in EUR swap yields and their volatility. The results of the estimated models of EUR swap yields of different maturity …This paper models the month-over-month change in euro-denominated (EUR) long-term interest rate swap yields. It shows … EUR swap yields of different maturity tenors, after controlling for various macroeconomic and financial variables, such as …

using inflation-induced equity market volatility (EMV) to better account for bond price determinants. The regression model …, a GED-GARCH (1,1) procedure, is adopted to deal with the volatility clustering and fat tail features in bond return … estimation. The testing results indicate that the inflation rate has a negative effect on bond returns across different …

implicit volatility by a decrease in the interest rate. We take our results as strong evidence that central banks use interest …

In this paper, we investigate the dynamic response of stock market volatility to changes in monetary policy. Using a … vector autoregressive model, our findings reveal a significant and asymmetric response of stock returns and volatility to … monetary policy shocks. Although the increase in the volatility risk premium, futures-trading volume, and leverage appear to …

In this paper, we investigate the dynamic response of stock market volatility to changes in monetary policy. Using a … vector autoregressive model, our findings reveal a significant and asymmetric response of stock returns and volatility to … monetary policy shocks. Although the increase in the volatility risk premium, futures-trading volume, and leverage appear to …