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Budgetary decomposition and yield spreads
Afonso, António; Jalles, João Tovar - 2015
Persistent link: https://www.econbiz.de/10011549287
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Bond return predictability : economic value and links to the macroeconomy
Pettenuzzo, Davide; Gargano, Antonio; Timmermann, Allan - 2014
Persistent link: https://www.econbiz.de/10010505306
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Bond return predictability : economic value and links to the macroeconomy
Gargano, Antonio; Pettenuzzo, Davide; Timmermann, Allan - 2014
Persistent link: https://www.econbiz.de/10010409119
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Le cycle d'affaires et le risque de défaut
Gatfaoui, Hayette; Radacal, François - In: Finance : revue de l'Association Française de Finance 23 (2002) Numéro hors série, pp. 47-75
Persistent link: https://www.econbiz.de/10001782544
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Safe Asset Migration
Ross, Chase P. - 2020
Post-crisis reforms changed the location of safe asset production. I propose a pair of tests to identify who issues safe assets and which safe asset issuers opportunistically time issuance when the price of safe assets is high. The Federal Home Loan Bank (FHLB) system is a newly crucial safe...
Persistent link: https://www.econbiz.de/10012840062
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The Fundamentals of Safe Assets
Habib, Maurizio Michael - 2020
We study what makes government bonds a safe asset. Building on a sample of monthly changes in government bond yields in … changes in global risk (VIX). We find that inertia (whether the bond behaved as a safe asset in the past) and good …
Persistent link: https://www.econbiz.de/10012844631
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Safe Assets
Barro, Robert J. - 2017
will be nil. With heterogeneity in coefficients of relative risk aversion, safe assets can take the form of private bond …
Persistent link: https://www.econbiz.de/10012956330
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Bond Return Predictability : Economic Value and Links to the Macroeconomy
Gargano, Antonio - 2017
Studies of bond return predictability find a puzzling disparity between strong statistical evidence of return … accounting for important features of bond return models such as time varying parameters, volatility dynamics, and unspanned macro … performance of forecast combinations. Consistent with models featuring unspanned macro factors, our forecasts of future bond …
Persistent link: https://www.econbiz.de/10012972962
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Safe Assets
Barro, Robert J. - 2015
take the form of private bond issues from low-risk-aversion agents to high-risk-aversion agents. I work out the quantity of …
Persistent link: https://www.econbiz.de/10013026011
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Safe Assets
Barro, Robert J. - 2014
will be nil. With heterogeneity in coefficients of relative risk aversion, safe assets can take the form of private bond …
Persistent link: https://www.econbiz.de/10013044613