Bond yield and crude oil prices predictability
Sign Up to like & getrecommendations! Published in 2021 at "Energy Economics"
DOI: 10.1016/j.eneco.2021.105205
Abstract: Abstract Using long-term government bond yield (LTY), corporate bond yields spread (DFY) and Treasury bill rate (TBL) as the proxies, we find bond yield can effectively predict WTI and Brent spot prices. In-sample analysis indicates… read more here.
Keywords: bond yield; yield crude; oil; yield variables ... See more keywords
Convergence patterns in sovereign bond yield spreads : evidence from the Euro Area
Sign Up to like & getrecommendations! Published in 2017 at "Journal of International Financial Markets, Institutions and Money"
DOI: 10.1016/j.intfin.2017.03.002
Abstract: This study examines the convergence patterns of Euro Area (EA) 17 countries’ sovereign bond yield spreads (relative to German bund) over the period of March 2002 to December 2015, by employing the convergence algorithm developed… read more here.
Keywords: bond; yield spreads; sovereign bond; bond yield ... See more keywords
Principal component regression in GAMLSS applied to Greek–German government bond yield spreads
Sign Up to like & getrecommendations! Published in 2021 at "Statistical Modelling"
DOI: 10.1177/1471082x211022980
Abstract: A solution to the problem of having to deal with a large number of interrelated explanatory variables within a generalized additive model for location, scale and shape (GAMLSS) is given here using as an example… read more here.
Keywords: bond yield; gamlss; yield spreads; german government ... See more keywords
Monetary Policy Independence and Bond Yield in Developing Countries
Sign Up to like & getrecommendations! Published in 2020 at "Journal of Asian Finance, Economics and Business"
DOI: 10.13106/jafeb.2020.vol7.no11.023
Abstract: This paper investigates the impact of monetary policy independence shock on bond yield by allowing for heterogeneous coefficients in the model based on panel data for 19 developing countries using quarterly data from 1991 to… read more here.
Keywords: bond yield; bond; monetary policy; policy independence ... See more keywords
Sovereign Bond Yield Differentials across Europe: A Structural Entropy Perspective
Sign Up to like & getrecommendations! Published in 2023 at "Entropy"
DOI: 10.3390/e25040630
Abstract: This study uses structural entropy as a valuable method for studying complex networks in a macro-finance context, such as the European government bond market. We make two contributions to the empirical literature on sovereign bond… read more here.
Keywords: entropy perspective; finance; yield differentials; bond yield ... See more keywords