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Inflation, endogenous market segmentation and the term structure of interest rates

Vries, Casper G. de; Wang, Xuedong - 2015

The term structure of interest rates does not adhere to the expectations hypothesis, possibly due to a risk premium. We consider the implications of a risk premium that arises from endogenous market segmentation driven by variable inflation rates. In the absence of autocorrelation in inflation,...

Persistent link: https://www.econbiz.de/10010532587

Estimating implied recovery rates from the term structure of CDS spreads

Jaskowski, Marcin; McAleer, Michael - 2013

Persistent link: https://www.econbiz.de/10009724144

Time-varying risk premium yield spread effect in term structure and global financial crisis : evidence from Europe

Choudhry, Taufiq - In: International review of financial analysis 48 (2016), pp. 303-311

Persistent link: https://www.econbiz.de/10011624526

A consumption-based term structure model of bonds and equity

Suzuki, Masataka - In: International review of financial analysis 94 (2024), pp. 1-16

Persistent link: https://www.econbiz.de/10014543974

An equilibrium model of the term structures of bonds and equities

Takamizawa, Hideyuki - In: International review of financial analysis 84 (2022), pp. 1-17

Persistent link: https://www.econbiz.de/10013472835

Investor strategies in the green bond market : the influence of liquidity risks, economic factors and clientele effects

Boutabba, Mohamed Amine; Rannou, Yves - In: International review of financial analysis 81 (2022), pp. 1-18

Persistent link: https://www.econbiz.de/10013375281