Showing 11 - 17 of 17
Persistent link: https://www.econbiz.de/10005387408
We estimate two-factor equilibrium models on different parts of the yield curve. In this exploration of the term structure of interest rates, we use two-factor affine yield models as our diagnostic tool. The exercise provides insights on how to reconcile the time-series dynamics of interest...
Persistent link: https://www.econbiz.de/10005717202
Persistent link: https://www.econbiz.de/10005717224
Persistent link: https://www.econbiz.de/10005724115
We analyze high-frequency responses of U.S. Treasury yields across the maturity spectrum to macroeconomic announcements. We find that surprises in the announcements evoke the sharpest reactions from the intermediate maturities, thus forming striking hump-shaped curves of announcement effects. We...
Persistent link: https://www.econbiz.de/10005726575
We identify striking adjustment patterns for price volatility, trading volume, and bid-ask spreads in the U.S. Treasury market when public information arrives. Using newly available high-frequency data, we find a notable lack of trading volume upon a major announcement when prices are most...
Persistent link: https://www.econbiz.de/10005726583
We estimate a three-factor model to fit both the time-series dynamics and cross-sectional shapes of the U.S. term structure. In the model, three unobserved factors drive a discrete-time stochastic discount process, with one factor reverting to a fixed mean and a second factor reverting to a...
Persistent link: https://www.econbiz.de/10005726634