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Modelling Persistence and Non-Linearities in the US Treasury 10-Year Bond Yields

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Yaya, … - 2022

This paper analyses persistence and non-linearities in quarterly and monthly US Treasury 10-year bond yields over the period 1962-2021 using two different fractional integration approaches including Chebyshev polynomials and Fourier functions respectively. The results for both quarterly and...

Persistent link: https://www.econbiz.de/10013306037

57 Channels (and Nothin on) - Does TV-News on the Eurozone Affect Government Bond Yield Spreads?

Wolfinger, Julia - 2019

This paper empirically investigates the relationship between TV news coverage and the GIIPS countries’ bond yield …-specific economic issues. We find that an increasing share of news about the Eurozone reduces yield spreads, especially when the news …-specific news have a significant impact on GIIPS yield spreads. A higher share of positive/negative news is positively associated …

Persistent link: https://www.econbiz.de/10012892159

Sovereign Bonds Since Waterloo

Meyer, Josefin - 2019

This paper studies external sovereign bonds as an asset class. We compile a new database of 220,000 monthly prices of foreign-currency government bonds traded in London and New York between 1815 (the Battle of Waterloo) and 2016, covering 91 countries. Our main insight is that, as in equity...

Persistent link: https://www.econbiz.de/10012892089

Interest Rate Linkages in EMU Countries : A Rolling Threshold Vector Error-Correction Approach

Poghosyan, Tigran; Haan, Jakob de - 2021

This paper revisits financial market integration in the European Economic and Monetary Union, using a threshold vector error-correction model (TVECM) for a fixed rolling window. This approach enables us to analyze the dynamics of transaction costs and detect any co-movements with (policy...

Persistent link: https://www.econbiz.de/10013316906

Non-Linearities and Persistence in US Long-Run Interest Rates

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2021

-August 2020, the other from the ECB reporting average monthly values over the period January 1900-August 2020. The estimation …

Persistent link: https://www.econbiz.de/10013314848

Long-Run Linkages between US Stock Prices and Cryptocurrencies : A Fractional Cointegration Analysis

Caporale, Guglielmo Maria; Dios Mazariegos, José Javier; … - 2022

This paper applies fractional integration and cointegration methods to examine respectively the univariate properties …

Persistent link: https://www.econbiz.de/10014239604

Interest Rate Skewness and Biased Beliefs

Chernov, Mikhail; Bauer, Michael D. - 2021

Conditional yield skewness is an important summary statistic of the state of the economy. It exhibits pronounced … variation over the business cycle and with the stance of monetary policy, and a tight relationship with the slope of the yield … curve. Most importantly, variation in yield skewness has substantial forecasting power for future bond excess returns, high …

Persistent link: https://www.econbiz.de/10013222193

Redistribution of Return Inequality

Schulz, Karl - 2021

Wealthier households obtain higher returns on their investments than poorer ones. How should the tax system account for this return inequality? I study capital taxation in an economy in which return rates endogenously correlate with wealth. The leading example is a financial market, where the...

Persistent link: https://www.econbiz.de/10013233147

What Drives Inventory Accumulation? News on Rates of Return and Marginal Costs

Görtz, Christoph - 2019

We study the effects of news shocks on inventory accumulation in a structural VAR framework. We establish that inventories react strongly and positively to news about future increases in total factor productivity. Theory suggests that the transmission channel of news shocks to inventories works...

Persistent link: https://www.econbiz.de/10012860577

Persistence in the Realized Betas : Some Evidence for the Spanish Stock Market

Caporale, Guglielmo Maria - 2020

This paper examines the stochastic behaviour of the realized betas within the one-factor CAPM for the six companies with the highest market capitalization included in the Spanish IBEX stock market index. Fractional integration methods are applied to estimate their degree of persistence at the...

Persistent link: https://www.econbiz.de/10012838240