Similar Search Results

A fresh look at the risk-return tradeoff

Wang, Cindy S. H.; Chen, Yi-Chi; Lo, Hsin-Yu - In: Pacific-Basin finance journal 68 (2021), pp. 1-14

Persistent link: https://www.econbiz.de/10013332809

Do Eurozone yield spreads predict recessions?

Schock, Matthias - 2014 - Rev. September 2014

direct measure of default risk, are employed as part of a new risk-adjustment method that significantly enhances the … using the commonly employed yield spread remains high, provided that biases associated with Eurozone sovereign default risk …

Persistent link: https://www.econbiz.de/10010419649

Out-of-sample bond risk premium predictions : a global common factor

Zhu, Xiaoneng - In: Journal of international money and finance 51 (2015), pp. 155-173

Persistent link: https://www.econbiz.de/10011475246

Predictability of emerging market local currency bond risk premia

Akgiray, Vedat; Baronyan, Sayad; Sener, Emrah; Yılmaz, … - In: Emerging markets finance & trade : a journal of the … 52 (2016) 7/9, pp. 1627-1646

Persistent link: https://www.econbiz.de/10011594415

(Un)expected monetary policy shocks and term premia

Kliem, Martin; Meyer-Gohde, Alexander - In: Journal of applied econometrics 37 (2022) 3, pp. 477-499

Persistent link: https://www.econbiz.de/10013186692

(Un)expected monetary policy shocks and term premia

Kliem, Martin; Meyer-Gohde, Alexander - 2019 - This draft: December 9, 2019

The term structure of interest rates is crucial for the transmission of monetary policy to financial markets and the macroeconomy. Disentangling the impact of monetary policy on the components of interest rates, expected short rates and term premia, is essential to under- standing this channel....

Persistent link: https://www.econbiz.de/10012133185

Monetary policy, inflation outlook, and recession probabilities

Ajello, Andrea; Benzoni, Luca; Schwinn, Makena; Timmer, … - 2022

Why does the short-term slope of the yield curve predict recessions? We explore the economic forces underlying Treasury yields' fluctuations and highlight the roles of a tight monetary policy stance and expectations of lower inflation in predicting downturns. While the monetary policy stance is...

Persistent link: https://www.econbiz.de/10013279282

Risk premia in covered bond markets

Prokopczuk, Marcel; Vonhoff, Volker - In: The journal of fixed income 22 (2012) 2, pp. 19-29

Persistent link: https://www.econbiz.de/10009670722

Risk premia in covered bond markets

Prokopczuk, Marcel; Vonhoff, Volker - 2012

Persistent link: https://www.econbiz.de/10009520556

Credit spreads, daily business cycle, and corporate bond returns predictability

Ivashchenko, Alexey - 2017

The part of credit spread that is not explained by corporate credit risk forecasts future economic activity. I show … that the link with aggregate business risk and bond liquidity risk explains this fi nding. Once I project spreads on these … two risk factors, which are readily measurable with the daily frequency, in addition to corporate credit risk, the …

Persistent link: https://www.econbiz.de/10011875655