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The time-varying relation between stock returns and monetary variables

McMillan, David G. - In: Journal of risk and financial management : JRFM 15 (2022) 1, pp. 1-17

), inflation and money supply growth, while oft studied, is one that remains unclear. We argue that the nature of the relation …. Notably, a predominantly negative correlation with bond yields and inflation becomes positive, while the opposite is true for … power switches temporarily to positive around economic shocks. This suggests that higher yields, inflation and money growth …

Persistent link: https://www.econbiz.de/10012813273

Natural yield curve : the case of Indonesia

Bary, Pakasa; Affandi, Yoga; Harahap, Berry A.; … - In: Contemporary economics 14 (2020) 2, pp. 182-200

The purpose of this study is to estimate the natural yield curve for an emerging economy, with Indonesia as a case study. The estimation is done by a two-stage approach, namely, the decomposition of the yield curve component through a dynamic Nelson-Siegel model, the results of which are then...

Persistent link: https://www.econbiz.de/10012237403

Estimates of the US shadow-rate

Alfaro, Rodrigo; Piña, Marco - In: Latin American journal of central banking : LAJCB 4 (2023) 1, pp. 1-17

This article provides several estimates for the shadow rate (SR) of the short-term interest rate in US. We assume maximal models with two and three Gaussian factors, and we use forward rates to estimate the model's parameters. Based on that, we conclude that point estimates of SR should be taken...

Persistent link: https://www.econbiz.de/10014382809

Forecasting the term structure of interest rates with dynamic constrained smoothing B-splines

Mineo, Eduardo; Alencar, Airlane Pereira; Moura, Marcelo; … - In: Journal of risk and financial management : JRFM 13 (2020) 4/65, pp. 1-14

The Nelson&Siegel framework published by Diebold and Li created an important benchmark and originated several works in the literature of forecasting the term structure of interest rates. However, these frameworks were built on the top of a parametric curve model that may lead to poor fitting for...

Persistent link: https://www.econbiz.de/10012302519

Uncertainty about interest rates and crude oil prices

Qadan, Mahmoud; Cohen, Gil - In: Financial innovation : FIN 10 (2024), pp. 1-14

The yield on the 10-year U.S. Treasury Note is among the most cited interest rates by investors, policymakers, and fnancial institutions. We show that the 10-year Treasury yield's forward-looking volatility, a VIX-style measure that is a proxy for uncertainty about future interest rates, is a...

Persistent link: https://www.econbiz.de/10014530189

The credit cycle and measurement of the natural rate of interest

Deriugina, Elena; Guseva, Maria; Ponomarenko, Alexey - In: Journal of central banking theory and practice 11 (2022) 1, pp. 87-104

We conduct a Monte Carlo experiment using an ad-hoc New Keynesian model and a tractable agent-based model to generate artificial credit cycle episodes. We show that fluctuations in the implicit measures of the natural rate of interest obtained using a conventional trivariate Kalman filter on...

Persistent link: https://www.econbiz.de/10012805934

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

Nvidia's stock returns prediction using machine learning techniques for time series forecasting problem

Chlebus, Marcin; Dyczko, Michał; Woźniak, Michał - In: Central European economic journal 8 (2021) 55, pp. 44-62

Statistical learning models have profoundly changed the rules of trading on the stock exchange. Quantitative analysts try to utilise them predict potential profits and risks in a better manner. However, the available studies are mostly focused on testing the increasingly complex machine learning...

Persistent link: https://www.econbiz.de/10012799150

Interest rates sensitivity arbitrage : theory and practical assesment for financial market trading

Stadnik, Bohumil - In: Business, mangagement and economics engineering : BMEE 19 (2021) 1, pp. 12-23

Purpose - Nowadays popular algorithmic trading uses many strategies which are algoritmizable and promise profitability. This research assess if it is possible successfully use interest rates sensitivity arbitrage in bond portfolio (also known as convexity arbitrage) in financial praxis. This...

Persistent link: https://www.econbiz.de/10012695328

Term structure of interest rate and macro economy : an empirical study on selected emerging countries sovereign bond

Ariefianto, Mochammad Doddy; Amanda, Citra; Husodo, … - In: Journal of capital markets studies 8 (2024) 2, pp. 195-211

nations and their macroeconomic indicators, specifically emphasizing its persistence and interaction with inflation, foreign … shifts in inflation and exchange rates correlate with its steepening. Originality/value - Our study is among the few which …

Persistent link: https://www.econbiz.de/10015132812