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that the relative equity and bond yield values are, to a large extent, driven by inflation volatility. High inflation … benign inflation volatility when the bond yield became higher. Evidence for a long span of US data, and shorter German …Understanding the behaviour of the equity yield and its relation to the bond yield is important for portfolio managers …
Persistent link: https://www.econbiz.de/10011963922
bonds with higher collateral haircuts. The importance of collateral haircuts on bond yields remains robust after controlling …
Persistent link: https://www.econbiz.de/10012851746
This paper investigates the power of macroeconomic factors to explain euro area bond risk premia using (i) a big …
Persistent link: https://www.econbiz.de/10013014181
This paper investigates the power of macroeconomic factors to explain euro area bond risk premia using (i) a large …
Persistent link: https://www.econbiz.de/10012984568
level and money supply on money market rates and government bond yields. Expected consumption growth is modelled using …
Persistent link: https://www.econbiz.de/10013133488
This paper presents a no-arbitrage model of the yield curve that explicitly incorporates the central-bank policy rate. After having estimated the model using daily euro-area data, I explore the behavior of risk premia at the short end of the yield curve. These risk premia are neglected by the...
Persistent link: https://www.econbiz.de/10013090277
In this paper, I investigate the effects of the ECB's monetary policy on the yield curve, and make contributions at three levels. First, I propose a novel and tractable model of the yield curve that belongs to the class of affine term-structure models. Importantly, this model is consistent with...
Persistent link: https://www.econbiz.de/10013090831
This paper presents a no-arbitrage yield-curve model that explicitly incorporates the central-bank policy rate. The model, whose estimation is based on daily euro-area data, provides evidence of the existence of sizeable monetary-policy-related risk premiums in the yield curve. It is further...
Persistent link: https://www.econbiz.de/10013066510
depend on the type and nature of the surprise and change over time. Decomposing bond yields into expected short-term interest … rates and the term premium reveals that both signalling and portfolio rebalancing effects explain the responses of bond … important to Swiss government bond yields than Swiss stock prices …
Persistent link: https://www.econbiz.de/10013492717
We investigate the synchronization of Eurozone's government bond yields at different maturities. For this purpose, we … combine principal component analysis with random matrix theory. We find that synchronization depends upon yields maturity … partially recover after 2015. We show the existence of a duality between our empirical results and portfolio theory and we point …
Persistent link: https://www.econbiz.de/10012497031