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Jumps in bond yields at known times
Kim, Don H.; Wright, Jonathan H. - 2014
Persistent link: https://www.econbiz.de/10011286165
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Jumps in bond yields at known times
Kim, Don H.; Wright, Jonathan H. - 2014
Persistent link: https://www.econbiz.de/10010461270
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Jumps in Bond Yields at Known Times
Kim, Don H. - 2014
We construct a no-arbitrage term structure model with jumps in the entire state vector at deterministic times but of random magnitudes. Jump risk premia are allowed for. We show that the model implies a closed-form representation of yields as a time-inhomogenous affine function of the state...
Persistent link: https://www.econbiz.de/10013043278
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Jumps in Bond Yields at Known Times
Kim, Don H. - 2014
We construct a no-arbitrage term structure model with jumps in the entire state vector at deterministic times but of random magnitudes. Jump risk premia are allowed for. We show that the model implies a closed-form representation of yields as a time-inhomogenous affine function of the state...
Persistent link: https://www.econbiz.de/10012457955
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Fiscal policy announcements of Italian governments and spread reaction during the sovereign debt crisis
Falagiarda, Matteo; Gregori, Wildmer Daniel - 2014
This paper attempts to evaluate the effects of fiscal policy announcements by the Italian government on the long-term sovereign bond spread of Italy relative to Germany. After collecting data on relevant fiscal policy announcements, we perform an econometric comparative analysis between the...
Persistent link: https://www.econbiz.de/10011729077
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Non-Monetary News in Central Bank Communication
Cieslak, Anna - 2019
interest rates combined with monotonicity restrictions across the yield curve. We find significant differences in news …
Persistent link: https://www.econbiz.de/10012896694
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'Loose Lips Sinking Markets?' : The Impact of Political Communication on Sovereign Bond Spreads
Gade, Thomas - 2013
Taking a cue from the assertion that “loose lips sink markets” (Carmassi and Micossi, 2010), this paper investigates to what extent and why political communication has had an impact on the sovereign bond spreads of selected euro area countries over the German Bund. Drawing on 25,000 news...
Persistent link: https://www.econbiz.de/10013079362
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Yield curve momentum
Sihvonen, Markus - 2021
autocorrelation in bond risk premia and because unexpected bond return shocks increase the premium. Yield curve momentum is primarily … due to autocorrelation in yield changes rather than autocorrelation in bond carry and can largely be captured using a … single bond return or yield change factor. Because yield changes are partly induced by changes in the federal funds rate …
Persistent link: https://www.econbiz.de/10012665285
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Tests for jumps in yield spreads
Winkelmann, Lars; Yao, Wenying - 2021
coherent inference procedure that detects a jump in the yield spread only if at least one of the two underlying bonds displays …
Persistent link: https://www.econbiz.de/10012655372
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'Loose Lips Sinking Markets?' : The Impact of Political Communication on Sovereign Bond Spreads
Gade, Thomas - 2013
Taking a cue from the assertion that "loose lips sink markets" (Carmassi and Micossi, 2010), this paper investigates to what extent and why political communication has had an impact on the sovereign bond spreads of selected euro area countries over the German Bund. Drawing on 25,000 news media...
Persistent link: https://www.econbiz.de/10013081470