Search Results - subject:"Term Structure of Interest Rates"

Do Foreign Yield Curves Predict U.S. Recessions?

Ahmed, Rashad - 2022

This note shows that non-U.S. yield curves contain information about future U.S. recessions and economic activity. Using quarterly data from 1979-2021, a foreign term spread constructed from the bond yields of G-7 constituents is included in regressions of U.S. recession risk and U.S. real GDP...

Persistent link: https://www.econbiz.de/10013288838

Implications of the Term Structure of Interest Rates for the Duration of Corporate Investment

Hubert de Fraisse, Antoine - 2022

The term structure of interest rates affects differently the value of corporate investments with different cash …-duration investments. These results identify important real effects of policies which target the term structure of interest rates or its … structure of interest rates, I show that lower long-term rates result in an increase in investment by firms in industries …

Persistent link: https://www.econbiz.de/10013289117

Do Foreign Yield Curves Predict U.S. Recessions?

Ahmed, Rashad - 2022

Persistent link: https://www.econbiz.de/10013289150

Credit Risk and Governance : Evidence from Credit Default Swap Spreads

Akdoğu, Evrim; Alp Paukowits, Aysun - 2022

In this paper, we examine the effect of shareholder governance mechanisms on the firms' credit risk through credit default swap spreads. Our results suggest that higher antitakeover provisions decrease the price of debt. We find that on average, addition of one antitakeover provision lowers the...

Persistent link: https://www.econbiz.de/10013289190

Bond Yields Went Down and Foreign Investors Continued to Increase Holdings - Chinese Bond Market Analysis for December 2021

Chen, Sen - 2022

In December 2021, international commodity prices increased sharply, the US Consumer Price Index (CPI) increased by 7% year-on-year while the CPI of euro area increased by 5% year-on-year. In China, the CPI increased by 2.3% year-on-year, the Producer Price Index (PPI) increased by 10.3%...

Persistent link: https://www.econbiz.de/10013289527

Information in Subsets of Interest Rate Derivatives : Expectations and Volatility

Almeida, Thiago; Reboredo, Juan C.; Rivera-Castro, Miguel - 2022

We show that term premia rise when volatility increases in Brazil, whereas the literature shows that volatility is negatively correlated with term premia in advanced economies. We analyze how marketexpectations differ for a subset of options and futures and whether those expectations accurately...

Persistent link: https://www.econbiz.de/10013289762

A Skellam Market Model for Loan Prime Rate Options

Chen, Zhanyu; Zhang, Kai; Zhao, Hongbiao - 2022

This paper documents vanilla interest-rate options (caps, floors and swaptions) newly introduced in China. The underlying rates are the RMB loan prime rates (LPRs), the foremost interest rates that matter to almost all businesses and households in China. They are digital with a tick size of five...

Persistent link: https://www.econbiz.de/10013289843

Nominal U.S. Treasuries Embed Liquidity Premiums, Too : An Affine Model of the Term Structure

Durham, J. Benson - 2022

An affine term structure model of nominal U.S. Treasuries (USTs) that decomposes yields into frictionless expected rates, frictionless term premiums, and liquidity premiums produces three key results given data from January 1987 through April 2022. First, model yield and excess return loadings...

Persistent link: https://www.econbiz.de/10013290213

Back to the Real Economy : The Effects of Risk Mispricing on the Term Premium and Bank Lending

Yung, Julieta; Bluwstein, Kristina - 2022

Bond markets can plummet or rally on the back of sentiment-driven reactions which are unrelated to fundamentals. Therefore, changes in bond prices can not only be interpreted as reflecting risk but also mispricing of long-term assets. These perceived risks can often feed back into the economy by...

Persistent link: https://www.econbiz.de/10013290758

Interest Rate Modeling with Retarded Langevin Equations

Hess, Markus - 2022

In this paper, we present an arithmetic short rate model based on generalized Langevin equations. The innovative feature of the model is that it accounts for memory effects in interest rate markets via the involved Langevin processes. In this setup, we provide a representation for the related...

Persistent link: https://www.econbiz.de/10013290839