Similar Search Results

Long run forward rates and long yields of bonds and options in heterogeneous equilibria

Malamud, Semyon - In: Finance and Stochastics 12 (2008) 2, pp. 245-264

Persistent link: https://www.econbiz.de/10005613444

The Term Structure as a Predictor of Real Activity and Inflation in the Euro Area: A Reassessment

Cuaresma, Jesús Crespo; Gnan, Ernest; … - In: Review of World Economics (Weltwirtschaftliches Archiv) 141 (2005) 2, pp. 318-342

Persistent link: https://www.econbiz.de/10005613625

Euro corporate bonds risk factors

Castagnetti, Carolina; Rossi, Eduardo - Volkswirtschaftliche Fakultät, … - 2008

This paper investigates the determinants of credit spread changes in Euro-denominated bonds. Because credit spread changes can be easily viewed as an excess return on corporate bonds over treasury bonds, we adopt a factor model framework, inspired by the credit risk structural approach. We try...

Persistent link: https://www.econbiz.de/10005619902

Computing Skills in the Market Risk Management in the G-Sec Portfolio by the Banks in India

Das, Rituparna - Volkswirtschaftliche Fakultät, … - 2009

Market Risk Management Process in India is in an evolving process since the Banks in India are still in an early stage of development in the sense that they are lacking statistical database, equipped MIS and adequate supply of trained personnel. Many a good number of banks are suffering from...

Persistent link: https://www.econbiz.de/10005619936

A generalized bootstrap method to determine the yield curve

Deaves, Richard; Parlar, Mahmut - In: Applied Mathematical Finance 7 (2000) 4, pp. 257-270

available data set of bond yields. The problem of missing data points is dealt with using symbolic cubic spline interpolation …

Persistent link: https://www.econbiz.de/10005639870

The yield curve as a predictor and emerging economies

Mehl, Arnaud - Siirtymätalouksien tutkimuslaitos, Suomen Pankki - 2006

This paper investigates the extent to which the slope of the yield curve in emerging economies predicts domestic inflation and growth. It also examines international financial linkages and how the US and euro area yield curves help to predict. It finds that the domes-tic yield curve in emerging...

Persistent link: https://www.econbiz.de/10005648592

Why Are Long Rates Sensitive to Monetary Policy?

Ellingsen, Tore; Söderström, Ulf - Sveriges Riksbank - 2004

We use a quantitative model of the U.S. economy to analyze the response of long-term interest rates to monetary policy, and compare the model results with empirical evidence. We find that the strong and time-varying yield curve response to monetary policy innovations found in the data can be...

Persistent link: https://www.econbiz.de/10005649067

Excess Sensitivity and Volatility of Long Interest Rates: The Role of Limited Information in Bond Markets

Beechey, Meredith - Sveriges Riksbank - 2004

Asymmetric information between the central bank and bond markets creates an inference problem that affects the … illustrate the implications of asymmetry for the sensitivity of long rates and volatility of bond returns. When the central bank …'s infation target is not communicated and macroeconomic shocks are imperfectly observed, bond markets infer the value of the …

Persistent link: https://www.econbiz.de/10005649105

Bond Markets and Macroeconomic Performance

Caporale, Guglielmo Maria; Williams, Geoffrey - In: Zagreb International Review of Economics and Business 4 (2001) 1, pp. 27-44

This paper presents some empirical evidence on the relationship between the yield curve and macroeconomic variables in the G7. The econometric methodology followed takes into account stationarity, cointegration and exogeneity features of the data, which is typically not done in the existing...

Persistent link: https://www.econbiz.de/10005698467

Profiting from Mean-Reverting Yield Curve Trading Strategies

Ramaswamy, Krishna; Chua, Choong-Tze; Koh, Winston T.H. - Econometric Society - 2004

strategies of an investment in the Lehman Brothers Bond index (by up to 5.9 times) and an investment in the S&P index (by up to 5 …

Persistent link: https://www.econbiz.de/10005702587