Similar Search Results

Winkelmann, Lars; Yao, Wenying - 2023

This paper studies high-frequency econometric methods to test for a jump in the spread of bond yields. We propose a coherent inference procedure that detects a jump in the yield spread only if at least one of the two underlying bonds displays a jump. Ignoring this inherent connection by basing...

Persistent link: https://www.econbiz.de/10014343097

Tests for jumps in yield spreads

Winkelmann, Lars; Yao, Wenying - 2021

This paper develops high-frequency econometric methods to test for jumps in the spread of bond yields. We derive a coherent inference procedure that detects a jump in the yield spread only if at least one of the two underlying bonds displays a jump. We formalize the test as a sequential...

Persistent link: https://www.econbiz.de/10012655372

Pricing the Bund term structure with linear regressions : without an observable short rate

Speck, Christian - 2023

Affine term structure models of bond yields are important tools for analyzing fixed income markets and monetary policy. Estimators of Adrian, Crump, and Mönch (2013) and Diez de Los Rios (2015) replace time-consuming nonlinear search procedures with a set of simple linear regressions. However,...

Persistent link: https://www.econbiz.de/10014320252

Inflation, deflation, and uncertainty : what drives euro area option-implied inflation expectations and are they still anchored in the sovereign debt crisis?

Scharnagl, Michael; Stapf, Jelena - 2014

We tackle two questions in this paper: In the sovereign debt crisis, what moves the euro area inflation outlook and has the firm anchoring of medium to long-term inflation expectations been touched? Deriving densities from a new data set on options on the euro area harmonized index of consumer...

Persistent link: https://www.econbiz.de/10010415789

The nonlinear dynamics of corporate bond spreads : regime-dependent effects of their determinants

Fischer, Henning; Stolper, Oscar - 2019

varies substantially with market conditions. In periods of high volatility, systematic credit risk - rather than interest … volatility is low, it becomes a crucial factor during stress periods. Our results challenge the notion that spreads predominantly …

Persistent link: https://www.econbiz.de/10011979160

Macroeconomic stability and the real interest rate : a cross-country analysis

Groth, Charlotta; Zampolli, Fabrizio - 2010

that a rise in conditional consumption growth volatility relative to the rest of the world reduces the foreign exchange … relation between the volatility in consumption growth and the level of real interest rates relative to the world interest rate … rates and macroeconomic volatility, on the one hand, and macroeconomic volatility and the net foreign asset position, on the …

Persistent link: https://www.econbiz.de/10008695840

Procyclical asset management and bond risk premia

Barbu, Alexandru; Fricke, Christoph; Mönch, Emanuel - 2020

Institutional funds have concentrated ownership by a few institutional investors, infrequent outflows and essentially no leverage. Yet using unique granular data on the bond holdings of institutional funds, we show that their trading behavior is strongly procyclical: they actively move into...

Persistent link: https://www.econbiz.de/10012250652

Sovereign default swap market efficiency and country risk in the eurozone

Gündüz, Yalın; Kaya, Orcun - 2013

-parametric model imply persistent behavior in the volatility of changes for Greece, Portugal, Ireland, Italy, Spain, and Belgium … addressing persistent sovereign uncertainty. We provide evidence of causality from volatility in CDS prices to sovereign risk …

Persistent link: https://www.econbiz.de/10009731982

Collateral requirements and asset prices

Brumm, Johannes; Grill, Michael; Kubler, Felix; … - 2013

substantially increases the return volatility of long-lived assets. Moreover, otherwise identical assets with different degrees of …

Persistent link: https://www.econbiz.de/10010203684

Investor fears and risk premia for rare events

Schwarz, Claudia - 2014 - This version: January 13, 2014

This paper uses the method developed by Bollerslev and Todorov (2011b) to estimate risk premia for extreme events for the US and the German stock markets. The method extracts jump tail measures from high-frequency futures price data and from options data. In a second step, jump tail...

Persistent link: https://www.econbiz.de/10010249730