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The dynamics of bond yields and the stock index, with an application to the UK stock and bond market

Jakobsen, Jan Bo; Sørensen, Carsten - In: Applied financial economics 13 (2003) 5, pp. 387-399

Persistent link: https://www.econbiz.de/10001760630

Unstable Diffusion Indexes : With an Application to Bond Risk Premia

Massacci, Daniele - 2019

This paper studies the empirically relevant problem of estimation and inference in diffusion index forecasting models … squares estimation of the factor augmented regression and propose a break test. The empirical application uncovers … instabilities in the linkages between bond risk premia and macroeconomic factors …

Persistent link: https://www.econbiz.de/10012903066

A heterogeneous agents equilibrium model for the term structure of bond market liquidity

Schuster, Philipp; Gehde-Trapp, Monika; Uhrig-Homburg, … - 2013

We analyze the impact of market frictions on trading volume and liquidity premia for finite maturity assets when investors differ in their investment horizons. In equilibrium, illiquidity spills over from short-term to long-term assets and trading concentrates on assets of intermediate maturity....

Persistent link: https://www.econbiz.de/10009767309

A heterogeneous agents equilibrium model for the term structure of bond market liquidity

Schuster, Philipp; Gehde-Trapp, Monika; Uhrig-Homburg, … - 2013 - Rev.

We analyze the impact of market frictions on trading volume and liquidity premia of finite maturity assets when investors differ in their investment horizons. In equilibrium, short-horizon investors only invest in short-term assets and illiquidity spills over from short-term to long-term...

Persistent link: https://www.econbiz.de/10010248497

Forecasting long-term interest rates with a general-equilibrium model of the Euro area : what role for liquidity services of bonds? : Paolo Zagaglia

Zagaglia, Paolo - In: Asia-Pacific financial markets 20 (2013) 4, pp. 383-430

Persistent link: https://www.econbiz.de/10010345912

A heterogeneous agents equilibrium model for the term structure of bond market liquidity

Schuster, Philipp; Gehde-Trapp, Monika; Uhrig-Homburg, … - 2016

We analyze the impact of market frictions on trading volume and liquidity premia of finite maturity assets when investors differ in their trading needs. Our equilibrium model generates a clientele effect (frequently trading investors only hold short-term assets) and predicts i) a hump-shaped...

Persistent link: https://www.econbiz.de/10011449872