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Option-Implied Libor Rate Expectations Across Currencies

Gebbia, Nick - 2016

their mean, standard deviation, skewness, and kurtosis. I further break these relationships down by various fixed horizon …

Persistent link: https://www.econbiz.de/10013210457

Firm-specific risk-neutral distributions : the role of CDS spreads

Aramonte, Sirio; Jahan-Parvar, Mohammad R.; Rosen, Samuel; … - 2017

We propose a method to extract individual firms' risk-neutral return distributions by combining options and credit … default swaps (CDS). Options provide information about the central part of the distribution, and CDS anchor the left tail …. Jointly, options and CDS span the intermediate part of the distribution, which is driven by moderate-sized jump risk. We study …

Persistent link: https://www.econbiz.de/10011779565

The Dynamics of Japanese Government Bonds’ Nominal Yields

Akram, Tanweer - 2018

This paper employs a Keynesian perspective to explain why Japanese government bonds' (JGBs) nominal yields have been low for more than two decades. It deploys several vector error correction (VEC) models to estimate long-term government bond yields. It shows that the low short-term interest...

Persistent link: https://www.econbiz.de/10012919537

Multifactor Keynesian Models of the Long-Term Interest Rate

Akram, Tanweer - 2021

This paper presents multifactor Keynesian models of the long-term interest rate. In recent years there have been a proliferation of empirical studies based on the Keynesian approach to interest rate modeling. However, standard multifactor models of the long-term interest rate in quantitative...

Persistent link: https://www.econbiz.de/10013219478

The Empirics of Long-Term Mexican Government Bond Yields

Akram, Tanweer; Uddin, Syed Al-Helal - 2021

This paper presents empirical models of Mexican government bond (MGB) yields based on monthly macroeconomic data. The current short-term interest rate has a decisive influence on MGB yields, after controlling for inflation and growth in industrial production. John Maynard Keynes claimed that...

Persistent link: https://www.econbiz.de/10013239082

Some Empirical Models of Japanese Government Bond Yields Using Daily Data

Akram, Tanweer - 2020

This paper models the dynamics of Japanese government bond (JGB) nominal yields using daily data. Models of government bond yields based on daily data, such as those presented in this paper, can be useful not only to investors and market analysts, but also to central bankers and other...

Persistent link: https://www.econbiz.de/10012828211

Australian Government Bonds’ Nominal Yields : An Empirical Analysis

Akram, Tanweer - 2018

The short-term interest rate is the main driver of the Commonwealth of Australia government bonds' nominal yields. This paper empirically models the dynamics of government bonds' nominal yields using the autoregressive distributed lag (ARDL) approach. Keynes held that the central bank exerts...

Persistent link: https://www.econbiz.de/10012912369

An Empirical Analysis of Long-Term Brazilian Interest Rates

Akram, Tanweer; Uddin, Syed Al-Helal - 2020

This paper empirically models the dynamics of Brazilian government bond (BGB) yields based on monthly macroeconomic data in the context of the evolution of Brazil’s key macroeconomic variables. The results show that the current short-term interest rate has a decisive influence on BGBs’...

Persistent link: https://www.econbiz.de/10014097373