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Optimal estimation of multi-country Gaussian dynamic term structure models using linear regressions

Díez de los Ríos, Antonio - 2017

This paper proposes a novel asymptotic least-squares estimator of multi-country Gaussian dynamic term structure models that is easy to compute and asymptotically efficient, even when the number of countries is relatively large - a situation in which other recently proposed approaches lose their...

Persistent link: https://www.econbiz.de/10011777912

Long-run commodity prices, economic growth, and interest rates: 17th century to the present day

Harvey, David I.; Kellard, Neil M.; Madsen, Jakob Brøchner - In: World development : the multi-disciplinary … 89 (2017), pp. 57-70

Persistent link: https://www.econbiz.de/10011740933

Can monetary policy surprises affect the term structure?

Claus, Edda; Dungey, Mardi H. - In: Journal of macroeconomics 47 (2016), pp. 68-83

Persistent link: https://www.econbiz.de/10011707502

Predicting risk premia in short-term interest rates and exchange rates

Gräb, Johannes; Kostka, Thomas - 2018

We assess the ability of yield curve factors to predict risk premia in short-term interest rates and exchange rates across a large sample of major advanced economies. We find that the same tick-shaped linear combination of (relative) bond yields predicts risk premia in both short-term interest...

Persistent link: https://www.econbiz.de/10011802134

Interest rate changes and the cross-section of global equity returns

Zaremba, Adam; Cakici, Nusret; Bianchi, Robert; Long, … - In: Journal of economic dynamics & control 147 (2023), pp. 1-32

Persistent link: https://www.econbiz.de/10014249731

Financial and macroeconomic data through the lens of a nonlinear dynamic factor model

Guerrón-Quintana, Pablo A.; Khazanov, Alexey; Zhong, Molin - 2023

Persistent link: https://www.econbiz.de/10014284236

Term premium in Turkish lira interest rates : the role of foreign investors' share

Aydın, Halil İbrahim; Özel, Özgür - In: Borsa Istanbul Review 24 (2024) 2, pp. 314-323

In this paper we decompose Turkish Lira interest rates into expected short rate and term premium components, using two well-established methods. Then we focus on the impact of the share of foreign investors on bond yields by instrumenting that share with VIX and Merry Lynch option volatility...

Persistent link: https://www.econbiz.de/10014495155

A global monetary policy factor in sovereign bond yields

Malliaropulos, Dimitris; Migiakis, Petros - In: Journal of empirical finance 70 (2023), pp. 445-465

Persistent link: https://www.econbiz.de/10014423743

Estimating the portfolio-balance effects of the Bank of Canada's government of Canada Bond Purchase Program

Díez de los Ríos, Antonio - 2024 - Last updated: October 7, 2024

I propose a novel dynamic portfolio-balance model of the yield curve for Government of Canada bonds to evaluate the … portfolio-balance effects of the Bank of Canada's Government of Canada Bond Purchase Program. My results suggest that this … Government of Canada's debt by approximately 1.4 years. This in turn reduced Canadian 10-year and 5-year zero-coupon yields by 84 …

Persistent link: https://www.econbiz.de/10015076379

Changes in monetary regimes and the identification of monetary policy shocks : narrative evidence from Canada

Champagne, Julien; Sekkel, Rodrigo - 2017

We use narrative evidence along with a novel database of real-time data and forecasts from the Bank of Canada's staff … monetary policy in Canada. We show that it is crucial to take into account the break in the conduct of monetary policy caused …

Persistent link: https://www.econbiz.de/10011777945