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Bond return predictability : economic value and links to the macroeconomy
Pettenuzzo, Davide; Gargano, Antonio; Timmermann, Allan - 2014
Persistent link: https://www.econbiz.de/10010505306
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Bond return predictability : economic value and links to the macroeconomy
Gargano, Antonio; Pettenuzzo, Davide; Timmermann, Allan - 2014
Persistent link: https://www.econbiz.de/10010409119
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Sovereign Illiquidity and Recessions
Gutkowski, Violeta - 2018
Motivated by the European debt crisis and European Central Bank (ECB) measures to restore sovereign bond market liquidity, I examine the importance of sovereign debt liquidity in a New Keynesian environment with wage rigidities and financial frictions à la Kiyotaki and Moore (2012). The...
Persistent link: https://www.econbiz.de/10012934189
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Sovereign illiquidity and recessions.
Gutkowski, Violeta A. - In: Journal of economic dynamics & control 122 (2021), pp. 1-26
Persistent link: https://www.econbiz.de/10012666050
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Bond Return Predictability : Economic Value and Links to the Macroeconomy
Gargano, Antonio - 2017
factors. A three-factor model comprising the Fama and Bliss (1987) forward spread, the Cochrane and Piazzesi (2005 …
Persistent link: https://www.econbiz.de/10012972962
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Bond return predictability : economic value and links to the macroeconomy
Gargano, Antonio; Pettenuzzo, Davide; Timmermann, Allan - In: Management science : journal of the Institute for … 65 (2019) 2, pp. 508-540
Persistent link: https://www.econbiz.de/10012000665
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International fund flows : surges, sudden stops and cyclicality
Li, Suxiao - 2017
Persistent link: https://www.econbiz.de/10011644516
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Stock market liquidity and the business cycle
Næs, Randi; Skjeltorp, Johannes A.; Ødegaard, Bernt Arne - In: The journal of finance : the journal of the American … 66 (2011) 1, pp. 139-176
Persistent link: https://www.econbiz.de/10008991181
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Predicting US recessions with stock market illiquidity
Chen, Shiu-sheng; Chou, Yu-Hsi; Yen, Chia-Yi - In: The B.E. journal of macroeconomics 16 (2016) 1, pp. 93-123
Persistent link: https://www.econbiz.de/10011508569
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Quantifying liquidity and default risks of corporate bonds over the business cycle
Chen, Hui; Cui, Rui; He, Zhiguo; Milbradt, Konstantin - In: The review of financial studies 31 (2018) 3, pp. 852-897
Persistent link: https://www.econbiz.de/10011925272