Narrow search
Showing 1 - 10 of 249
Cover Image
Lévy-Vasicek models and the long-bond return process
Brody, Dorje C.; Hughston, Lane P.; Meier, David M. - In: International journal of theoretical and applied finance 21 (2018) 3, pp. 1-26
Persistent link: https://www.econbiz.de/10011889447
Cover Image
Tracing the impact of the ECB's asset purchase programme on the yield curve
Eser, Fabian; Lemke, Wolfgang; Nyholm, Ken; Radde, Sören; … - 2020
We trace the impact of the European Central Bank (ECB) asset purchase programme (APP) on the yield curve. Exploiting granular information on sectoral asset holdings and ECB asset purchases, we construct a novel measure of the "free-float of duration risk" borne by pricesensitive investors. We...
Persistent link: https://www.econbiz.de/10012424954
Cover Image
What factors shape the liquidity levels of euro area sovereign bonds?
Jurksas, Linas - In: Open economics 1 (2018) 1, pp. 154-166
hundred bonds from six largest euro area sovereign bond markets. The created variables were used in a cross …-sectional regression model. The results revealed that characteristics of sovereign bonds are indeed highly linked with bond liquidity …
Persistent link: https://www.econbiz.de/10011989217
Cover Image
Monetary policy, bond returns and debt dynamics
Berndt, Antje; Yeltekin, Şevin - In: Journal of monetary economics 73 (2015), pp. 119-136
Persistent link: https://www.econbiz.de/10011381760
Cover Image
Corporate yields and sovereign yields
Bevilaqua, Julia; Hale, Galina; Tallman, Eric - In: Journal of international economics 124 (2020), pp. 1-15
Persistent link: https://www.econbiz.de/10012590677
Cover Image
Sovereign debt : understanding bond markets during the eurozone crisis
Bowdler, Christopher (contributor) - 2013
Persistent link: https://www.econbiz.de/10010344647
Cover Image
Green bond pricing and its determinant : evidence from Chinese secondary market
Janda, Karel; Zhang, Binyi - In: Regulation of Finance and Accounting : 21st and 22nd …, (pp. 191-211). 2022
Persistent link: https://www.econbiz.de/10013448491
Cover Image
Fixed income analytics
Garbade, Kenneth D. (ed.) - 1996
Persistent link: https://www.econbiz.de/10013481458
Cover Image
Habits die hard : implications for bond and stock markets internationally
Nitschka, Thomas; Satkurunathan, Shajivan - 2021
nominal government bond yields and the stock price dynamics of six major economies from 1988 until 2019. We calibrate the …-year government bond yields allows one to generate articifical time series of bond yields and price-consumption ratios that follow the …
Persistent link: https://www.econbiz.de/10013327990
Cover Image
The sovereign spread in Asian emerging economies : the significance of external versus internal factors
Banerji, Sanjay; Ventouri, Alexia; Wang, Zilong - In: Economic modelling 36 (2014), pp. 566-576
Persistent link: https://www.econbiz.de/10010416353