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Gilchrist, Simon; Wei, Bin; Yue, Vivian Z.; Zakrajšek, Egon - 2021

In this paper, we study the interplay between sovereign risk and global financial risk. We show that a substantial portion of the comovement among sovereign spreads is accounted for by changes in global financial risk. We construct bond-level sovereign spreads for dollar-denominated bonds issued...

Persistent link: https://www.econbiz.de/10012792718

Interest rate skewness and biased beliefs

Bauer, Michael D.; Chernov, Mikhail - 2021 - This draft: June 16, 2021

Conditional yield skewness is an important summary statistic of the state of the economy. It exhibits pronounced variation over the business cycle and with the stance of monetary policy, and a tight relationship with the slope of the yield curve. Most importantly, variation in yield skewness has...

Persistent link: https://www.econbiz.de/10012584702

Decomposing the term structures of local currency sovereign bond yields and sovereign credit default swap spreads

Tsuruta, Masaru - In: The North American journal of economics and finance : a … 51 (2020), pp. 1-30

Persistent link: https://www.econbiz.de/10012659594

Yield curve momentum

Sihvonen, Markus - 2021

I analyze time series momentum along the Treasury term structure. Past bond returns predict future returns both due to 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...

Persistent link: https://www.econbiz.de/10012665285

The empirics of long-term Mexican government bond yields

Akram, Tanweer; Uddin, Syed Helal - 2021

current short-term interest rate has a decisive influence on MGB yields, after controlling for inflation and growth in …

Persistent link: https://www.econbiz.de/10012432230

An empirical analysis of long-term Brazilian interest rates

Akram, Tanweer; Uddin, Syed Helal - 2020

variables, such as inflation and industrial production or economic activity. These findings support John Maynard Keynes's claim …

Persistent link: https://www.econbiz.de/10012222455

A note concerning government bond yields

Akram, Tanweer - 2020

This paper relates Keynes's discussions of money, the state theory of money, financial markets, investors' expectations, uncertainty, and liquidity preference to the dynamics of government bond yields for countries with monetary sovereignty. Keynes argued that the central bank can influence the...

Persistent link: https://www.econbiz.de/10012317613

Some empirical models of Japanese government bond yields using daily data

Akram, Tanweer; Li, Huiqing - 2020

This paper models the dynamics of Japanese government bond (JGB) nominal yields using daily data. Models of government bond yields based on daily data, such as those presented in this paper, can be useful not only to investors and market analysts, but also to central bankers and other...

Persistent link: https://www.econbiz.de/10012249738

Learning, equilibrium trend, cycle, and spread in bond yields

Zhao, Guihai - 2020 - Last updated: April 7, 2020

from the stable components in GDP growth and inflation, which share similar patterns to the neutral rate of interest (R …-star) and trend inflation (Pi-star) estimates in the literature. Cyclical movements in yields and spreads are mainly driven by … learning from the transitory components in GDP growth and inflation. The less-frequent inverted yield curves observed after the …

Persistent link: https://www.econbiz.de/10012201422

Heterogeneous effects of unconventional monetary policy on bond yields across the euro area

Demir, İshak; Eroğlu, Burak Alparslan; … - 2019

4207 This paper investigates the impact of European Central Bank's unconventional monetary policies between 2008-2016 on the government bond yields of eight European Monetary Union countries and up to eleven diﬀerent maturities. In identifying this impact, it adopts a novel econometric...

Persistent link: https://www.econbiz.de/10012147209