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Macro risks and the term structure of interest rates

Bekaert, Geert; Engstrom, Eric; Ermolov, Andrey - In: Journal of financial economics 141 (2021) 2, pp. 479-504

Persistent link: https://www.econbiz.de/10013259807

The role of term spread and pattern changes in predicting stock returns and volatility of the United Kingdom : evidence from a nonparametric causality-in-quantiles test using over...

Gupta, Rangan; Risse, Marian; Volkman, David A.; Wohar, … - In: The North American journal of economics and finance : a … 47 (2019), pp. 391-405

Persistent link: https://www.econbiz.de/10012117890

Downturns and changes in the yield slope

Abbritti, Mirko; Equiza, Juan; Moreno, Antonio; Trani, … - In: Journal of forecasting 43 (2024) 3, pp. 673-701

Persistent link: https://www.econbiz.de/10014532378

Term structure persistence

Abbritti, Mirko; Gil-Alaña, Luis A.; Lovcha, Yuliya; … - In: Journal of financial econometrics : official journal of … 14 (2016) 2, pp. 331-352

Persistent link: https://www.econbiz.de/10011589005

Movements in yields, not the equity premium : Bernanke-Kuttner redux

Nagel, Stefan; Xu, Zhengyang - 2024

We show that the stock market price reaction to monetary policy surprises upon announcements of the Federal Open Market Committee (FOMC) is explained mostly by changes in the default-free term structure of yields, not by changes in the equity premium. We reach this conclusion based on a new...

Persistent link: https://www.econbiz.de/10015052545