Similar Search Results

Multifactorial analysis of the price formation in the terms of a risk-free rate

Anghelache, Constantin; Anghel, Mădălina-Gabriela; … - In: Theoretical and applied economics : GAER review 28 (2021) 3/628, pp. 33-44

Persistent link: https://www.econbiz.de/10013258864

A measure of Turkey's sovereign and banking sector credit risk: Asset swap spreads

Küçüksaraç, Doruk; Kazdal, Abdullah; İbrahim … - In: Central Bank Review (CBR) 21 (2021) 2, pp. 49-57

The existence of the credit derivatives written on the eurobonds such as credit default swaps or asset swaps allows policymakers and investors to monitor the evolvement of credit risk. However, these instruments are mostly available in advanced economies, whereas the market for credit...

Persistent link: https://www.econbiz.de/10014547715

Global factors, international spillovers, and the term structure of interest rates : new evidence for Asian countries

Guerello, Chiara; Tronzano, Marco - 2017

This paper provides new evidence about the role of common global factors exploring the existence of structural breaks in the long-run trend of the term structure and analyzes the spillover effects from unconventional monetary policiesrecently implemented by major industrialized countries. For a...

Persistent link: https://www.econbiz.de/10015410044

McCallum Rules, Exchange Rates, and the Term Structure of Interest Rates

Diez de los Rios, Antonio - 2009

McCallum (1994a) proposes a monetary rule where policymakers have some tendency to resist rapid changes in exchange rates to explain the forward premium puzzle. We estimate this monetary policy reaction function within the framework of an affine term structure model to find that, contrary to...

Persistent link: https://www.econbiz.de/10012720205

Unspanned Risks, Negative Local Time Risk Premiums, and Empirical Consistency of Models of Interest-Rate Claims

Bakshi, Gurdip - 2020

treatment considers models with market incompleteness and sources of volatility uncertainty …

Persistent link: https://www.econbiz.de/10012848794

Collateral Haircuts and Bond Yields in the European Government Bond Markets

Nguyen Minh - 2020

Analyzing a novel collateral haircut dataset, this paper investigates the relations between the collateral haircuts and the yields of Euro-area central government bonds. The empirical analysis shows that investors demand higher yields for bonds with higher collateral haircuts. The importance of...

Persistent link: https://www.econbiz.de/10012851746

A Macroeconomic Model with Financially Constrained Producers and Intermediaries

Elenev, Vadim - 2020

How much capital should financial intermediaries hold? We propose a general equilibrium model with a financial sector that makes risky long-term loans to firms, funded by deposits from savers. Government guarantees create a role for bank capital regulation. The model captures the sharp and...

Persistent link: https://www.econbiz.de/10012855646

The Impact of Oil Price Shocks on Turkish Sovereign Yield Curve

Cepni, Oguzhan - 2020

supply shock leads to a statistically significant increase in the level factor. This result shows that elevated oil prices …

Persistent link: https://www.econbiz.de/10012835709

Predictability of Treasury Bond Returns : Risk Premia or Overreaction?

Rebonato, Riccardo - 2019

We examine whether the predictability and business-cycle dependence of excess returns in US Treasuries can be more naturally explained in terms of state-dependent risk premia or a specific cognitive bias (representativeness). We show that the extremely parsimonious cognitive-bias model in...

Persistent link: https://www.econbiz.de/10012893290

The Information in the Joint Term Structures of Bond Yields

Meldrum, Andrew - 2019

While standard no-arbitrage term structure models are estimated using nominal yields from a single country, a growing … literature estimates joint models of yields in multiple countries or nominal and real yields from a single country. However, this … the dynamics of bond yields. Joint models of US and German nominal yields do not offer economically significant advantages …

Persistent link: https://www.econbiz.de/10012896396