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Economic Policy Uncertainty and the Yield Curve
Leippold, Markus; Matthys, Felix - 2022
Persistent link: https://www.econbiz.de/10013192097
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Economic policy uncertainty and the yield curve
Leippold, Markus; Matthys, Felix - In: Review of finance : journal of the European Finance … 26 (2022) 4, pp. 751-797
Persistent link: https://www.econbiz.de/10013349374
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Financialisation of agricultural commodity and its trading during COVID-19 pandemic
Mahalakshmi S.; Thiyagarajan, S.; Naresh G. - In: International journal of electronic finance : IJEF 10 (2021) 4, pp. 260-269
Persistent link: https://www.econbiz.de/10012798961
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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
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Oil prices in the real economy
Shu, Haicheng; Spencer, Peter D. - In: Journal of applied econometrics 38 (2023) 6, pp. 878-897
Persistent link: https://www.econbiz.de/10014432198
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The Effects of the Spread Risk in Terms of Basis Points From Changes in the Market Prices of Callable Bond Future Due to Credit Risk : Evidence From the Twist Effect of the Yield C...
Guirguis, Michel - 2021
interest or the principal at maturity. Corporate bonds carry a significant degree of credit risk as they are related to the …
Persistent link: https://www.econbiz.de/10013232222
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Risks in macroeconomic fundamentals and excess bond returns predictability
De Rezende, Rafael B. - 2015 - February 2015
I provide evidence that risks in macroeconomic fundamentals contain valuable information about bond risk premia. I extract factors from a set of quantile-based risk measures estimated for US macroeconomic variables and document that they account for up to 31% of the variation in excess bond...
Persistent link: https://www.econbiz.de/10010478516
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Euro area sovereign bond risk premia before and during the Covid-19 pandemic
Corradin, Stefano; Schwaab, Bernd - In: European economic review : EER 153 (2023), pp. 1-20
Persistent link: https://www.econbiz.de/10014430964
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Oil Price Shocks and Bond Risk Premia Evidence from a Panel of 15 Countries
Iania, Leonardo; Lyrio, Marco; Nersisyan, Liana - 2023
We study the effect of oil price shocks on bond risk premia. Based on Baumeister and Hamilton (2019), we identify the different sources of oil price shocks using a structural vector autoregressive (SVAR) model of the global market for crude oil. These structural factors are then used as...
Persistent link: https://www.econbiz.de/10014356281
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Oil Price Shocks and Bond Risk Premia : Evidence from a Panel of 15 Countries
Iania, Leonardo; Lyrio, Marco; Nersisyan, Liana - 2023
We study the effect of oil price shocks on bond risk premia. Based on Baumeister and Hamilton (2019), we identify the different sources of oil price shocks using a structural vector autoregressive (SVAR) model of the global market for crude oil. These structural factors are then used as...
Persistent link: https://www.econbiz.de/10014350910