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Mind the (convergence) gap: bond predictability strikes back!
Berardi, Andrea; Markovich, Michael; Plazzi, Alberto; … - 2019 - This version: August 29, 2019
we label Convergence Gap (CG), contains information that is valuable for bond predictability. Adding CG in forecasting … regressions of bond excess returns significantly raises the R-squared, and restores countercyclical variation in bond risk premia … the path of rates, our factor has predictive ability for real bond excess returns. The importance of the gap remains …
Persistent link: https://www.econbiz.de/10012134247
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Repo rates and the collateral spread : evidence
Nyborg, Kjell G.; Rösler, Cornelia - 2019
The spread between unsecured and repo rates (collateral spread) fluctuates substantially and is negative on a significant portion of days. Recent theoretical work argues that collateral spreads are determined by a constrained-arbitrage relation between the unsecured rate, the repo rates, and the...
Persistent link: https://www.econbiz.de/10011976992
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Repo rates and the collateral spread puzzle
Nyborg, Kjell G. - 2019
Repo rates frequently exceed unsecured rates in practice. As an explanation, this paper derives a constrained-arbitrage relation between the unsecured rate, the repo rate, and the illiquidity adjusted expected rate of return of the underlying collateral. The theory is based on unsecured...
Persistent link: https://www.econbiz.de/10011976995
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Monetary policy and bond risk premia in the US and the UK
Żurowski, Wojciech - 2016
the variation of excess bond risk premia in the sample. Additionally, the factor unveils differences between monetary …
Persistent link: https://www.econbiz.de/10011870652
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Stable mixture GARCH models
Broda, Simon A.; Haas, Markus; Krause, Jochen; … - 2011
A new model class for univariate asset returns is proposed which involves the use of mixtures of stable Paretian distributions, and readily lends itself to use in a multivariate context for portfolio selection. The model nests numerous ones currently in use, and is shown to outperform all its...
Persistent link: https://www.econbiz.de/10009313940
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A penalized two-pass regression to predict stock returns with time-varying risk premia
Bakalli, Gaetan; Guerrier, Stéphane; Scaillet, Olivier - 2021
We develop a penalized two-pass regression with time-varying factor loadings. The penalization in the first pass enforces sparsity for the time-variation drivers while also maintaining compatibility with the no arbitrage restrictions by regularizing appropriate groups of coefficients. The second...
Persistent link: https://www.econbiz.de/10012487589
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Economic Policy Uncertainty and the Yield Curve
Leippold, Markus; Matthys, Felix - 2022
Persistent link: https://www.econbiz.de/10013192097
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The impact of pensions and insurance on global yield curves
Greenwood, Robin; Vissing-Jørgensen, Annette - 2018
data from 26 countries, the yield spread between 30-year and 10-year government bond yields is negatively related to the … destabilizing impact on bond markets that reverses once rules are changed …
Persistent link: https://www.econbiz.de/10011931879
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The US stock market leads the federal funds rate and treasury bond yields
Guo, Kun; Zhou, Wei-Xing; Cheng, Si-Wei; Sornette, Didier - 2011
: bond yields of short-term maturities (Federal funds rate (FFR), 3M, 6M, 1Y, 2Y, and 3Y) and bond yields of long … itself after the start of the financial crisis. The lead of the S&P500 stock market index over the bond yields of all …
Persistent link: https://www.econbiz.de/10009009600
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Unspanned stochastic volatility in the multi-factor CIR model
Filipović, Damir; Larsson, Martin; Statti, Francesco - 2017
than two factors can exhibit USV or not. We formally review USV and relate it to bond market incompleteness. We provide …
Persistent link: https://www.econbiz.de/10011761277