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Secular economic changes and bond yields
Feunou, Bruno; Fontaine, Jean-Sébastien - 2021 - Last updated: March 19, 2021
We build a model for bond yields based on a small-scale representation of an economy with secular declines in inflation … bond yields via the term premium. …
Persistent link: https://www.econbiz.de/10012488074
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Oil Price Shocks and Economic Growth : The Volatility Link
Maheu, John M.; Song, Yong; Yang, Qiao - 2019
This paper shows that oil shocks primarily impact economic growth through the conditional variance of growth. Our comparison of models focuses on density forecasts. Over a range of dynamic models, oil shock measures and data we fi nd a robust link between oil shocks and the volatility of...
Persistent link: https://www.econbiz.de/10014114772
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Why have the recent oil price declines not stimulated global economic growth?
Theobald, Thomas; Hohlfeld, Peter - 2017
We analyze the global relationship between oil prices, commodity-specific financial marketshocks and economic activity by means of Structural Vector Autoregressive (SVAR) models for the period 1996 - 2015. For the financial market variables in our model, we use a breakdown of G-20 countries into...
Persistent link: https://www.econbiz.de/10011720456
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Analysing oil price- macroeconomic volatility in Nigeria
Abdulkareem, Alhassan; Abdulhakeem, Kilishi A. - In: CBN journal of applied statistics 7 (2016) 1, pp. 1-22
This study provides analytical insight on modelling macroeconomic and oil price volatility in Nigeria. Mainly, the paper employed GARCH model and its variants (GARCH-M, EGARCH and TGARCH) with daily, monthly and quarterly data. The findings reveal that: all the macroeconomic variables considered...
Persistent link: https://www.econbiz.de/10011460195
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No-Arbitrage Near-Cointegrated Var(p) Term Structure Models, Term Premia and GDP Growth
Jardet, Caroline - 2011
The recent macro-finance yield curve literature does not agree neither about term premia empirical properties nor about the importance or even the direction of its relationship with future economic activity. This paper proposes a two-step approach to handle both problems. First, in a VAR...
Persistent link: https://www.econbiz.de/10013132933
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Pricing sovereign debt in resource rich economies?
McGregor, Thomas - 2017
Persistent link: https://www.econbiz.de/10011895959
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Equilibrium Growth, Inflation, and Bond Yields
Kung, Howard - 2012
This paper explores bond pricing implications of a stochastic endogenous growth model with imperfect price adjustment … inflation dynamics are crucial for explaining a number of stylized facts in bond markets. Notably, when calibrated to a wide … range of macroeconomic data, the model quantitatively explains the means and volatilities of nominal bond yields. The model …
Persistent link: https://www.econbiz.de/10013109941
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Revisiting the Impact of Oil Price Shocks on Macroeconomic Performance : An International Perspective
Shen, Yifan - 2019
Dramatic fluctuations in oil prices from time to time demand more research that can evaluate the impact of oil price shocks across the globe. Using a large-scale structural vector autoregression (SVAR) model that allows for an evolving parameter structure and that covers 60 oil-importing and...
Persistent link: https://www.econbiz.de/10012897959
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Oil prices and the global economy : is it different this time around?
Mohaddes, Kamiar; Pesaran, M. Hashem - 2016
The recent plunge in oil prices has brought into question the generally accepted view that lower oil prices are good for the US and the global economy. In this paper, using a quarterly multi-country econometric model, we first show that a fall in oil prices tends relatively quickly to lower...
Persistent link: https://www.econbiz.de/10011502542
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The Macroeconomic Determinants of the US Term-Structure during the Great Moderation
Paccagnini, Alessia - 2014
The aim of this paper is to study how macroeconomic impulses can affect the term structure during the Great Moderation. As novelty in the research strategy, we create a term-structure using three latent factors of the yield curve. A Nelson-Siegel Model is implemented to estimate the latent...
Persistent link: https://www.econbiz.de/10014144946