Similar Search Results

Estimating term premia at the zero bound : an analysis of Japanese, US, and UK yields

Ichiue, Hibiki; Uenko, Yoichi - 2013

Persistent link: https://www.econbiz.de/10009745067

Factors causing movements of yield curve in India

Kanjilal, Kakali - In: Economic modelling 31 (2013), pp. 739-751

Persistent link: https://www.econbiz.de/10009731392

Comparative analysis of zero coupon yield curve estimation methods using JGB price data

Kikuchi, Kentaro; Shintani, Kohei - In: Monetary and economic studies 30 (2012), pp. 75-121

Persistent link: https://www.econbiz.de/10009666594

The term structure of bond market liquidity conditional on the economic environment : an analysis of government guaranteed bonds

Schuster, Philipp; Uhrig-Homburg, Marliese - 2012

We analyze the term structure of illiquidity premiums as the difference between the yield curves of two major bond segments that are both government guaranteed but differ in their liquidity. We show that its characteristics strongly depend on the economic situation. In crisis times, illiquidity...

Persistent link: https://www.econbiz.de/10009667173

Level, slope, curvature of the sovereign yield curve, and fiscal behaviour

Afonso, António; Martins, Manuel Mota Freitas - In: Journal of banking & finance 36 (2012) 6, pp. 1789-1807

Persistent link: https://www.econbiz.de/10009616387

Greek sovereign credit market dynamics : credit default swap and bond spreads' linkages

Tampakoudis, Ioannis A.; Subeniotis, Demetres N.; … - In: International journal of trade and global markets 5 (2012) 3/4, pp. 268-280

Persistent link: https://www.econbiz.de/10009722093

Overcrowding versus liquidity in the euro sovereign bond markets

Coppola, Andrea; Girardi, Alessandro; Piga, Gustavo - In: International journal of finance & economics : IJFE 18 (2013) 4, pp. 307-318

Persistent link: https://www.econbiz.de/10010355973

No arbitrage priors, drifting volatilites, and the term structure of interest rates

Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - 2014

Persistent link: https://www.econbiz.de/10010363319

Predicting output using the entire yield curve

Abdymomunov, Azamat - In: Journal of macroeconomics 37 (2013), pp. 333-344

Persistent link: https://www.econbiz.de/10010237906

Testing for a break in the persistence in yield spreads of EMU government bonds

Sibbertsen, Philipp; Wegener, Christoph; Basse, Tobias - 2013

This study tests for a break in the persistence of EMU government bond yield spreads examining data from France, Italy and Spain and using German interest rates as a kind of benchmark. The results reported here provide evidence for breaks between 2006 and 2008. The persistence of the yield...

Persistent link: https://www.econbiz.de/10010239739