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Multicountry time-varying Taylor rule : modeling unconventional monetary policies and bond premiums

Morita, Tohru - In: International advances in economic research 30 (2024) 2, pp. 135-158

Persistent link: https://www.econbiz.de/10014583856

Central Bank Tone and Currency Risk Premia

Dossani, Asad - 2020

I analyze how the tone of central bank press conferences impacts risk premia in the currency market. I measure tone as the difference between the number of hawkish and dovish phrases made during a press conference. I show that central bank tone contemporaneously explains option implied risk...

Persistent link: https://www.econbiz.de/10012850585

A global monetary policy factor in sovereign bond yields

Malliaropulos, Dimitris; Migiakis, Petros - In: Journal of empirical finance 70 (2023), pp. 445-465

Persistent link: https://www.econbiz.de/10014423743

Three essays on international finance

Borisenko, Dmitrij - 2019

-Prämie-Anomalie, der Geldpolitik und Wechselkursdynamik, sowie der Messung der geldpolitischen Erwartungen aus den Vermögenspreisen. Im … Pozdeev) dokumentieren wir einen Trend in den Wechselkurse vor Anpassungen der Geldpolitik in den Industrieländern. Die … vorhergesagten Leitzinsanhebungen (-senkungen) liefert im Durchschnitt eine statistisch signifikante Rendite von mehr als 40 …

Persistent link: https://www.econbiz.de/10011992377

Influence of COVID-induced fear on sovereign bond yield

Paule-Vianez, Jessica; Orden-Cruz, Carmen; … - In: Economic research 35 (2022) 1,2, pp. 2173-2190

Persistent link: https://www.econbiz.de/10014382064

The long-run impact of sovereign yields on corporate yields in emerging markets

Li, Delong; Magud, Nicolas; Werner, Alejandro M.; … - 2021

We analyze the long-run impact of emerging-market sovereign bond yields on corporate bond yields, finding that the average pass-through is around one. The pass-through is larger in countries with greater sovereign risks and where sovereign bonds are more liquid. It is also greater for corporate...