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Jumps in bond yields at known times
Kim, Don H.; Wright, Jonathan H. - 2014
Persistent link: https://www.econbiz.de/10011286165
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Jumps in bond yields at known times
Kim, Don H.; Wright, Jonathan H. - 2014
Persistent link: https://www.econbiz.de/10010461270
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Jumps in Bond Yields at Known Times
Kim, Don H. - 2014
We construct a no-arbitrage term structure model with jumps in the entire state vector at deterministic times but of random magnitudes. Jump risk premia are allowed for. We show that the model implies a closed-form representation of yields as a time-inhomogenous affine function of the state...
Persistent link: https://www.econbiz.de/10013043278
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Jumps in Bond Yields at Known Times
Kim, Don H. - 2014
We construct a no-arbitrage term structure model with jumps in the entire state vector at deterministic times but of random magnitudes. Jump risk premia are allowed for. We show that the model implies a closed-form representation of yields as a time-inhomogenous affine function of the state...
Persistent link: https://www.econbiz.de/10012457955
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Non-Monetary News in Central Bank Communication
Cieslak, Anna - 2019
interest rates combined with monotonicity restrictions across the yield curve. We find significant differences in news …
Persistent link: https://www.econbiz.de/10012896694
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Yield curve momentum
Sihvonen, Markus - 2021
autocorrelation in bond risk premia and because unexpected bond return shocks increase the premium. Yield curve momentum is primarily … due to autocorrelation in yield changes rather than autocorrelation in bond carry and can largely be captured using a … single bond return or yield change factor. Because yield changes are partly induced by changes in the federal funds rate …
Persistent link: https://www.econbiz.de/10012665285
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Announcements of ECB unconventional programs : implications for the sovereign risk of Italy
Falagiarda, Matteo; Reitz, Stefan - 2013
yield spread relative to German counterparts. Particularly, among the different types of measures, news about the Securities …
Persistent link: https://www.econbiz.de/10009783711
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Tests for jumps in yield spreads
Winkelmann, Lars; Yao, Wenying - 2021
coherent inference procedure that detects a jump in the yield spread only if at least one of the two underlying bonds displays …
Persistent link: https://www.econbiz.de/10012655372
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Sovereign Bond Yield Spreads : A Time-Varying Coefficient Approach
Bernoth, Kerstin - 2010
We study the determinants of sovereign bond yield spreads across 10 EMU countries between Q1/1999 and Q1/2010. We apply … a semiparametric time-varying coefficient model to identify, to what extent an observed change in the yield spread is …
Persistent link: https://www.econbiz.de/10013135691
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Which Combination of Fiscal and External Imbalances to Determine the Long-Run Dynamics of Sovereign Bond Yields?
Ben Salem, Melika - 2016
In the aftermath of the crisis, sovereign risk premium differentials have been increasingly widening. Although the perceived risk for core countries remains relatively low, financial markets seem to discriminate among peripheral economies requiring higher risk premia than what is justified by...
Persistent link: https://www.econbiz.de/10012979651