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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
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Lévy-Vasicek models and the long-bond return process
Brody, Dorje C.; Hughston, Lane P.; Meier, David M. - In: International journal of theoretical and applied finance 21 (2018) 3, pp. 1-26
Persistent link: https://www.econbiz.de/10011889447
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Tracing the impact of the ECB's asset purchase programme on the yield curve
Eser, Fabian; Lemke, Wolfgang; Nyholm, Ken; Radde, Sören; … - 2020
We trace the impact of the European Central Bank (ECB) asset purchase programme (APP) on the yield curve. Exploiting granular information on sectoral asset holdings and ECB asset purchases, we construct a novel measure of the "free-float of duration risk" borne by pricesensitive investors. We...
Persistent link: https://www.econbiz.de/10012424954
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What factors shape the liquidity levels of euro area sovereign bonds?
Jurksas, Linas - In: Open economics 1 (2018) 1, pp. 154-166
hundred bonds from six largest euro area sovereign bond markets. The created variables were used in a cross …-sectional regression model. The results revealed that characteristics of sovereign bonds are indeed highly linked with bond liquidity …
Persistent link: https://www.econbiz.de/10011989217
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Monetary policy, bond returns and debt dynamics
Berndt, Antje; Yeltekin, Şevin - In: Journal of monetary economics 73 (2015), pp. 119-136
Persistent link: https://www.econbiz.de/10011381760
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Corporate yields and sovereign yields
Bevilaqua, Julia; Hale, Galina; Tallman, Eric - In: Journal of international economics 124 (2020), pp. 1-15
Persistent link: https://www.econbiz.de/10012590677
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Green bond pricing and its determinant : evidence from Chinese secondary market
Janda, Karel; Zhang, Binyi - In: Regulation of Finance and Accounting : 21st and 22nd …, (pp. 191-211). 2022
Persistent link: https://www.econbiz.de/10013448491
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Habits die hard : implications for bond and stock markets internationally
Nitschka, Thomas; Satkurunathan, Shajivan - 2021
nominal government bond yields and the stock price dynamics of six major economies from 1988 until 2019. We calibrate the …-year government bond yields allows one to generate articifical time series of bond yields and price-consumption ratios that follow the …
Persistent link: https://www.econbiz.de/10013327990
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The sovereign spread in Asian emerging economies : the significance of external versus internal factors
Banerji, Sanjay; Ventouri, Alexia; Wang, Zilong - In: Economic modelling 36 (2014), pp. 566-576
Persistent link: https://www.econbiz.de/10010416353
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The war that bond markets did not perceive as such : the prices of South African bonds during the Second Anglo-Boer War: an extreme case of resilience
Oosterlinck, Kim; Van Gansbeke, Marie - In: Expectations : theory and applications from historical …, (pp. 147-167). 2020
When a conflict breaks out, warring states' bond prices generally experience sharp declines. As military defeat may … reveals the important role played by Rothschild, the underwriter. When the bond was first issued, Rothschild signalled that … should a war break out the bond would be repaid. Once the war became reality, Rothschild was instrumental in making sure …
Persistent link: https://www.econbiz.de/10012199577