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Beating the random walk in Central and Eastern Europe by survey forecasts

Naszódi, Anna - 2011

This paper investigates the forecasting ability of survey data on exchange rate expectations with multiple forecast horizons. The survey forecasts are on the exchange rates of five Central and Eastern European currencies: Czech Koruna, Hungarian Forint, Polish Zloty, Romanian Leu and Slovakian...

Persistent link: https://www.econbiz.de/10010322480

The Joint Estimation of Term Structures and Credit Spreads

Houweling, Patrick; Hoek, Jaap; Kleibergen, Frank - 1999

We present a new framework for the joint estimation of the default-free government term structure and corporate credit spread curves. By using a data set of liquid, German mark denominated bonds, we show that this yields more realistic spreads than traditionally obtained spread curves that...

Persistent link: https://www.econbiz.de/10010324679

Estimating Implied Recovery Rates from the Term Structure of CDS Spreads

Jaskowski, Marcin; McAleer, Michael - 2013

Credit risk models should reflect the observation that the relevant value of collateral is generally not the average value of the asset over all possible states of nature. In most cases, the relevant value of collateral for the lender is its secondary market value in bad states of nature, where...

Persistent link: https://www.econbiz.de/10010326422

The term structure of risk premia: new evidence from the financial crisis

Berg, Tobias - 2010

This study calibrates the term structure of risk premia before and during the 2007/2008 financial crisis using a new calibration approach based on credit default swaps. The risk premium term structure was flat before the crisis and downward sloping during the crisis. The instantaneous risk...

Persistent link: https://www.econbiz.de/10011605211

The term structure of bond market liquidity conditional on the economic environment: An analysis of government guaranteed bonds

Schuster, Philipp; Uhrig-Homburg, Marliese - 2012

We analyze the term structure of illiquidity premiums as the difference between the yield curves of two major bond segments that are both government guaranteed but differ in their liquidity. We show that its characteristics strongly depend on the economic situation. In crisis times, illiquidity...

Persistent link: https://www.econbiz.de/10010310876

The equity premium and the volatility spread: The role of risk-neutral skewness

Feunou, Bruno; Fontaine, Jean-Sébastien; Tedongap, Roméo - 2009

, variance and an independent skewness parameter under both measures. The model predicts that the spread between historical and … risk-neutral volatilities is a function of the risk premium and of skewness. In fact, the equity premium is twice the ratio … of the volatility spread to skewness. We measure skewness from option prices and test these predictions. We find that …

Persistent link: https://www.econbiz.de/10010279907

Correlation between intensity and recovery in credit risk models

Gaspar, Raquel M.; Slinko, Irina - 2005

We start by presenting a reduced-form multiple default type of model and derive abstract results on the influence of a state variable X on credit spreads, when both the intensity and the loss quota distribution are driven by X. The aim is to apply the results to a concrete real life situation,...

Persistent link: https://www.econbiz.de/10010281231

Term structures of asset prices and returns

Backus, David; Boyarchenko, Nina; Chernov, Mikhail - 2016

We explore the term structures of claims to a variety of cash flows: U.S. government bonds (claims to dollars), foreign government bonds (claims to foreign currency), inflation-adjusted bonds (claims to the price index), and equity (claims to future equity indexes or dividends). Average term...

Persistent link: https://www.econbiz.de/10011538004

The German sub-national government bond market: evolution, yields and liquidity

Schulz, Alexander; Wolff, Guntram B. - 2008

The paper presents a comprehensive data set of all bonds issued by the sixteen German states (L¨ander) since 1992. It thus provides a complete picture of a capital market comparable in size to funds raised in the German fixed income market for corporations. The quantitative analysis reveals...

Persistent link: https://www.econbiz.de/10010295878

Level-Slope-Curvature - Fact or Artefact?

Lord, Roger; Pelsser, Antoon - 2005

The first three factors resulting from a principal components analysis of term structure data are in the literature typically interpreted as driving the level, slope and curvature of the term structure. Using slight generalisations of theorems from total positivity, we present sufficient...

Persistent link: https://www.econbiz.de/10010325482