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Explaining anomalous inferences regarding the expectations theory
Shambora, William E. - In: Global Business and Economics Review 8 (2006) 3/4, pp. 206-216
This paper examines inferences from two traditional tests of Expectations Hypothesis of the Term Structure (EHTS) under … various models of the data generating process of the short-term interest rate. It is found that inference from these tests can … be different under different models and that some of the tests most likely to support EHTS are those that are the least …
Persistent link: https://www.econbiz.de/10010816589
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The impact of pensions and insurance on global yield curves
Greenwood, Robin; Vissing-Jørgensen, Annette - 2018
increases. These effects extend beyond long government bonds. Our results suggest that pension discount rules can have a …
Persistent link: https://www.econbiz.de/10011931879
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Fixed income investing : a classic in a time of increased uncertainty
Poufinas, Thomas - 2022
types of bonds, their valuation, the interest rate term structure—then moving to fixed income portfolio management and the …1. Introduction -- 2. Bonds -- 3. Term Structure -- 4. Fixed Income Portfolio Management -- 5. Interest Rate … Derivatives -- 6. Credit Derivatives -- 7. Bond Markets -- 8. Bond Funds -- 9. Risks and Risk Management -- 10. Bonds and Crises …
Persistent link: https://www.econbiz.de/10012659711
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Disaggregation and the equity premium puzzle
Wilson, Matthew S. - In: Journal of empirical finance 58 (2020), pp. 1-18
Persistent link: https://www.econbiz.de/10012430446
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Fixed Income Investing : A Classic in a Time of Increased Uncertainty
Poufinas, Thomas - 2022
1. Introduction -- 2. Bonds -- 3. Term Structure -- 4. Fixed Income Portfolio Management -- 5. Interest Rate … Derivatives -- 6. Credit Derivatives -- 7. Bond Markets -- 8. Bond Funds -- 9. Risks and Risk Management -- 10. Bonds and Crises … -- 11. Bonds and Debt -- 12. Bonds vs. Stocks -- 13. Hedging, Speculation and Arbitrage -- 14. Bonds and Regulation. …
Persistent link: https://www.econbiz.de/10013170811
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Interest Rate Volatility and Risk in Indian Banking
International Monetary Fund (IMF); International … - 2004
The easing of controls on interest rates has led to higher interest rate volatility in India. Hence, there is a need to measure and monitor the interest rate exposure of Indian banks. Using publicly available information, this paper attempts to assess the interest rate risk carried by a sample...
Persistent link: https://www.econbiz.de/10005825648
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From Subprime Loans to Subprime Growth? Evidence for the Euro Area
Cihák, Martin; Brooks, Petya Koeva - International Monetary Fund (IMF) - 2009
The global financial crisis has highlighted the potential of financial conditions for influencing real economic activity. We examine the linkages between the financial and real sectors in the euro area, finding that (i) bank loan supply responds negatively to declines in bank soundness; (ii) a...
Persistent link: https://www.econbiz.de/10005825755
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Monetary Independence in Emerging Markets; Does the Exchange Rate Regime Make a Difference?
Philippon, Thomas; Zettelmeyer, Jeromin; Borensztein, … - International Monetary Fund (IMF) - 2001
This paper compares the impact of shocks to U.S. interest rates and emerging market bond spreads on domestic interest rates and exchange rates across several emerging market economies with different exchange rate regimes. Consistent with conventional priors, the results indicate that interest...
Persistent link: https://www.econbiz.de/10005825800
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Volatility and Jump Risk Premia in Emerging Market Bonds
Matovu, John - International Monetary Fund (IMF) - 2007
There is strong evidence that interest rates and bond yield movements exhibit both stochastic volatility and unanticipated jumps. The presence of frequent jumps makes it natural to ask whether there is a premium for jump risk embedded in observed bond yields. This paper identifies a class of...
Persistent link: https://www.econbiz.de/10005825819
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The Role of Interest Rates in Business Cycle Fluctuations in Emerging Market Countries; The Case of Thailand
Tchakarov, Ivan; Elekdag, Selim - International Monetary Fund (IMF) - 2006
Emerging market countries have enjoyed an exceptionally favorable economic environment throughout 2004, 2005, and early 2006. In particular, accommodative U.S. monetary policy in recent years has helped create an environment of low interest rates in international capital markets. However, if...
Persistent link: https://www.econbiz.de/10005825895