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Zero-coupon interest rates : evaluating three alternative datasets

Díaz Pérez, Antonio; Jareño, Francisco; Navarro … - 2018

The zero-coupon yield curve is a common input for most financial purposes. The authors consider three popular yield curve datasets, and explore the extent to which the decision as to what dataset to use for an application may have implications on the results. The paper illustrates why such...

Persistent link: https://www.econbiz.de/10011901875

UK term structure decompositions at the zero lower bound

Carriero, Andrea; Mouabbi, Sarah; Vangelista, Elisabetta - 2015

This paper employs a Zero Lower Bound (ZLB) consistent shadow-rate model to decompose UK nominal yields into expectation and term premia components. Compared to a standard affine term structure model, it performs relatively better in a ZLB setting and effectively captures the countercyclical...

Persistent link: https://www.econbiz.de/10011339919

Demand-and-Supply Imbalance Risk and Long-Term Swap Spreads

Hanson, Samuel G.; Malkhozov, Aytek; Venter, Gyuri - 2022

intermediaries’ supply of long-term interest rate swaps. Swap spreads reflect compensation both for using scarce intermediary capital … the volatility of swap spreads …We develop and test a model in which swap spreads are determined by end users’ demand for and constrained …

Persistent link: https://www.econbiz.de/10014255302

Extended Libor market models with affine and quadratic volatility

Zühlsdorff, Christian - 2002

Persistent link: https://www.econbiz.de/10001667067

Extended Libor market models with affine and quadratic volatility

Zühlsdorff, Christian - 2002

dynamics has a linear volatility function. In this paper, the model is extended to quadratic volatility functions which are the …

Persistent link: https://www.econbiz.de/10011538865

Faster Solutions for Black Zero Lower Bound Term Structure Models

Krippner, Leo - 2014

The Black framework offers a theoretically appealing way to model the term structure and gauge the stance of monetary policy when the zero lower bound of interest rates becomes constraining, but it is time consuming to apply using standard numerical methods. I outline a faster Monte Carlo...

Persistent link: https://www.econbiz.de/10013062770

Term structure of interest rates with short-run and long-run risks

Grishchenko, Olesya V.; Song, Zhaogang; Zhou, Hao - In: The Journal of finance and data science : JFDS 8 (2022), pp. 255-295

We find that interest rate variance risk premium (IRVRP) - the difference between implied and realized variances of interest rates - is a strong predictor of U.S. Treasury bond returns of maturities ranging between one and ten years for return horizons up to six months. IRVRP is not subsumed by...

Persistent link: https://www.econbiz.de/10014433708

Bond risk premiums at the zero lower bound

Andreasen, Martin Møller; Jørgensen, Kasper; Meldrum, … - 2019

This paper documents a significantly stronger relationship between the slope of the yield curve and future excess bond returns on Treasuries from 2008-2015 than before 2008. This new predictability result is not matched by the standard shadow rate model with Gaussian factor dynamics, but...

Persistent link: https://www.econbiz.de/10012181201

The Term Structure of Short-Term Interest Rate Futures Volatility

Gurrola-Perez, Pedro - 2018

The maturity effect states that the volatility of futures prices should increase as the contract approaches expiration … by analyzing the term structure of the volatility of the most worldwide traded contracts, taking into consideration their … specific characteristics. We provide empirical evidence on the positive relation between volatility and time to maturity and …

Persistent link: https://www.econbiz.de/10012932343

Interest Rate Swaps : A Comparison of Compounded Daily Versus Discrete Reference Rates

Jarrow, Robert A.; Li, Siguang - 2021

This paper studies the hedging effectiveness of interest rate swaps using different reference rates for eliminating … prime examples are LIBOR and SOFR, respectively. We show that the ∆-based interest rate swap provides a good static hedge …, but the ∆/N-based swap does not. Although dynamic hedging with the ∆-based interest rate swap is possible under some …

Persistent link: https://www.econbiz.de/10013228515