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Anatomy of a sovereign debt crisis : CDS spreads and real-time macroeconomic data

Alessi, Lucia; Balduzzi, Pierluigi; Savona, Roberto - 2019 - This draft: February 2019

We construct a unique and comprehensive data set of 19 real-time daily macroeconomic indicators for 11 Eurozone countries, for the 5/11/2009{4/25/2013 period. We use this new data set to characterize the time-varying dependence of the cross-section of sovereign credit default swap (CDS) spreads...

Persistent link: https://www.econbiz.de/10012053541

A model of target changes and the term structure of interest rates

Balduzzi, Pierluigi; Bertola, Giuseppe; Foresi, Silverio - 1993

Persistent link: https://www.econbiz.de/10000866594

The central tendency : a second factor in bond yields

Balduzzi, Pierluigi - In: The review of economics and statistics 80 (1998) 1, pp. 62-72

Persistent link: https://www.econbiz.de/10001235783

Yield-curve movements and fiscal retrenchments

Balduzzi, Pierluigi - In: European economic review : EER 41 (1997) 9, pp. 1675-1685

Persistent link: https://www.econbiz.de/10001235877

Interest rate targeting and the dynamics of short-term rates

Balduzzi, Pierluigi; Bertola, Giuseppe; Foresi, Silverio; … - In: Journal of money, credit and banking : JMCB 30 (1998) 1, pp. 26-50

Persistent link: https://www.econbiz.de/10001235903

A simple approach to three-factor affine term structure models

Balduzzi, Pierluigi (contributor) - In: The journal of fixed income 6 (1996) 3, pp. 43-53

Persistent link: https://www.econbiz.de/10001214258

A model target changes and the term structure of interest rates

Balduzzi, Pierluigi - In: Journal of monetary economics 39 (1997) 2, pp. 223-249

Persistent link: https://www.econbiz.de/10001224489

The central tendency : a second factor in bond yields

Balduzzi, Pierluigi; Das, Sanjiv R.; Foresi, Silverio - 1997

Persistent link: https://www.econbiz.de/10000652226

Interest rate targeting and the dynamics of short-term rates

Balduzzi, Pierluigi; Bertola, Giuseppe; Foresi, Silverio; … - 1997

Persistent link: https://www.econbiz.de/10000620991

A Model of Target Changes and the Term Structure of Interest Rates

Balduzzi, Pierluigi; Bertola, Giuseppe; Foresi, Silverio - 2021

We explore the effects of official targeting policy on the term-structure of nominal interest rates, adapting relevant insights from theoretical work on "peso problems" to account for realistic infrequency of target changes. Our analysis of daily U.S. interest rates and newly available...

Persistent link: https://www.econbiz.de/10013227209