Search Results - subject:"Period of Low Interest Rates"

Performance of maturity transformation strategies

Schmidhammer, Christoph; Hille, Vanessa; Wiedemann, Arnd - 2020

This paper analyses theperformance ofmaturity transformation strategiesduring a period of high and low interest rates. Based on German government bond yieldsfrom September 1972 to May 2019,we construct a rolling window of bond ladders where long-term assets are financed by short-term...

Persistent link: https://www.econbiz.de/10012315603

Performance of maturity transformation strategies

Schmidhammer, Christoph; Hille, Vanessa; Wiedemann, Arnd - 2020

Persistent link: https://www.econbiz.de/10012313784

Performance of Bond Ladder Strategies: Evidence from a Period of Low Interest Rates

Schmidhammer, Christoph - In: Credit and Capital Markets – Kredit und Kapital 51 (2018) 3, pp. 421-443

low interest rates. Relying on the REX, Germany"s leading bond index, laddered cash flows are created, and maturity …Based on German government bond yields, this paper analyses the performance of laddered strategies during a period of …

Persistent link: https://www.econbiz.de/10014524424