielmo Maria - 2013

Russia. The adopted framework allows to analyse interdependence by estimating volatility spillovers, and also contagion by … evidence on possible changes in the transmission mechanism (namely, on whether there is contagion) can be obtained by examining … spillovers between the three CEECs considered and the UK (contagion) …

Persistent link: https://www.econbiz.de/10013095004

Global and Regional Spillovers in Emerging Stock Markets : A Multivariate Garch-in-Mean Analysis

Beirne, John - 2013

This paper examines global (mature market) and regional (emerging market) spillovers in local emerging stock markets. Tri-variate VAR GARCH(1,1)-in-mean models are estimated for 41 emerging market economies (EMEs) in Asia, Europe, Latin America, and the Middle East. The models capture a range of...

Persistent link: https://www.econbiz.de/10013095613

Cash Flow Duration and the Term Structure of Equity Returns

Weber, Michael - 2016

The term structure of equity returns is downward-sloping: stocks with high cash flow duration earn 1.10% per month lower returns than short-duration stocks in the cross section. I create a measure of cash flow duration at the firm level using balance sheet data to show this novel fact. Factor...

Persistent link: https://www.econbiz.de/10012981605

Reform, Uncertainty and Spillovers - A Gravity Model Approach

Fidrmuc, Jan - 2012

Reforms often occur in waves, seemingly cascading from country to country. We argue that such reform waves may be driven by informational spillovers: uncertainty about the outcome of reform is reduced by learning from the experience of similar countries. We motivate this hypothesis with a simple...

Persistent link: https://www.econbiz.de/10013109753