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Decomposing the effect of domestic and foreign economic policy uncertainty shocks on real and financial sectors : evidence from BRIC countries
Kumar, Ameet; Kalhoro, Muhammad Ramzan; Kumar, Rakesh; … - In: Journal of risk and financial management : JRFM 13 (2020) 12/315, pp. 1-23
This study examines the impact of domestic and foreign shocks on the real and financial sector of BRIC countries. For … that domestic policy shocks have a more substantial impact on Brazilian, Indian, and Russian economy than foreign shocks …, while foreign shocks have more contribution in the case of China. Interestingly, results show the negative impact of policy …
Persistent link: https://www.econbiz.de/10012392584
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Macroeconomic risk and treasury bill pricing : an application of the FACTOR-ARCH model
Sill, D. Keith - 1993
Persistent link: https://www.econbiz.de/10000880334
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Are liquidity and information risks priced in the treasury bond market?
Li, Haitao; Wang, Junbo; Wu, Chunchi; He, Yan - In: The journal of finance : the journal of the American … 64 (2009) 1, pp. 467-503
Persistent link: https://www.econbiz.de/10003853125
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Sharpe and Treynor ratios on treasury bonds
Pilotte, Eugene A.; Sterbenz, Frederic P. - In: The journal of business : B 79 (2006) 1, pp. 149-180
Persistent link: https://www.econbiz.de/10003301944
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Equity tail risk in the treasury bond market
Ruzzi, Dario; Rubin, Mirco - 2020
Persistent link: https://www.econbiz.de/10012610635
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Economic policy uncertainty and volatility of treasury futures
Zhang, Maojun; Zhao, Yang; Nan, Jiangxia - In: Review of derivatives research 25 (2022) 1, pp. 93-107
Persistent link: https://www.econbiz.de/10013191386
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Macroeconomic uncertainty and the distant forward-rate slope
Connolly, Robert A.; Dubofsky, David A.; Stivers, … - In: Journal of empirical finance 48 (2018), pp. 140-161
Persistent link: https://www.econbiz.de/10012109285
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New measures for inflation uncertainty and disagreement from treasury auctions : alternative to surveys
Güler, Mustafa Haluk; Polat, Tandoğan - In: Emerging markets finance & trade : a journal of the … 54 (2018) 4/5/6, pp. 881-900
Persistent link: https://www.econbiz.de/10012123524
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Risks and risk premia in the US Treasury market
Li, Junye; Sarno, Lucio; Zinna, Gabriele - In: Journal of economic dynamics & control 158 (2024), pp. 1-24
Persistent link: https://www.econbiz.de/10014532189
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Regime shifts in a long-run risks model of stock and treasury bond markets
Li, Kai; Xu, Chenjie - In: China finance review international 12 (2022) 4, pp. 541-570
Persistent link: https://www.econbiz.de/10013453608