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The role of global liquidity in global yield dynamics

Park, Euihwan; Kim, Dong-heon - In: Seoul journal of economics : SJE 36 (2023) 2, pp. 193-220

Persistent link: https://www.econbiz.de/10014287838

Decomposing global yield curve co-movement

Byrne, Joseph P.; Cao, Shuo; Korobilis, Dimitris - In: Journal of banking & finance 106 (2019), pp. 500-513

Persistent link: https://www.econbiz.de/10012224340

German bond yields and debt supply : is there a "bund premium"?

Paret, Anne-Charlotte; Weber, Anke - 2019

Are Bunds special? This paper estimates the 'Bund premium' as the difference in convenience yields between other sovereign safe assets and German government bonds adjusted for sovereign credit risk, liquidity and swap market frictions. A higher premium suggests less substitutability of sovereign...

Persistent link: https://www.econbiz.de/10012154614

Term premium in a fractionally cointegrated yield curve

Abbritti, Mirko; Carcel, Hector; Gil-Alaña, Luis A.; … - In: Journal of banking & finance 149 (2023), pp. 1-17

Persistent link: https://www.econbiz.de/10014462435

Machine learning treasury yields

Kakushadze, Zura; Yu, Willie - In: Bulletin of applied economics 7 (2020) 1, pp. 1-65

Persistent link: https://www.econbiz.de/10012807008

Emerging markets and financial globalization : sovereign bond spreads in 1870 - 1913 and today

Mauro, Paolo; Sussman, Nathan - 2006 - 1. publ.

Persistent link: https://www.econbiz.de/10003115032

Decomposing Global Yield Curve Co-Movement

Byrne, Joseph - 2019

This paper studies the co-movement of global yield curve dynamics using a Bayesian hierarchical factor model augmented … with macroeconomic fundamentals. Our data-driven approach is able to pin down the drivers of yield curve dynamics and …, operating through a policy channel. Two identified global yield factors significantly influence global yield co …

Persistent link: https://www.econbiz.de/10012901525