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Financial Markets Efficiency and Economic Behaviour : Evaluating Euro Area Economies

Tomat, Gian Maria - 2023

-- Chapter 5 Bond valuation -- Chapter 6 Yield curves -- Chapter 7 Term structure models -- Chapter 8 Real estate market …, dividend ratio model, yield curve and term structure, all of which are concepts used to analyse pricing and other behaviour in …

Persistent link: https://www.econbiz.de/10014337024

Non-linearities and persistence in US long-run interest rates

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2020

-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/10012383724

Modeling and forecasting the co-movement of international yield curve drivers

Sprincenatu, Maria - 2019

Persistent link: https://www.econbiz.de/10012172917

Bond return predictability : economic value and links to the macroeconomy

Gargano, Antonio; Pettenuzzo, Davide; Timmermann, Allan - In: Management science : journal of the Institute for … 65 (2019) 2, pp. 508-540

Persistent link: https://www.econbiz.de/10012000665

The impact of sovereign yield curve differentials on value-at-risk forecasts for foreign exchange rates

Fink, Holger Maria; Fuest, Andreas; Port, Henry - In: Risks : open access journal 6 (2018) 3, pp. 1-19

implements the yield curve differentials between EUR and the US as exogenous factors. Functional principal component analysis … allows us to use the information of basically the whole yield curve in a parsimonious way for exchange rate risk prediction …. The data analyzed in our empirical study consist of the EURUSD exchange rate and the EUR- and US-yield curves from 15 …

Persistent link: https://www.econbiz.de/10011890808

Bond variance risk premia

Mueller, Philippe; Vedolin, Andrea; Yen, Yu-min - 2012

Persistent link: https://www.econbiz.de/10009552228

Multi-level factor analysis of bond risk premia

Kim, Dukpa; Kim, Yunjung; Bak, Yuhyeon - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 21 (2017) 5, pp. 1-19

Persistent link: https://www.econbiz.de/10011897566

Mind the (convergence) gap: bond predictability strikes back!

Berardi, Andrea; Markovich, Michael; Plazzi, Alberto; … - 2019 - This version: August 29, 2019

We show that the difference between the natural rate of interest and the current level of monetary policy stance, which we label Convergence Gap (CG), contains information that is valuable for bond predictability. Adding CG in forecasting regressions of bond excess returns significantly raises...

Persistent link: https://www.econbiz.de/10012134247

Explaining bond return predictability in an estimated New Keynesian model

Andreasen, Martin Møller - 2019

Persistent link: https://www.econbiz.de/10012063989

Equity tail risk in the treasury bond market

Ruzzi, Dario; Rubin, Mirco - 2020

Persistent link: https://www.econbiz.de/10012610635