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International yield co-movements

Bekaert, Geert; Ermolov, Andrey - 2021

Persistent link: https://www.econbiz.de/10012590876

Macro risks and the term structure of interest rates

Bekaert, Geert; Engstrom, Eric; Ermolov, Andrey - In: Journal of financial economics 141 (2021) 2, pp. 479-504

Persistent link: https://www.econbiz.de/10013259807

Risk, monetary policy and asset prices in a global world

Bekaert, Geert; Hoerova, Marie; Xu, Nancy R. - 2023

We study how monetary policy and risk shocks affect asset prices in the US, the euro area, and Japan, differentiating between "traditional" monetary policy and communication events, each decomposed into "pure" and information shocks. Communication shocks from the US spill over to risk in the...

Persistent link: https://www.econbiz.de/10014483035

Risk, monetary policy and asset prices in a global world

Bekaert, Geert; Hoerova, Marie; Xu, Nancy - 2023

Persistent link: https://www.econbiz.de/10014325897

The behavior of emerging market returns

Bekaert, Geert; Erb, Claude B.; Harvey, Campbell R.; … - In: Emerging market capital flows : proceedings of a …, (pp. 107-173). 1998

Persistent link: https://www.econbiz.de/10001395719

International Yield Co-movements

Bekaert, Geert - 2020

inflation risk premiums are also important. Cross-country nominal and inflation-linked yield correlations have declined since … variable from a habit model explains a substantive part of the variation in real yields and cross-country yield correlations …

Persistent link: https://www.econbiz.de/10012848948