This document contains implementation notes related to Bang and Daboussi (2022) . We have extended the original paper by allowing actual accrual factors (not all 1) and non-annual frequency on the fixed side. The note first describes the detailed formulas in this extended setting. In a second...

We study how short- and long-term equity claims respond to news about long-term economic growth and analyze the relative contribution of cash flows and discount rates to this response. To this end, we add the equity yields from Giglio, Kelly, and Kozak (2020) to a standard structural macro-VAR...

In this paper, we consider a generic interest rate market in the presence of roll-over risk, which generates spreads in spot/forward term rates. We do not require classical absence of arbitrage and rely instead on a minimal market viability assumption, which enables us to work in the context of...

As interest rate benchmarks move from LIBOR to overnight Risk-Free Rates (RFR), it has become increasingly important for models to accurately capture the interest rate dynamics at the overnight tenor. Overnight rates closely track central bank policy rate decisions resulting, in highly...

We study the effect of oil price shocks on bond risk premia. Based on Baumeister and Hamilton (2019), we identify the different sources of oil price shocks using a structural vector autoregressive (SVAR) model of the global market for crude oil. These structural factors are then used as...

Periodic spikes and waves in daily stock return predictability appear across quarterly and other frequencies and dissipate at more distant lags in the term structure of predictability. A 'long ripple' across the term structure spans more than one year of lags. The term structure's level and...

A key question to estimate and understand term premium (TP) movements is to identify which macro variables affect TP and whether their effects are time-variant. To address these questions, we propose a new macro-finance arbitrage-free Nelson-Siegel model with regime shifts. In the model, two...

In this paper we study the three academically prevalent versions of the Log form of the Expectations Hypothesis (LEH) for the long-term zero-coupon treasury bond yields using the level variables and find clear affirmation for one version, general affirmation for the second version and clear...

We study the effects of low short-term interest rates on the optimal portfolio allocation in Markowitz portfolios and Risk parity portfolios. We propose a measure of Portfolio Instabil-ity, gauging the amount of optimal portfolio shifts needed to respond to exogenous shocks to the expected risk...

Understanding the impact of changing interest rates onto banks' net interest margin is of central importance for various stakeholders. The primary focus lies often on changes in the interest level. However, changes in the steepness are a second driver which also significantly impacts banks'...