Emerging Market Corporate Bond Yields and Monetary Policy
Sign Up to like & getrecommendations! Published in 2018 at "Emerging Markets Review"
DOI: 10.1016/j.ememar.2018.04.001
Abstract: We examine the determinants of corporate bond yields in emerging markets with a focus on the spillover of US monetary policy on corporate bond yields. We find that emerging market corporate bond yields are positively… read more here.
Keywords: policy; monetary policy; bond yields; corporate bond ... See more keywords
An analysis of network filtering methods to sovereign bond yields during COVID-19
Sign Up to like & getrecommendations! Published in 2021 at "Physica A: Statistical Mechanics and its Applications"
DOI: 10.1016/j.physa.2021.125995
Abstract: In this work, we investigate the impact of the COVID-19 pandemic on sovereign bond yields amongst European countries. We consider the temporal changes from financial correlations using network filtering methods. These methods consider a subset… read more here.
Keywords: network filtering; sovereign bond; bond yields; filtering methods ... See more keywords
Government bond yields in Germany and Spain—empirical evidence from better days
Sign Up to like & getrecommendations! Published in 2018 at "Quantitative Finance"
DOI: 10.1080/14697688.2017.1419734
Abstract: This paper tries to link the uncovered interest rate parity condition to the discussion about interest rate convergence in currency unions. Techniques of fractional cointegration analysis are used to examine the relationship between German and… read more here.
Keywords: interest; bond yields; rate; government bond ... See more keywords
The effect of central bank communication on sovereign bond yields: The case of Hungary
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DOI: 10.1371/journal.pone.0245515
Abstract: In this article we investigate how the public communication of the Hungarian Central Bank’s Monetary Council (MC) affects Hungarian sovereign bond yields. This research ties into the advances made in the financial and political economy… read more here.
Keywords: central bank; communication; effect; bond yields ... See more keywords
Unit Root Testing in the Presence of Mean Reverting Jumps: Evidence from US T-Bond Yields
Sign Up to like & getrecommendations! Published in 2019 at "International Journal of Nonlinear Sciences and Numerical Simulation"
DOI: 10.1515/ijnsns-2018-0012
Abstract: Abstract Mean reversion of financial data, especially interest rates is often tested by linear unit root tests. However, there are times where linear unit root test results can be misleading especially when mean reverting jump… read more here.
Keywords: unit; unit root; test; root testing ... See more keywords