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Analysis of nonlinear comovement of benchmark Thai government bond yields
Rewat Khanthaporn - 2022
Persistent link: https://www.econbiz.de/10013429426
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Identifying time variability in stock and interest rate dependence
Stein, Michael; Islami, Mevlud; Lindemann, Jens - 2012
-varying correlation ; regime transition ; multivariate GARCH ; smooth transition ; cross-asset correlation ; non-linear estimation …The correlation between stock markets and interest rates has been discussed in numerous studies in the past, with … which allow for time-variability and regime changes in correlation. All estimated models allowing for timevarying …
Persistent link: https://www.econbiz.de/10009625556
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The time-varying impact of systematic risk factors on corporate bond spreads
Klein, Arne Christian; Pliszka, Kamil - 2018
During the global financial crisis, stressed market conditions led to skyrocketing corporate bond spreads that could not be explained by conventional modeling approaches. This paper builds on this observation and sheds light on time-variations in the relationship between systematic risk factors...
Persistent link: https://www.econbiz.de/10011855295
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Scarcity effects of QE : a transaction-level analysis in the Bund market
Schlepper, Kathi; Riordan, Ryan; Hofer, Heiko; … - 2017
This paper investigates the scarcity effects of quantitative easing (QE) policies, drawing on intra-day transaction-level data for German government bonds, purchased under the Public Sector Purchase Program (PSPP) of the ECB/Eurosystem. This paper is the first to match high-frequency QE purchase...
Persistent link: https://www.econbiz.de/10011632212
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Financial crises and the dynamic linkages between stock and bond returns
Eraslan, Sercan; Ali, Faek Menla - 2017
way round and also exhibit a time-varying pattern in most countries. Furthermore, the portfolio performance comparison …
Persistent link: https://www.econbiz.de/10011663407
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Comparative forecasting performance of symmetric and asymmetric conditional volatility models of an exchange rate
Balaban, Ercan - 1999
Persistent link: https://www.econbiz.de/10001399838
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Surprises in scheduled releases : why do they move the bond market?
Hess, Dieter - 2000
It is well known that information arrival has an impact on prices volatility, and trading volume in financial markets (see e.g., Goodhart and O'Hara 1997). Scheduled macroeconomic announcements, such as monthly employment figures, consumer prices, or building permits, stand out from the steady...
Persistent link: https://www.econbiz.de/10013428356
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Wage flexibility and employment fluctuations : evidence from the housing sector
Pischke, Jörn-Steffen - 2016
Persistent link: https://www.econbiz.de/10011529640
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Does management matter in schools?
Bloom, Nicholas; Lemos, Renata; Sadun, Raffaella; Van … - 2014
Persistent link: https://www.econbiz.de/10010464925
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Is the international border effect larger than the domestic border effect? : evidence from US trade
Coughlin, Cletus Charles; Novy, Dennis - 2012
Persistent link: https://www.econbiz.de/10009671472