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Hedging interest rate risk using a structural model of credit risk

Huang, Jing-Zhi; Shi, Zhan - 2016

corporate bond returns to the entire yield curve, thereby providing a solution to the puzzle. In addition, hedging effectiveness … improvement in hedging effectiveness …

Persistent link: https://www.econbiz.de/10011810957

Wages, inflation, and mortgage design

Nejadmalayeri, Ali - In: Journal of economics & business 63 (2011) 5, pp. 503-516

Persistent link: https://www.econbiz.de/10009299123

Monetary policy and risk-taking : evidence from Thai corporate bond markets

Warinthip Worasak; Nuwat Nookhwun; Pongpitch Amatyakul - 2022

Persistent link: https://www.econbiz.de/10013431587

Credit spread implied by inflation-indexed convertible bonds

Landskroner, Yoram; Raviv, Alon - In: Banking review 8 (2003), pp. 15-31

Persistent link: https://www.econbiz.de/10001961607

Long-term investment with stochastic interest and inflation rates : the need for inflation-indexed bonds

Mkaouar, Farid; Prigent, Jean-Luc; Abid, Ilyes - In: Economic modelling 67 (2017), pp. 228-247

Persistent link: https://www.econbiz.de/10011813816

The impact of liquidity on inflation-linked bonds : a hypothetical indexed bonds approach

Auckenthaler, Julia; Kupfer, Alexander; Sendlhofer, Rupert - In: The North American journal of economics and finance : a … 32 (2015), pp. 139-154

Persistent link: https://www.econbiz.de/10011514457

Residual inflation risk

Illeditsch, Philipp Karl - In: Management science : journal of the Institute for … 64 (2018) 11, pp. 5289-5314

Persistent link: https://www.econbiz.de/10011947163

Do inflation-linked bonds contain information about future inflation?

Vicente, José Valentim Machado; Guillén, Osmani … - In: Revista brasileira de economia : RBE ; revista da … 67 (2013) 2, pp. 251-260

Persistent link: https://www.econbiz.de/10011443921

Pricing TIPS and treasuries with linear regressions

Abrahams, Michael; Adrian, Tobias; Crump, Richard K.; … - 2012

We present an affine term structure model for the joint pricing of Treasury Inflation-Protected Securities (TIPS) and Treasury yield curves that adjusts for TIPS' relative illiquidity. Our estimation using linear regressions is computationally very fast and can accommodate unspanned factors. The...

Persistent link: https://www.econbiz.de/10009624301

Inflation expectations, real rates, and risk premia : evidence from inflation swaps

Haubrich, Joseph Gerard; Pennacchi, George G.; … - In: The review of financial studies 25 (2012) 5, pp. 1588-1629

Persistent link: https://www.econbiz.de/10009536409

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