New evidence on the robust identification of news shocks: Role of revisions in utilization‐adjusted TFP series and term structure data
Sign Up to like & getrecommendations! Published in 2018 at "Journal of Forecasting"
DOI: 10.1002/for.2507
Abstract: Data revisions and selections of appropriate forwarding†looking variables have a major impact on true identification of news shocks and quality of research findings derived from structural vector autoregression (SVAR) estimation. This paper revisits news… read more here.
Keywords: news shocks; news; identification news; term structure ... See more keywords
Dynamic term structure models for SOFR futures
Sign Up to like & getrecommendations! Published in 2021 at "Journal of Futures Markets"
DOI: 10.1002/fut.22246
Abstract: The LIBOR rate is currently scheduled for discontinuation, and the replacement advocated by regulators in the US is the Secured Overnight Financing Rate (SOFR). The change has the potential to disrupt the $200 trillion market… read more here.
Keywords: term; sofr futures; term structure; models sofr ... See more keywords
The U.S. term structure and return volatility in emerging stock markets
Sign Up to like & getrecommendations! Published in 2020 at "Journal of Economics and Finance"
DOI: 10.1007/s12197-020-09511-x
Abstract: This paper examines the predictive power of the U.S. term structure over return volatility in emerging stock markets. Decomposing the term structure of U.S. Treasury yields into two components, the expectations factor and the maturity… read more here.
Keywords: emerging stock; volatility; term; term structure ... See more keywords
Linear–quadratic term structure models for negative euro area yields
Sign Up to like & getrecommendations! Published in 2017 at "Economics Letters"
DOI: 10.1016/j.econlet.2017.03.029
Abstract: Four factor linear–quadratic models (LQTSM) fit negative Euro yields well, as short yields can be negative, but not the longest yields. LQTSM outperform four factor quadratic models that permit negative yields, which in turn outperform… read more here.
Keywords: negative euro; term structure; models negative; linear quadratic ... See more keywords
The Impact of Oil Price Shocks on the Term Structure of Interest Rates
Sign Up to like & getrecommendations! Published in 2018 at "Energy Economics"
DOI: 10.1016/j.eneco.2018.04.032
Abstract: In a structural VAR framework, we study the impact of oil price shocks in the global crude oil market on the dynamics of the entire yield curve in four industrialised countries with different positions on… read more here.
Keywords: oil price; price shocks; oil; term structure ... See more keywords
Nonlinear equilibrium adjustment dynamics and predictability of the term structure of interest rates
Sign Up to like & getrecommendations! Published in 2018 at "International Review of Financial Analysis"
DOI: 10.1016/j.irfa.2017.11.009
Abstract: We analyze money market dynamics under a long-run equilibrium framework where commonly-monitored spreads serve as error correction terms, derived from a structural model incorporating autocorrelated risk premia, interest rate smoothing and monetary policy feedback. Using… read more here.
Keywords: term structure; interest; nonlinear equilibrium; interest rates ... See more keywords
Term structure of interest rates: Modelling the risk premium using a two horizons framework
Sign Up to like & getrecommendations! Published in 2019 at "Journal of Economic Behavior and Organization"
DOI: 10.1016/j.jebo.2019.09.006
Abstract: This paper proposes a hybrid two-horizon risk premium model with one- and two-period maturity debts, among which the risky asset and the riskless one depend on agents’ investment horizon. A representative investor compares at each… read more here.
Keywords: premium; risk premium; market; term structure ... See more keywords
Cash flow duration and the term structure of equity returns
Sign Up to like & getrecommendations! Published in 2018 at "Journal of Financial Economics"
DOI: 10.1016/j.jfineco.2018.03.003
Abstract: The term structure of equity returns is downward-sloping: stocks with high cash flow duration earn 1.10% per month lower returns than short-duration stocks in the cross-section. I create a measure of cash flow duration at… read more here.
Keywords: term structure; flow duration; cash flow; duration ... See more keywords
THE CONVENTIONAL MONETARY POLICY AND TERM STRUCTURE OF INTEREST RATES DURING THE FINANCIAL CRISIS
Sign Up to like & getrecommendations! Published in 2018 at "Macroeconomic Dynamics"
DOI: 10.1017/s1365100516000997
Abstract: This paper analyzes whether the Fed had the ability through its conventional monetary policy to affect key economic and financial variables, and, in particular, the term structure of interest rates, during the recent financial crisis.… read more here.
Keywords: policy; structure interest; term structure; monetary policy ... See more keywords
Error bounds for the perturbation solution of the transition density under a multi-factor CIR term structure model with weak mean-reversion effect
Sign Up to like & getrecommendations! Published in 2019 at "Communications in Statistics - Theory and Methods"
DOI: 10.1080/03610926.2019.1617879
Abstract: Abstract We consider a multi-factor Cox-Ingersoll-Ross (CIR) model of the term structure of interest rates with weak mean-reversion effect. We use perturbation theory to analyze its conditional characteristic function illustrated by a system of Riccati… read more here.
Keywords: error bounds; term structure; multi factor; transition density ... See more keywords
The Term Structure of Option-Implied Volatility and Future Realized Volatility
Sign Up to like & getrecommendations! Published in 2019 at "Emerging Markets Finance and Trade"
DOI: 10.1080/1540496x.2019.1612360
Abstract: ABSTRACT We extract the short-, medium-, and long-term factors from the term structure of the option-implied volatility (OIV) of the S&P 500, the FTSE 100, and the Chinese 50 Exchange-Traded Funds (ETF), using an extension… read more here.
Keywords: term; volatility; term structure; realized volatility ... See more keywords