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A cross-sectional application of the Nelson-Siegel-Svensson model to several negative yield cases

Garcia, Maria Terese Medeiros; Carvalho, Vítor Hugo … - In: Cogent economics & finance 7 (2019) 1, pp. 1-54

The appearance of negative bond yields presents significant challenges for the fixed income markets, which mainly concern related forecasting models. The Nelson-Siegel-Svensson model (NSS) is one of the models that is most frequently used by central banks to estimate the term structure of...

Persistent link: https://www.econbiz.de/10012023361

The CSPP at work : yield heterogeneity and the portfolio rebalancing channel

Zaghini, Andrea - 2019

We assess the impact of the corporate sector purchase programme (CSPP), the corporate arm of the ECB's quantitative easing, over its first year of activity (June 2016 - June 2017). Focusing on the primary bond market, we find evidence of a significant impact of the CSPP on yield spreads, both...

Persistent link: https://www.econbiz.de/10011997427

The Czech government yield curve decomposition at the lower bound

Kučera, Adam; Dvořák, Michal; Komárková, Zlatuše - In: Finance a úvěr 69 (2019) 1, pp. 2-36

Persistent link: https://www.econbiz.de/10012002149

Explaining bond return predictability in an estimated New Keynesian model

Andreasen, Martin Møller - 2019

Persistent link: https://www.econbiz.de/10012063989

Cross-acceleration and the relationship between board independence and bond yield spreads

Meder, Anthony A.; Schwartz, Steven; Young, Richard A. - In: Advances in accounting : a research annual 44 (2019), pp. 58-67

Persistent link: https://www.econbiz.de/10012064327

Over-the-counter market frictions and yield spread changes

Friewald, Nils; Nagler, Florian - 2018

Persistent link: https://www.econbiz.de/10012099290

Corporate yields and sovereign yields

Bevilaqua, Julia; Hale, Galina; Tallman, Eric - 2019

Persistent link: https://www.econbiz.de/10012123481

Investor sentiment and speculative bond yield spreads

Turkmen Muldur, Gozde; Kandir, Serkan Yılmaz; Onal, … - In: Foundations of Management : the journal of Warsaw … 11 (2019) 1, pp. 177-186

on the returns and valuation of bonds, there is hardly a consensus on the risk components of the yield spreads. This … article aims to investigate the effect of investor sentiment as a systematic risk factor on speculative bond yield spreads … period sentiment. Empirical findings imply that investor sentiment is a systematic risk factor in risky bond markets. …

Persistent link: https://www.econbiz.de/10012124736

Financial development, government bond returns, and stability : international evidence

Boubaker, Sabri; Nguyen, Duc Khuong; Piljak, Vanja; … - In: Journal of international financial markets, … 61 (2019), pp. 81-96

Persistent link: https://www.econbiz.de/10012128282

Lévy-Vasicek models and the long-bond return process

Brody, Dorje C.; Hughston, Lane P.; Meier, David M. - In: International journal of theoretical and applied finance 21 (2018) 3, pp. 1-26

Persistent link: https://www.econbiz.de/10011889447