This work extends the strand of literature that examines the relation between the term structure of interest rates and macroeconomic variables. The yield curve is summarized by few latent factors (level, slope, and curvature) which are obtained through Kalman filtering. In this paper, we address...

Using data for U.S. and Canada, we find evidence of the time-varying nature of risk premia, which are obtained as difference between long term interest rates and their expected values. We then apply Kalman filtering to extract the conditional variance of term premia prediction errors; our...

We compute some indicators (zero-trade, turnover ratio, Amihud price impact, and Roll bid-ask spread) to examine the liquidity conditions of corporate bonds traded on the main Italian retail bond markets from January 2010 to June 2013. In order to compare market liquidity for identical...

The expectations hypothesis implies that rational investors can predict future changes in interest rates by simply observing the yield spread. According to Mishkin (1990) the expectations theory can also be reformulated in terms of the ability of the spread to predict future inflation....

English Abstract: This paper compares a sample of ten years (2002-2011) mid-size Italian listed companies with a sample of similar unlisted companies with comparable size and operating in a similar industrial sector. Data shows that listed companies recorded growth rates considerably higher than...

Electric vehicles (EV) and other so-called low emission vehicles (LEV) are promoted as means to reduce Greenhouse Gas emissions. Economists routinely assess the corresponding saving in emissions by considering that EV emit only “in the power plant”, based on the technological features of the...