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Downward nominal rigidities and bond premia

Gourio, François; Ngo, Phuong - 2024

We develop a parsimonious New Keynesian macro-finance model with downward nominal rigidities to understand secular and cyclical movements in Treasury bond premia. Downward nominal rigidities create state-dependence in output and inflation dynamics: a higher level of inflation makes prices more...

Persistent link: https://www.econbiz.de/10014505834

The interactions and trade-offs of sovereign Credit Default SWAP (CDS) and bond spreads in a dynamic context

Tampakoudis, Ioannis A.; Tamošiūnas, Andrius; … - In: Journal of business economics and management 20 (2019) 3, pp. 466-488

This study provides a dynamic analysis of the lead-lag relationship between sovereign Credit Default Swap (CDS) and bond spreads of the highly indebted southern European countries, considering an extensive time sample from the period before the global financial crisis to the latest developments...

Persistent link: https://www.econbiz.de/10012175748

No-Arbitrage Near-Cointegrated Var(p) Term Structure Models, Term Premia and GDP Growth

Jardet, Caroline - 2011

The recent macro-finance yield curve literature does not agree neither about term premia empirical properties nor about the importance or even the direction of its relationship with future economic activity. This paper proposes a two-step approach to handle both problems. First, in a VAR...

Persistent link: https://www.econbiz.de/10013132933

A two-factor cointegrated commodity price model with an application to spread option pricing

Farkas, Walter; Gourier, Elise; Huitema, Robert; … - 2016 - This version: May 20, 2016

retaining the exponential affine structure of previous approaches, our model allows for an arbitrary number of cointegration … relationships. We show that the cointegration component allows capturing well-known features of commodity prices, i.e., upward … provide compelling evidence of cointegration in the data. Implications for the prices of futures and options written on common …

Persistent link: https://www.econbiz.de/10011507774

The empirics of Canadian government securities yields

Akram, Tanweer; Das, Anupam - 2020

applies both the cointegration technique and Granger causality within the vector error correction (VEC) framework. The …

Persistent link: https://www.econbiz.de/10012149851

Natural rate chimera and bond pricing reality

Brand, Claus; Goy, Gavin; Lemke, Wolfgang - 2020

Incorporating arbitrage-free term-structure dynamics into a semi-structural macro-model, we jointly estimate the real equilibrium interest rate (r*), trend inflation, and term premia for the United States and the euro area, using a Bayesian approach. The natural real rate and trend inflation are...

Persistent link: https://www.econbiz.de/10012425011

Macroeconomic Determinants of the Term Structure : Long-Run and Short-Run Dynamics

Doshi, Hitesh - 2020

We propose a no-arbitrage term structure model with a Taylor rule and two macroeconomic variables, real activity growth and inﬂation, that each contain long-run and short-run components. Variance decompositions indicate that the impact of macroeconomic variables on the term structure diﬀers...

Persistent link: https://www.econbiz.de/10012856349

Euro interest rate swap yields : some ARDL models

Akram, Tanweer; Mamun, Khawaja - 2024

This paper examines the dynamics of euro-denominated (EUR) long-term interest rate swap yields. It shows that the short-term interest rate has an economically and statistically significant effect on EUR swap yields of different maturity tenors, after controlling for various key macroeconomic...

Persistent link: https://www.econbiz.de/10014531240

Investigating the determinants of commercial bank interest rate spreads in Lesotho : evidence from autoregressive distributed lag (ARDL) and non-linear ARDL approaches

Damane, Moeti - In: International journal of finance & economics : IJFE 27 (2022) 4, pp. 4256-4278

Persistent link: https://www.econbiz.de/10013461325

The fear premium and daily comovements of the S&P E/P ratio and treasury yields before and during the 2008 financial crisis

Faugère, Christophe (contributor) - 2013

Persistent link: https://www.econbiz.de/10010189580