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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

Sovereign bond spreads and credit sensitivity

Schefer, Ricardo - 2020

Expectations of risky bond payments are unobservable and recovery rates for sovereigns are hard to estimate because …

Persistent link: https://www.econbiz.de/10012307696

Term structure persistence

Abbritti, Mirko; Gil-Alaña, Luis A.; Lovcha, Yuliya; … - In: Journal of financial econometrics : official journal of … 14 (2016) 2, pp. 331-352

Persistent link: https://www.econbiz.de/10011589005

Interest rates under falling stars

Bauer, Michael D.; Rudebusch, Glenn D. - 2017

*t substantially increases the accuracy of long-range interest rate forecasts, helps predict excess bond returns, improves estimates of …

Persistent link: https://www.econbiz.de/10011688099

Time-varying threshold dynamics of US bond yield spreads and Dow index returns

Lee, Nicholas Rueilin; Lin, Yih-Bey; Chen, Ming-Jun - In: International journal of monetary economics and finance … 16 (2023) 6, pp. 505-521

Persistent link: https://www.econbiz.de/10015066090

Exchange rates and long-term bonds

Alexius, Annika; Sellin, Peter - In: The Scandinavian journal of economics 114 (2012) 3, pp. 974-990

Persistent link: https://www.econbiz.de/10009714110

Are European sovereign bonds fairly priced? : the role of modelling uncertainty

Haan, Leo de; Hessel, Jeroen; End, Jan-Willem van den - In: Journal of international money and finance 47 (2014), pp. 239-267

Persistent link: https://www.econbiz.de/10010464019

Ambiguous Information about Interest Rates and Bond Uncertainty Premiums

Kim, Hwagyun - 2015

, explain variation in term spreads and yield volatility, and bond yields asymmetrically respond to good and bad news from the …This paper studies the impact of ambiguous information regarding future interest rates on bond prices. A simple bond …-pricing model with ambiguity aversion shows that positive bond uncertainty premiums exist, and the interest rate ambiguity affects …

Persistent link: https://www.econbiz.de/10013027816

Natural rate chimera and bond pricing reality

Brand, Claus; Goy, Gavin; Lemke, Wolfgang - 2021

We build a novel macro-finance model that combines a semi-structural macroeconomic module with arbitrage-free yield-curve dynamics. We estimate it for the United States and the euro area using a Bayesian approach and jointly infer the real equilibrium interest rate (r*), trend inflation (π*),...

Persistent link: https://www.econbiz.de/10012705391

Natural rate chimera and bond pricing reality

Brand, Claus; Goy, Gavin; Lemke, Wolfang - 2020

Persistent link: https://www.econbiz.de/10012162399