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Interest rate convergence in euro-candidate countries : volatility dynamics of sovereign bond yields
Gabrisch, Hubert; Orłowski, Lucjan T. - In: Emerging markets finance & trade : a journal of the … 46 (2010) 6, pp. 69-85
Persistent link: https://www.econbiz.de/10009238982
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Modelling asymmetric sovereign bond yield volatility with univariate GARCH models : evidence from India
Lithin BM; Chakraborty, Suman; Iyer, Vishwanathan; Nikhil MN - In: Cogent economics & finance 11 (2023) 1, pp. 1-33
Does Indian sovereign yield volatility reflect economic fundamentals, or whether it is a self-generated force flowing … through markets with little connection to such fundamentals? To answer the question, this research explores the volatility … dynamics and measures the persistence of shocks to the sovereign bond yield volatility in India from 1 January 2016, to 18 May …
Persistent link: https://www.econbiz.de/10014500716
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What can EMU countries’ sovereign bond spreads tell us about market perceptions of default probabilities during the recent financial crisis?
Dötz, Niko; Fischer, Christoph - 2010
This paper presents a new approach for analysing the recent development of EMU sovereign bond spreads. Based on a GARCH-in-mean model originally used in the exchange rate target zone literature, spreads are decomposed into a risk premium, an expected loss component and a liquidity premium....
Persistent link: https://www.econbiz.de/10003974397
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Macro news and bond yield spreads in the Euro area
Caporale, Guglielmo Maria; Spagnolo, Fabio; Spagnolo, Nicola - 2014
reaction has increased during the recent financial crisis. News volatility has a significant impact on yield spread volatility …
Persistent link: https://www.econbiz.de/10010417491
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Macro news and bond yield spreads in the euro area
Caporale, Guglielmo Maria; Spagnolo, Fabio; Spagnolo, Nicola - 2014
reaction has increased during the recent financial crisis. News volatility has a significant impact on yield spread volatility …
Persistent link: https://www.econbiz.de/10010417494
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An Update on EMU Sovereign Yield Spread Drivers in Times of Crisis : A Panel Data Analysis
Gómez-Puig, Marta - 2014
We empirically investigate the determinants of EMU sovereign bond yield spreads with respect to the German bund. Using panel data techniques, we examine the role of a wide set of potential drivers. To our knowledge, this paper presents one of the most exhaustive compilations of the variables...
Persistent link: https://www.econbiz.de/10013057493
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Volatility of yields of government bonds among GIIPS Countries during the sovereign debt crisis in the Euro Area
Heryán, Tomáš; Ziegelbauer, Jan - In: Equilibrium : quarterly journal of economics and … 11 (2016) 1, pp. 61-74
Persistent link: https://www.econbiz.de/10011487821
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Interest Rate Risk and Monetary Policy Normalisation in the Euro Area
Molyneux, Philip; Pancotto, Livia; Reghezza, Alessio; … - 2021
In the current low interest rate environment in the euro area there is potential for a sudden increase in interest rates and heightened interest rate risk (IRR). By using a sample of 81 euro area banks during the period 2014Q4-2018Q1 and a confidential supervisory measure of IRR, this paper...
Persistent link: https://www.econbiz.de/10013314909
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Die Bewertung von Zinsoptionen
Walter, Ulrich - 1996
Persistent link: https://www.econbiz.de/10000560789
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Interest rate dynamics, derivatives pricing, and risk management
Chen, Lin - 1996
Persistent link: https://www.econbiz.de/10013278137