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Akram, Tanweer; Li, Huiqing - 2020

This paper analyzes the nominal yields of UK gilt-edged securities ("gilts") based on a Keynesian perspective, which holds that the short-term interest rate is the primary driver of the long-term interest rate. Quarterly data are used to model gilts' nominal yields. These models bring to light...

Persistent link: https://www.econbiz.de/10012291941

Government default, bonds, and bank lending around the world : what do the data say?

Gennaioli, Nicola; Martin, Alberto; Rossi, Stefano - 2016

Persistent link: https://www.econbiz.de/10011606947

Linkages and co-movement between international stock market returns : case of Dow Jones Islamic Dubai Financial Market index

Alaoui, Abdelkader O. el; Dewandaru, Ginanjar; Rosly, … - In: Journal of international financial markets, … 36 (2015), pp. 53-70

Persistent link: https://www.econbiz.de/10011474903

Modeling euro area bond yields using a time-varying factor model

Adam, Tomáš; Lo Duca, Marco - 2017

In this paper, we study the dynamics and drivers of sovereign bond yields in euro area countries using a factor model … mechanism of bond yields. Our key contribution is exploring both the global and the local dimensions of bond yield determinants … periphery euro area bond yields from the core countries yields following the financial crisis and the scope of their subsequent …

Persistent link: https://www.econbiz.de/10011637545

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

Discount rates, debt maturity, and the fiscal theory

Corhay, Alexandre; Kind, Thilo; Kung, Howard; Morales, … - 2021

This paper examines how the transmission of government portfolio risk arising from maturity operations depends on the stance of monetary/fiscal policy. Accounting for risk premia in the fiscal theory allows the government portfolio to affect the expected inflation, even in a frictionless...

Persistent link: https://www.econbiz.de/10012643869