Search Results - subject:"structure"

Revisiting the interest rate effects of federal debt

Plante, Michael; Richter, Alexander W.; Zubairy, Sarah - 2025

Persistent link: https://www.econbiz.de/10015406606

Mortgage-backed securities

Fuster, Andreas; Lucca, David O.; Vickery, James - 2025

Persistent link: https://www.econbiz.de/10015407026

Measuring and explaining the CDS-bond basis term-structure shape and dynamics

Khanna, Yonas; Lucas, André; Seeger, Norman - 2025 - This version: May 26, 2025

-level basis term-structures across all maturities. Our approach can accommodate different term-structure interpolation methods … the 2011-2021 JP Morgan (JPM) basis term-structure and use it to analyze its empirical determinants. We find that factors … like market liquidity, funding liquidity, counterparty risk, and the default premium all impact the basis term-structure …

Persistent link: https://www.econbiz.de/10015408438

The information matrix test for Markov switching autoregressive models with covariate-dependent transition probabilities

Amengual, Dante; Fiorentini, Gabriele; Sentana, Enrique - 2025

Persistent link: https://www.econbiz.de/10015410324

On the relationship between geopolitical risks and euro area sovereign bond yields

Papavassiliou, Vassilios G. - In: Finance research letters 75 (2025), pp. 1-8

Persistent link: https://www.econbiz.de/10015408524

Sovereign risk premium and macroeconomy : causal relationship

Botey-Fullat, Maria; Marín-Palacios, Cristina; … - In: Contemporary economics 19 (2025) 1, pp. 18-45

In recent years, because of the 2008 financial crisis and the evolution of the sovereign debt markets, there has been a significant increase in interest in understanding the factors that determine the risk premium, becoming a key indicator of the financial stability of countries, and a measure...

Persistent link: https://www.econbiz.de/10015338584

The impact of global shocks on sovereign risk : role of domestic factors

Inoguchi, Masahiro - In: Economic systems 49 (2025) 2, pp. 1-16

Persistent link: https://www.econbiz.de/10015413307

The oversight on the relationship between monetary policy setting and exchange rate through yield curve modeling

Yumrukuz, Yavuz; Türkoğlu, Furkan; Göçecek, Eda - In: Central Bank review / Central Bank of the Republic of Turkey 25 (2025) 2, pp. 1-14

This study explores the dynamic relationship between the parameters of the yield curve, macrofinancial variables, and the USD/TRY exchange rate in Türkiye, with a particular focus on the period following the steep 2018 currency depreciation. Using the Nelson-Siegel model, we examine the...

Persistent link: https://www.econbiz.de/10015413977

Economic structure and top earnings inequality in South Africa : a firm-level and sectoral perspective

Vega, Rafael C. de la - 2025

Inequality at the top is on the rise, and labour income is a progressively larger contributor to concentration at the top. This paper investigates top earnings inequality in South Africa from a sectoral and firm-level perspective, using matched employer-employee administrative data. We also...

Persistent link: https://www.econbiz.de/10015408782

US ($) interest rate and cross currency swaps after the LIBOR funeral : a corporate treasury primer

Heidorn, Thomas; Liem, Erik; Requardt, Stefan; … - 2025

This paper examines the transition from LIBOR to SOFR in the US and maps out the consequences for European corporate treasurers by showing how the application of SOFR in cash products and derivatives differs from LIBOR. As interest rate and cross-currency swaps transition to compounded SOFR,...

Persistent link: https://www.econbiz.de/10015333448