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Dahlquist, Magnus; Hasseltoft, Henrik - Institut für Schweizerisches Bankwesen <Zürich> - 2011

We identify local and global factors across international bond markets that arepoorly spanned by the traditional level …, slope and curvature factors but havestrong forecasting power for future bond excess returns. Local and global fac-tors are … jointly signicant predictors of bond returns, where the global factor isclosely linked to US bond risk premia and …

Persistent link: https://www.econbiz.de/10009305251

Are Banks Different? Evidence from the CDS Market

Raunig, Burkhard; Scheicher, Martin - 2009

This paper uses regression analysis to compare the market pricing of the default risk of banks to that of other firms. We study how CDS traders discriminate between banks and other type of firms and how their judgement changes over time, in particular, since the start of the recent financial...

Persistent link: https://www.econbiz.de/10013370069

Multi-Currency Quadratic Models : Theory and Evidence

Leippold, Markus; Wu, Liuren - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

time-varying dynamics for conditional variance of bond and currency returns. Furthermore, we propose an m+n model structure …

Persistent link: https://www.econbiz.de/10005858853

Beta Regimes for the Yield Curve

Audrino, Francesco; De Giorgi, Enrico - Institut für Schweizerisches Bankwesen <Zürich> - 2005

We propose an affine term structure model which accommodates non-linearities in the drift and volatility function of the short-term interest rate. Such non-linearities are a consequence of discrete beta-distributed regime shifts constructed on multiple thresholds. We derive iterative closed form...

Persistent link: https://www.econbiz.de/10005858872

Modelling the yield curve: A two components approach

Hatgioannides, John; Karanasos, Menelaos; Karanassou, Marika - 2004

Using parametric return autocorrelation tests and non parametric variance ratio statistics show that the UK and US short-term interest rates are unit root processes with significant mean reverting components. Congruent with this empirical evidence, we develop a new continuous time term structure...

Persistent link: https://www.econbiz.de/10010284146

A search-theoretic model of the term premium

Geromichalos, Athanasios; Herrenbrueck, Lucas; Salyer, Kevin - 2013

A consistent empirical feature of bond yields is that term premia are, on average, positive. That is, investors in long …

Persistent link: https://www.econbiz.de/10010318851

A portfolio-balance approach to the nominal term structure

King, Thomas B. - 2013

Explanations of why changes in the relative quantities of safe debt seem to affect asset prices often appeal informally to a portfolio balance mechanism. I show how this type of effect can be incorporated in a general class of structural, arbitrage-free asset-pricing models using a numerical...

Persistent link: https://www.econbiz.de/10010352163

Bond pricing and the macroeconomy

Duffee, Gregory R. - 2012

explain the average shape of the nominal yield curve, the variation of yields over time, and the predictability of excess bond …

Persistent link: https://www.econbiz.de/10010397776

Cross-country co-movement in long-term interest rates: A DSGE approach

Chin, Michael; Filippeli, Thomai; Theodoridis, Konstantinos - 2015

Long-term interest rates in a number of small-open inflation targeting economies co-move more strongly with US long-term rates than with short-term rates in those economies. We augment a standard small open-economy model with imperfectly substitutable government bonds and time-varying term...

Persistent link: https://www.econbiz.de/10011380979

Correlation Risk and the Term Structureof Interest Rates

Buraschi, Andrea; Cieslak, Anna; Trojani, Fabio - Finrisk - 2008

regularities such as (i) thepredictability of excess bond returns, (ii) the persistence of conditional volatilities and …

Persistent link: https://www.econbiz.de/10005868928