搜索结果: 1-12 共查到“知识库 理论经济学 Yield”相关记录12条 . 查询时间(0.165 秒)
The Macroeconomy and the Yield Curve:A Dynamic Latent Factor Approach
Term structure interest rates macroeconomic fundamentals factor model state-space model
2015/9/18
We estimate a model that summarizes the yield curve using latent factors (specifically, level,slope, and curvature) and also includes observable macroeconomic variables (specifically, real activity,in...
Email addresses: piazzesi@uchicago.edu, martin.schneider@nyu.edu. We thank Pierpaolo Benigno
and John Campbell for helpful discussions. We also thank Andy Atkeson, David Backus, Frederico
Belo, John...
What does the yield curve tell us about GDP growth?
Term structure Forecasting Financial markets and the macroeconomy
2015/7/23
A lot, including a few things you may not expect. Previous studies find that the term spread
forecasts GDP but these regressions are unconstrained and do not model regressor
endogeneity. We bu...
An Econometric Model of the Yield Curve with Macroeconomic Jump Effects
Macroeconomic Jump Effects Yield Curve
2015/7/23
This paper develops an arbitrage-free time-series model of yields in continuous time
that incorporates central bank policy. Policy-related events, such as FOMC meetings
and releases of macroeconomic...
Reaching for Yield in the Bond Market
Fixed Income Reaching For Yield Financial Intermediation Insurance Companies Insurance Bonds
2015/4/27
Reaching-for-yield—the propensity to buy riskier assets in order to achieve higher yields—is believed to be an important factor contributing to the credit cycle. This paper analyses this phenomenon in...
Yield to maturity modelling and a Monte Carlo Technique for pricing Derivatives on Constant Maturity Treasury (CMT) and Derivatives on forward Bonds
interest rate bonds recovery rate survival probability hazard rate function yield to maturity CMS CMT
2012/4/28
This paper proposes a Monte Carlo technique for pricing the forward yield to maturity, when the volatility of the zero-coupon bond is known. We make the assumption of deterministic default intensity (...
Comments on Piazzesi and Schneider's "Bond Positions, Expectations, and the Yield Curve"
monetary interactions fiscal interactions integrating finance future enhancement
2011/9/16
The article presents the author commentaries of Monika Piazzesi and Martin Schneider's "Bond Positions, Expectations, and the Yield Curve." It refers to the integration of macroeconomics and finance i...
Monetary policy and corporate bond yield spreads
Firm characteristics economic conditions policy regimes corporate bond yield spreads
2011/8/21
Firm characteristics, economic conditions and policy regimes are the key determinants that most researchers have used to explain corporate bond yield spreads. In this article, we examine whether monet...
Two Curves, One Price: Pricing & Hedging Interest Rate Derivatives Decoupling Forwarding and Discounting Yield Curves
liquidity crisis counterparty risk yield curve forward curve discount curve
2010/11/1
We revisit the problem of pricing and hedging plain vanilla single-currency in-terest rate derivatives using multiple distinct yield curves for market coherent esti-mation of discount factors and forw...
This paper presents an answer to why the yield curve tends to invert one year
before a recession. The capital-based macroeconomic model used in this paper traces out
the effects of an injection of s...
Coal Mine Safety and Coal Yield: A First Look
coal mine safety coalyield panel data fix effect instrumental variables
2014/7/7
Thispaper analyzesandtests relationshipbetween coalmine mortalityand coalyield in China.Itproposesatheoryillustrating thatyieldcanbe eitherpositiveornegative relatedto mortality,depending onthree effe...
Parsimonious HJM Modelling for Multiple Yield-Curve Dynamics
HJM Modelling Multiple Yield-Curve Dynamics
2010/12/13
For a long time interest-rate models were built on a single yield curve used both for discounting and forwarding. However, the crisis that has affected financial markets in the last years led market p...