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Stock and sovereign returns linkages : time-varying causality and extreme-quantile determinants
Afonso, António; Alves, José; Grabowski, Wojciech; … - 2025
, in the U.S. and Germany, in the period 1990-2024. Specifically, we focus on the lowest 5% quantile of stock returns and …
Persistent link: https://www.econbiz.de/10015197299
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What moves treasury yields?
Mönch, Emanuel; Soofi-Siavash, Soroosh - 2021
Persistent link: https://www.econbiz.de/10012498409
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Oil price uncertainty and movements in the US government bond risk premia
Balcilar, Mehmet; Gupta, Rangan; Wang, Shixuan; Wohar, … - In: The North American journal of economics and finance : a … 52 (2020), pp. 1-15
Persistent link: https://www.econbiz.de/10012654789
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Dynamic impact of the US yield curve on green bonds : navigating through recent crises
Umar, Zaghum; Iqbal, Najaf; Teplova, Tamara V.; Tan, Duojiao - In: The North American journal of economics and finance : a … 74 (2024), pp. 1-23
Persistent link: https://www.econbiz.de/10015133670
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A measure of quantile-on-quantile connectedness for the US treasury yield curve spread, the US Dollar, and gold price
Wang, Mei-Chih; Chang, Tsangyao; Mikhaylov, Alexey; … - In: The North American journal of economics and finance : a … 74 (2024), pp. 1-16
Persistent link: https://www.econbiz.de/10015133703
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Not Just the News : Higher Moments of Macroeconomic Variables and Sovereign Bond Returns
Li, Yulin; Wald, John K.; Wang, Zijun - 2023
Using sovereign debt data from 47 countries, we document that the third moment (skewness) of unemployment changes has a positive and significant relation with sovereign bond returns. Thus, while investors require risk premia for exposure to macroeconomic shocks (Campbell, 1996), we find that the...
Persistent link: https://www.econbiz.de/10014257366
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Macro news and bond yield spreads in the euro area
Caporale, Guglielmo Maria; Spagnolo, Fabio; Spagnolo, Nicola - In: The European journal of finance 24 (2018) 1/3, pp. 114-134
Persistent link: https://www.econbiz.de/10012244285
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Volatility of Real Return and Impact of Monetary Policy Rates on Yield of the 182 Days Treasury Bills in India
Vijayalakshmi, P - 2020
and trading of 182 days treasury bills in the secondary market and the impact of monetary policy rates on average yield on …
Persistent link: https://www.econbiz.de/10012839555
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From bond yield to macroeconomic instability : a parsimonious affine model
Recchioni, Maria Cristina; Tedeschi, Gabriele - In: European journal of operational research : EJOR 262 (2017) 3, pp. 1116-1135
Persistent link: https://www.econbiz.de/10011802489
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The behaviour of the equity yield and its relation with the bond yield : the role of inflation
McMillan, David G. - In: International Journal of Financial Studies : open … 6 (2018) 4, pp. 1-18
Understanding the behaviour of the equity yield and its relation to the bond yield is important for portfolio managers … and those engaged in modelling the interaction between asset classes. During the mid-1900s, the equity yield-which was … previously greater than the bond yield-declined, while the bond yield rose and became higher. Research, seeking to understand …
Persistent link: https://www.econbiz.de/10011963922