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Integration of sovereign bonds markets : time variation and maturity effects
Chaieb, Ines; Errunza, Vihang R.; Gibson, Rajna - 2014
upward trend for most countries and maturity bands, we do observe reversals and negative trends among both DMs and EMs and … long vs. the short maturity bond segments and show that enhanced institutional quality, higher credit quality and better … future investment opportunities would jointly contribute to a higher integration of the long vs. the short maturity bonds by …
Persistent link: https://www.econbiz.de/10010413280
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Inflation risk premia, yield volatility and macro factors
Berardi, Andrea; Plazzi, Alberto - 2018
We incorporate a latent stochastic volatility factor and macroeconomic expectations in an affine model for the term structure of nominal and real rates. We estimate the model over 1999-2016 on U.S. data for nominal and TIPS yields, the realized and implied volatility of T-bonds and survey...
Persistent link: https://www.econbiz.de/10011877284
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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 show that the difference between the natural rate of interest and the current level of monetary policy stance, which we label Convergence Gap (CG), contains information that is valuable for bond predictability. Adding CG in forecasting regressions of bond excess returns significantly raises...
Persistent link: https://www.econbiz.de/10012134247
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Time-changed Lévy LIBOR market model for the joint estimation and pricing of caps and swaptions
Leippold, Markus; Stromberg, Jacob - 2012 - This version: May 18, 2012
We propose a novel time-changed L évy LIBOR market model for the joint pricing of caps and swaptions. The time changes are split into three components. The first component allows us to match the volatility term structure, the second generates stochastic volatility, and the third one...
Persistent link: https://www.econbiz.de/10009558358
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Consistent re-calibration in yield curve modeling : an example
Wüthrich, Mario V. - 2015
Popular yield curve models include affine term structure models. These models are usually based on a fixed set of parameters which is calibrated to the actual financial market conditions. Under changing market conditions also parametrization changes. We discuss how parameters need to be updated...
Persistent link: https://www.econbiz.de/10011412102
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Asset Pricing with “Buy Now, Pay Later”
Malamud, Semyon; Wang, Neng; Zhang, Yuan - 2022
portfolios and maturity-sorted bond portfolios …
Persistent link: https://www.econbiz.de/10014236310
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The price of liquidity : bank characteristics and market conditions
Fecht, Falko; Nyborg, Kjell G.; Rocholl, Jörg - 2010
We identify frictions in the market for liquidity as well as bank-specific and market-wide factors that affect the prices that banks pay for liquidity, captured here by borrowing rates in repos with the central bank and benchmarked by the overnight index swap. We have price data at the...
Persistent link: https://www.econbiz.de/10003979513
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International bond risk premia
Dahlquist, Magnus; Hasseltoft, Henrik - 2011
We identify local and global factors across international bond markets that are poorly spanned by the traditional level, slope and curvature factors but have strong forecasting power for future bond excess returns. Local and global factors are jointly significant predictors of bond returns,...
Persistent link: https://www.econbiz.de/10009009483
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The euro interbank repo market
Mancini, Loriano; Ranaldo, Angelo; Wrampelmeyer, Jan - 2014 - This version: March 2014
The search for a market design that ensures stable bank funding is at the top of regulators' policy agenda. This paper empirically shows that the central counterparty (CCP)-based euro interbank repo market features this stability. Using a unique and comprehensive data set, we show that the...
Persistent link: https://www.econbiz.de/10010410308
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Understanding asset correlations
Burkhardt, Dominic; Hasseltoft, Henrik - 2012 - This draft: September 2012
We document an inverse relation between stock-bond correlations and correlations of growth and inflation. We find that rising inflation uncertainty lowers stock prices but can either lower or raise nominal bond prices depending on whether inflation is counter- or procyclical. We show that the...
Persistent link: https://www.econbiz.de/10009684165