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Alpha-CIR Model with Branching Processes in Sovereign Interest Rate Modelling

Jiao, Ying - 2016

We introduce a class of interest rate models, called the α-CIR model, which gives a natural extension of the standard CIR model by adopting the α-stable L ́evy process and preserving the branching property. This model allows to describe in a unified and parsimonious way several recent...

Persistent link: https://www.econbiz.de/10012998794

The Long-Run Determinants of Indian Government Bond Yields

Akram, Tanweer - 2017

-term interest rates, the federal fiscal balance, and other key macro variables to form their long-term outlook on IGB yields, and to …

Persistent link: https://www.econbiz.de/10012965607

An Inquiry Concerning Long-Term US Interest Rates Using Monthly Data

Akram, Tanweer - 2017

This paper undertakes an empirical inquiry concerning the determinants of long-term interest rates on US Treasury securities. It applies the bounds testing procedure to cointegration and error correction models within the autoregressive distributive lag (ARDL) framework, using monthly data and...

Persistent link: https://www.econbiz.de/10012950221

The Dynamics of Government Bond Yields in the Eurozone

Akram, Tanweer - 2017

This paper investigates the determinants of nominal yields of government bonds in the eurozone. The pooled mean group (PMG) technique of cointegration is applied on both monthly and quarterly datasets to examine the major drivers of nominal yields of long-term government bonds in a set of 11...

Persistent link: https://www.econbiz.de/10012956837

Par-Par Asset Swap Spreads : An Illustration of How to Price Asset Swaps

Burgess, Nicholas - 2016

Asset swaps provide a form of asset financing, where investors borrow funds to purchase an asset, typically a bond. Asset swaps are also a good bond rich-cheap analysis tool. Such swaps can of course be used for speculative purposes. In this paper we provide a brief overview of asset swaps and...

Persistent link: https://www.econbiz.de/10012986931

Australian Government Bonds’ Nominal Yields : An Empirical Analysis

Akram, Tanweer - 2018

The short-term interest rate is the main driver of the Commonwealth of Australia government bonds' nominal yields. This paper empirically models the dynamics of government bonds' nominal yields using the autoregressive distributed lag (ARDL) approach. Keynes held that the central bank exerts...

Persistent link: https://www.econbiz.de/10012912369

The Dynamics of Japanese Government Bonds’ Nominal Yields

Akram, Tanweer - 2018

This paper employs a Keynesian perspective to explain why Japanese government bonds' (JGBs) nominal yields have been low for more than two decades. It deploys several vector error correction (VEC) models to estimate long-term government bond yields. It shows that the low short-term interest...

Persistent link: https://www.econbiz.de/10012919537

Non-Default Component of Sovereign Emerging Market Yield Spreads and Its Determinants : Evidence from Credit Default Swap Market

Küçük, Uğur N. - 2019

credit default swap (CDS) premium and the hypothetical CDS premium implied by emerging market bond yields. On average, the … positive basis for speculative grade bonds support the existence of speculation in the CDS market when the underlying's credit … quality is bad. I study the effects of bond liquidity, liquidity in the CDS market, equity market performance and …

Persistent link: https://www.econbiz.de/10012906256

Deconstructing the Yield Curve

Crump, Richard K. - 2019

We investigate the factor structure of the term structure of interest rates and argue that characterizing the minimal dimension of the data generating process is more challenging than currently appreciated. As a result, inference procedures for yield curve models that commit to a parsimoniously...

Persistent link: https://www.econbiz.de/10012889010

The Valuation of Fixed Term Securities Lending in a Multi-Curve Framework

Conze, Antoine - 2019

We consider the risk neutral valuation of fixed term securities lending in a multi-curve framework, taking into account the forward basis of each component of the transaction relative to the discount curve, including basis between currencies. We show that a convexity adjustment arises from the...

Persistent link: https://www.econbiz.de/10012891103