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No-arbitrage Near-Cointegrated VAR(p) term structure models, term premia and GDP growth
Jardet, Caroline; Monfort, Alain; Pegoraro, Fulvio - In: Journal of Banking & Finance 37 (2013) 2, pp. 389-402
The recent macro-finance literature does not agree either about the empirical properties of the expectation part and of the term premium on long-term bonds or about the importance or even the direction of the relationship between the term premium and future economic activity. This paper proposes...
Persistent link: https://www.econbiz.de/10010595286
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Applying a macro-finance yield curve to UK quantitative Easing
Chadha, Jagjit S.; Waters, Alex - In: Journal of Banking & Finance 39 (2014) C, pp. 68-86
; liquidity premium and signalling but there is no sizeable impact on real interest rates. …
Persistent link: https://www.econbiz.de/10010730414
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A macro-financial analysis of the euro area sovereign bond market
Dewachter, Hans; Iania, Leonardo; Lyrio, Marco; de Sola … - In: Journal of Banking & Finance 50 (2015) C, pp. 308-325
We estimate the ‘fundamental’ component of euro area sovereign bond yield spreads, i.e. the part of bond spreads that can be justified by country-specific economic factors, euro area economic fundamentals, and international influences. The yield spread decomposition is achieved using a...
Persistent link: https://www.econbiz.de/10011118121
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Level, slope, curvature of the sovereign yield curve, and fiscal behaviour
Afonso, António; Martins, Manuel M.F. - In: Journal of Banking & Finance 36 (2012) 6, pp. 1789-1807
We study fiscal behaviour and the sovereign yield curve in the US and Germany. We obtain the latent factors, level, slope and curvature, with the Kalman filter, and use them in a VAR with macro, fiscal and financial stress variables. In the US, fiscal shocks generate an immediate response of the...
Persistent link: https://www.econbiz.de/10011065694
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The interbank market after the financial turmoil: Squeezing liquidity in a “lemons market” or asking liquidity “on tap”
De Socio, Antonio - In: Journal of Banking & Finance 37 (2013) 5, pp. 1340-1358
toxic assets obstructed the pipes. Banks were forced to squeeze liquidity in a “lemons market” or to ask for liquidity “on … liquidity risk and then evaluates the decomposition. The main finding is that credit risk increased before the key events of the … crisis, while liquidity risk was mainly responsible for the subsequent increases in the Euribor spread and then reacted to …
Persistent link: https://www.econbiz.de/10011065734
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The pricing of G7 sovereign bond spreads – The times, they are a-changin
D’Agostino, Antonello; Ehrmann, Michael - In: Journal of Banking & Finance 47 (2014) C, pp. 155-176
Against the background of the current debate about fiscal sustainability in several advanced economies, this paper estimates determinants of G7 sovereign bond spreads, using high-frequency proxies for market expectations about macroeconomic fundamentals and allowing for time-varying parameters....
Persistent link: https://www.econbiz.de/10010931660
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Testing for a break in the persistence in yield spreads of EMU government bonds
Sibbertsen, Philipp; Wegener, Christoph; Basse, Tobias - In: Journal of Banking & Finance 41 (2014) C, pp. 109-118
This study tests for a break in the persistence of EMU government bond yield spreads examining data from France, Italy …
Persistent link: https://www.econbiz.de/10010744377
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Measuring bilateral spillover and testing contagion on sovereign bond markets in Europe
Claeys, Peter; Vašíček, Bořek - In: Journal of Banking & Finance 46 (2014) C, pp. 151-165
significant sudden changes in shock transmission. Results indicate substantial spillover, especially between EMU countries, with …
Persistent link: https://www.econbiz.de/10011065711
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Asymmetry in government bond returns
Fujiwara, Ippei; Körber, Lena Mareen; Nagakura, Daisuke - In: Journal of Banking & Finance 37 (2013) 8, pp. 3218-3226
symmetrically distributed innovations. To answer the second question, we find that liquidity in government bond markets predicts the …
Persistent link: https://www.econbiz.de/10011065745
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Models of the yield curve and the curvature of the implied forward rate function
Yallup, Peter J. - In: Journal of Banking & Finance 36 (2012) 1, pp. 121-135
We examine several alternative models of the UK gilt yield curve using daily data for the period 12 July 1996–10 February 2010. We select the best models according to two criteria: low out of sample errors in pricing bonds and low curvature of the implied forward rate curve function. We...
Persistent link: https://www.econbiz.de/10010582662