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Prediction Bias Correction for Dynamic Term Structure Models

Raviv, Eran - 2013

When the yield curve is modelled using an affine factor model, residuals may still contain relevant information and do not adhere to the familiar white noise assumption.This paper proposes a pragmatic way to improve out of sample performance for yield curve forecasting. The proposed adjustment...

Persistent link: https://www.econbiz.de/10010326442

Intermediary balance sheets and the treasury yield curve

Du, Wenxin; Hébert, Benjamin; Li, Wenhao - 2022

the shift in the dealers' net position. We then use a stylized model to demonstrate that increased bond supply and …

Persistent link: https://www.econbiz.de/10013432953

Forecasting Interest Rates with Shifting Endpoints

van Dijk, Dick; Koopman, Siem Jan; van der Wel, Michel; … - 2012

Many economic studies on inflation forecasting have found favorable results when inflation is modeled as a stationary process around a slowly time-varying trend. In contrast, the existing studies on interest rate forecasting either treat yields as being stationary, without any shifting...

Persistent link: https://www.econbiz.de/10010326362

Equilibrium yield curves under regime switching

García-Verdú, Santiago - 2010

This paper studies how inflation as a macroeconomic indicator affects nominal bond prices. I consider an economy with a … that inêationary unexpected shocks indicate lower consumption growth, nominal bond holders need to be compensated for these …

Persistent link: https://www.econbiz.de/10010322544

Interest Rate Smoothing and Time-Varying Premium: Another Look at Debt Management in Japan

Takeda, Yosuke - 1999

We argue a source of time-varying premium (TVTP) in Japanese government bond market, and show that it is interest rate …. Our robust empirical evidences support the expectation theory in Japanese government bond market. Moreover, in comparison …

Persistent link: https://www.econbiz.de/10010369168

Order Flow and the Formation of Dealer Bids: An Analysis of Information and Strategic Behavior in the Government of Canada Securities Auctions

Sareen, Samita; Hortacsu, Ali - 2004

Using data on Government of Canada securities auctions, this paper shows that in countries where direct access to primary issuance is restricted to government securities dealers, Order-flow" information is a key source of private information for these security dealers. Order-flow information is...

Persistent link: https://www.econbiz.de/10011325019

Inflation Hedging on Main Street? Evidence from Retail TIPS Fund Flows

Nagel, Stefan; Yan, Zhen - 2022

Households participating in financial markets pay attention to inflation news when making their investment decisions, even in an environment of mostly low and stable inflation. ETFs and open-ended mutual funds holding Treasury Inflation-Protected Securities (TIPS) receive inflows from retail...

Persistent link: https://www.econbiz.de/10014290028

Behavioral Biases of Dealers in U.S. Treasury Auctions

Goldreich, David - 2004

important for setting asset prices. These primary bond dealers who regularly bid for billions of dollars in Treasury bill …

Persistent link: https://www.econbiz.de/10011325017

Konstruktion einer Anleihe mit hypothekarischer Besicherung

Alram, Johannes - 2009

This work describes the legal structuring of a mortgage covered bond in accordance with the regulations of paragraphs … rights of the bond holders according to the regulations of the German Statue Governing Common Rights of Owners of Debt … Securities (Schuldverschreibungsgesetz). Furthermore, the work describes how the bond creditors shall have preferences of the …

Persistent link: https://www.econbiz.de/10010298959

Exploring the CDS-Bond Basis

De Wit, Jan - 2006

. Nonetheless, the average CDS-bond basis (i.e. the difference between both measures) is positive in the period 2004-2005. We detect …

Persistent link: https://www.econbiz.de/10011506625