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It's what you say and what you buy : a holistic evaluation of the corporate credit facilities

Boyarchenko, Nina; Kovner, Anna; Shachar, Or - 2020

effect on prices and liquidity occurred on the announcement date. We document immediate pass through into primary markets …

Persistent link: https://www.econbiz.de/10012310585

Liquidity risk, credit risk and the overnight interest rate spread : a stochastic volatility modelling approach

Beirne, John; Caporale, Guglielmo Maria; Spagnolo, Nicola - 2010

liquidity risk, credit risk (financial and sovereign), and interest rate expectations. Our results suggest that liquidity risk … fears. In addition, the ECB appears to have been more effective in addressing liquidity risk since the onset of the crisis … ; liquidity risk ; credit risk ; stochastic volatility …

Persistent link: https://www.econbiz.de/10003983199

An extended macro-finance model with financial factors

Dewachter, Hans; Iania, Leonardo - 2010

, additional liquidity-related and return forecasting factors. Liquidity factors are obtained from a decomposition of the TED …-sectional fit of the yield curve. Second, we find that financial shocks, either in the form of liquidity or risk premium shocks … ; macroeconomics and financial factors ; Bayesian estimation …

Persistent link: https://www.econbiz.de/10003937808

Robust bond risk premia

Bauer, Michael D.; Hamilton, James D. - 2015 - Rev.: September 25, 2015

A consensus has recently emerged that a number of variables in addition to the level, slope, and curvature of the term structure can help predict interest rates and excess bond returns. We demonstrate that the statistical tests that have been used to support this conclusion are subject to very...

Persistent link: https://www.econbiz.de/10011346306

Interest rates under falling stars

Bauer, Michael D.; Rudebusch, Glenn D. - 2017

Theory predicts that the equilibrium real interest rate, r*t, and the perceived trend in inflation, ð*t, are key determinants of the term structure of interest rates. However, term structure analyses generally assume that these endpoints are constant. Instead, we show that allowing for time...

Persistent link: https://www.econbiz.de/10011688099

Movements in yields, not the equity premium : Bernanke-Kuttner redux

Nagel, Stefan; Xu, Zhengyang - 2024

We show that the stock market price reaction to monetary policy surprises upon announcements of the Federal Open Market Committee (FOMC) is explained mostly by changes in the default-free term structure of yields, not by changes in the equity premium. We reach this conclusion based on a new...

Persistent link: https://www.econbiz.de/10015052545

Macroeconomic sources of risk in the term structure

Balfoussia, Chiona (contributor); … - 2004

In this paper we develop a new way of modelling time variation in term premia. This is based on the stochastic discount factor model of asset pricing with observable macroeconomic factors. The joint distribution of excess holding period US bond returns of different maturity and the fundamental...

Persistent link: https://www.econbiz.de/10002521058

Fool the markets? : Creative accounting, fiscal transparency and sovereign risk premia

Bernoth, Kerstin (contributor); … - 2006

Persistent link: https://www.econbiz.de/10003364216

Measuring market expectations

Baumeister, Christiane - 2021

Asset prices are a valuable source of information about financial market participants.expectations about key macroeconomic variables. However, the presence of time-varying risk premia requires an adjustment of market prices to obtain the market’s rational assessment of future price and policy...

Persistent link: https://www.econbiz.de/10012622575

Firm heterogeneity and credit risk diversification

Hanson, Samuel G. (contributor); … - 2005

This paper considers a simple model of credit risk and derives the limit distribution of losses under different assumptions regarding the structure of systematic and idiosyncratic risks and the nature of firm heterogeneity. The theoretical results obtained indicate that if firm-specific risk...

Persistent link: https://www.econbiz.de/10003120648

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