Nothing Special   »   [go: up one dir, main page]
create a website
The impact of oil price shocks on the term structure of interest rates. (2018). Ioannidis, Christos ; Ka, Kook.
In: Energy Economics.
RePEc:eee:eneeco:v:72:y:2018:i:c:p:601-620.

Full description at Econpapers || Download paper

Cited: 25

Citations received by this document

Cites: 77

References cited by this document

Cocites: 41

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. Seeking a shock haven: Hedging extreme upward oil price changes. (2024). HU, YANG ; Conlon, Thomas ; Corbet, Shaen ; Hou, Yang ; Oxley, Les.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:94:y:2024:i:c:s1057521924001777.

    Full description at Econpapers || Download paper

  2. Time?varying causality between bond and oil markets of the United States: Evidence from over one and half centuries of data. (2023). Rojas, Omar ; Nazlioglu, Saban ; Gupta, Rangan ; Coronado, Semei.
    In: International Journal of Finance & Economics.
    RePEc:wly:ijfiec:v:28:y:2023:i:3:p:2239-2247.

    Full description at Econpapers || Download paper

  3. The role of oil and risk shocks in the high?frequency movements of the term structure of interest rates: Evidence from the U.S. Treasury market. (2023). GUPTA, RANGAN ; Subramaniam, Sowmya ; Sheng, Xin ; Hussain, Syed Jawad.
    In: International Journal of Finance & Economics.
    RePEc:wly:ijfiec:v:28:y:2023:i:2:p:1845-1857.

    Full description at Econpapers || Download paper

  4. The impact of the COVID-19 outbreak on the connectedness of the BRICS’s term structure. (2023). Umar, Zaghum ; Escribano, Ana ; Jareo, Francisco.
    In: Palgrave Communications.
    RePEc:pal:palcom:v:10:y:2023:i:1:d:10.1057_s41599-022-01500-1.

    Full description at Econpapers || Download paper

  5. Oil Price Shocks and Bond Risk Premia: Evidence from a Panel of 15 Countries. (2023). Nersisyan, Liana ; Lyrio, Marco ; Iania, Leonardo.
    In: LIDAM Discussion Papers LFIN.
    RePEc:ajf:louvlf:2023002.

    Full description at Econpapers || Download paper

  6. Dynamic relationship among the bank stability, oil, and gold prices: Evidence from the Islamic banks operating in the Gulf Cooperation Council countries. (2022). Bekta, Eralp ; Elbadri, Marei.
    In: International Journal of Finance & Economics.
    RePEc:wly:ijfiec:v:27:y:2022:i:2:p:2153-2168.

    Full description at Econpapers || Download paper

  7. Oil price shocks and yield curve dynamics in emerging markets. (2022). GUPTA, RANGAN ; Lucey, Brian ; Karahan, Cenk C ; Cepni, Oguzhan.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:80:y:2022:i:c:p:613-623.

    Full description at Econpapers || Download paper

  8. Network connectedness dynamics of the yield curve of G7 countries. (2022). Aharon, David Y ; Riaz, Yasir ; Umar, Zaghum.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:79:y:2022:i:c:p:275-288.

    Full description at Econpapers || Download paper

  9. How do oil prices affect emerging market sovereign bond spreads?. (2022). Lin, Tzu-Yu ; Huang, Shiangtsz ; Chen, Shiu-Sheng .
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:128:y:2022:i:c:s0261560622001036.

    Full description at Econpapers || Download paper

  10. Financial stress and crude oil implied volatility: New evidence from continuous wavelet transformation framework. (2022). Basu, Sankarshan ; Dutta, Anupam ; Maitra, Debasish ; Das, Debojyoti.
    In: Energy Economics.
    RePEc:eee:eneeco:v:115:y:2022:i:c:s0140988322005175.

    Full description at Econpapers || Download paper

  11. Spillovers between sovereign yield curve components and oil price shocks. (2022). Alwahedi, Wafa ; Esparcia, Carlos ; Aharon, David Y ; Umar, Zaghum.
    In: Energy Economics.
    RePEc:eee:eneeco:v:109:y:2022:i:c:s0140988322001396.

    Full description at Econpapers || Download paper

  12. .

    Full description at Econpapers || Download paper

  13. Economic Policy Uncertainty and Bond Risk Premia. (2021). Ka, Kook ; Ioannidis, Christos.
    In: Journal of Money, Credit and Banking.
    RePEc:wly:jmoncb:v:53:y:2021:i:6:p:1479-1522.

    Full description at Econpapers || Download paper

  14. Oil and Mortality. (2021). Sanginabadi, Bahram.
    In: OSF Preprints.
    RePEc:osf:osfxxx:j2xqw.

    Full description at Econpapers || Download paper

  15. Forecasting Commodity Prices Using the Term Structure. (2021). Qadan, Mahmoud ; Idilbi-Bayaa, Yasmeen.
    In: JRFM.
    RePEc:gam:jjrfmx:v:14:y:2021:i:12:p:585-:d:695354.

    Full description at Econpapers || Download paper

  16. Self-exciting jumps in the oil market: Bayesian estimation and dynamic hedging. (2021). Sgarra, Carlo ; Gonzato, Luca.
    In: Energy Economics.
    RePEc:eee:eneeco:v:99:y:2021:i:c:s0140988321001845.

    Full description at Econpapers || Download paper

  17. High-Frequency Movements of the Term Structure of Interest Rates of the United States: The Role of Oil Market Uncertainty. (2020). Kyei, Clement ; GUPTA, RANGAN ; Subramaniam, Sowmya ; Bouri, Elie.
    In: Working Papers.
    RePEc:pre:wpaper:202085.

    Full description at Econpapers || Download paper

  18. The Role of Oil and Risk Shocks in the High-Frequency Movements of the Term Structure of Interest Rates of the United States. (2020). GUPTA, RANGAN ; Subramaniam, Sowmya ; Sheng, Xin ; Hussain, Syed Jawad.
    In: Working Papers.
    RePEc:pre:wpaper:202063.

    Full description at Econpapers || Download paper

  19. Time-Varying Causality between Bond and Oil Markets of the United States: Evidence from Over One and Half Centuries of Data. (2020). GUPTA, RANGAN ; Rojas, Omar ; Nazlioglu, Saban ; Coronado, Semei.
    In: Working Papers.
    RePEc:pre:wpaper:202006.

    Full description at Econpapers || Download paper

  20. The asymmetric effects of oil price changes on unemployment: Evidence from Canada and the U.S. (2020). Nusair, Salah A.
    In: The Journal of Economic Asymmetries.
    RePEc:eee:joecas:v:21:y:2020:i:c:s1703494919300921.

    Full description at Econpapers || Download paper

  21. Does oil price have similar effects on the exchange rates of BRICS?. (2020). Lin, Boqiang ; Su, Tong.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:69:y:2020:i:c:s105752191930362x.

    Full description at Econpapers || Download paper

  22. Oil shocks and financial systemic stress: International evidence. (2020). Qin, Xiao.
    In: Energy Economics.
    RePEc:eee:eneeco:v:92:y:2020:i:c:s0140988320302851.

    Full description at Econpapers || Download paper

  23. Stochastic interest rates under rational inattention. (2020). Wu, Ting ; Niu, Yingjie ; Zhang, Yuhua.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301558.

    Full description at Econpapers || Download paper

  24. Planning municipal-scale mixed energy system for stimulating renewable energy under multiple uncertainties - The City of Qingdao in Shandong Province, China. (2019). Yu, L ; Huang, G H ; Li, Y P.
    In: Energy.
    RePEc:eee:energy:v:166:y:2019:i:c:p:1120-1133.

    Full description at Econpapers || Download paper

  25. Impact of oil price fluctuations on tanker maritime network structure and traffic flow changes. (2019). Murray, Alan T ; Lu, Feng ; Fang, Zhixiang ; Yu, Hongchu ; Chen, Jinhai ; Mei, Qiang ; Peng, Peng ; Zhang, Hengcai.
    In: Applied Energy.
    RePEc:eee:appene:v:237:y:2019:i:c:p:390-403.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Afonso, A. ; Martins, M.M. Level, slope, curvature of the sovereign yield curve, and fiscal behaviour. 2012 J. Bank. Financ.. 36 1789-1807

  2. Ang, A. ; Bekaert, G. ; Wei, M. Do macro variables, asset markets, or surveys forecast inflation better?. 2007 J. Monet. Econ.. 54 1163-1212

  3. Ang, A. ; Piazzesi, M. A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables. 2003 J. Monet. Econ.. 50 745-787

  4. Ang, A. ; Piazzesi, M. ; Wei, M. What does the yield curve tell us about GDP growth?. 2006 J. Econ.. 131 359-403

  5. Argyropoulos, E. ; Tzavalis, E. Forecasting economic activity from yield curve factors. 2016 N. Am. J. Econ. Financ.. 36 293-311

  6. Basher, S.A. ; Haug, A.A. ; Sadorsky, P. The impact of oil shocks on exchange rates: a Markov-switching approach. 2016 Energy Econ.. 54 11-23

  7. Baumeister, C. ; Hamilton, J.D. Structural Interpretation of Vector Autoregressions With Incomplete Identification: Revisiting the Role of Oil Supply and Demand Shocks. 2015 University of Notre Dame and UCSD:
    Paper not yet in RePEc: Add citation now

  8. Baumeister, C. ; Kilian, L. What central bankers need to know about forecasting oil prices. 2014 Int. Econ. Rev.. 55 869-889

  9. Baumeister, C. ; Peersman, G. Time-varying effects of oil supply shocks on the US economy. 2013 Am. Econ. J. Macroecon.. 5 1-28

  10. Baumeister, C. ; Peersman, G. ; Van Robays, I. The Economic Consequences of Oil Shocks: Differences Across Countries and Time. 2010 Reserve Bank of Australia:

  11. Bekaert, G. ; Cho, S. ; Moreno, A. New Keynesian macroeconomics and the term structure. 2010 J. Money Credit Bank.. 42 33-62

  12. Bergholt, D. ; Larsen, V.H. ; Seneca, M. Business cycles in an oil economy. 2017 J. Int. Money Financ.. -

  13. Bernanke, B. ; Reinhart, V. ; Sack, B. Monetary policy alternatives at the zero bound: an empirical assessment. 2004 Brook. Pap. Econ. Act.. 2004 1-100

  14. Bernanke, B.S. ; Gertler, M. ; Watson, M. ; Sims, C.A. ; Friedman, B.M. Systematic monetary policy and the effects of oil price shocks. 1997 Brook. Pap. Econ. Act.. 91-157

  15. Björk, T. ; Christensen, B.J. Interest rate dynamics and consistent forward rate curves. 1999 Math. Financ.. 9 323-348

  16. Blanchard, O.J. ; Galí, J. The macroeconomic effects of oil shocks: why are the 2000s so different from the 1970s?. 2007 En : Technical report. National Bureau of Economic Research:

  17. Bodenstein, M. ; Guerrieri, L. ; Gust, C.J. Oil shocks and the zero bound on nominal interest rates. 2013 J. Int. Money Financ.. 32 941-967

  18. Buetzer, S. ; Habib, M.M. ; Stracca, L. Global exchange rate configurations: do oil shocks matter?. 2012 En : ECB Working Paper. :

  19. Buetzer, S. ; Habib, M.M. ; Stracca, L. Plummeting Oil Prices, Depreciating Oil Currencies? Not So Simple. 2015 :
    Paper not yet in RePEc: Add citation now

  20. Chadha, J.S. ; Waters, A. Applying a macro-finance yield curve to UK quantitative easing. 2014 J. Bank. Financ.. 39 68-86

  21. Charnavoki, V. ; Dolado, J.J. The effects of global shocks on small commodity-exporting economies: lessons from Canada. 2014 Am. Econ. J. Macroecon.. 6 207-237

  22. Chen, N.-F. ; Roll, R. ; Ross, S.A. Economic forces and the stock market. 1986 J. Bus.. 383-403

  23. Chen, S.-S. Oil price pass-through into inflation. 2009 Energy Econ.. 31 126-133

  24. Clark, T.E. ; Terry, S.J. Time variation in the inflation passthrough of energy prices. 2010 J. Money Credit Bank.. 42 1419-1433

  25. Coibion, O. ; Gorodnichenko, Y. Is the Phillips curve alive and well after all? Inflation expectations and the missing disinflation. 2015 Am. Econ. J. Macroecon.. 7 197-232

  26. Coibion, O. ; Gorodnichenko, Y. What can survey forecasts tell us about information rigidities?. 2012 J. Polit. Econ.. 120 116-159

  27. Cologni, A. ; Manera, M. Oil prices, inflation and interest rates in a structural cointegrated VAR model for the G-7 countries. 2008 Energy Econ.. 30 856-888

  28. Coroneo, L. ; Nyholm, K. ; Vidova-Koleva, R. How arbitrage-free is the Nelson-Siegel model?. 2011 J. Empir. Financ.. 18 393-407

  29. Dai, Q. ; Philippon, T. Fiscal policy and the term structure of interest rates. 2005 En : Technical report. National Bureau of Economic Research:

  30. Dai, Q. ; Singleton, K.J. Expectation puzzles, time-varying risk premia, and affine models of the term structure. 2002 J. Financ. Econ.. 63 415-441

  31. Dewachter, H. ; Iania, L. An extended macro-finance model with financial factors. 2012 J. Financ. Quant. Anal.. 46 1893-1916

  32. Dewachter, H. ; Lyrio, M. Macro factors and the term structure of interest rates. 2006 J. Money, Credit, Bank.. 38 119-140

  33. Diebold, F.X. ; Li, C. Forecasting the term structure of government bond yields. 2006 J. Econ.. 130 337-364

  34. Diebold, F.X. ; Rudebusch, G.D. Yield Curve Modeling and Forecasting: The Dynamic Nelson-Siegel Approach. 2013 Princeton University Press:
    Paper not yet in RePEc: Add citation now

  35. Diebold, F.X. ; Rudebusch, G.D. ; Boragan Aruoba, S. The macroeconomy and the yield curve: a dynamic latent factor approach. 2006 J. Econ.. 131 309-338

  36. Duffee, G.R. Term premia and interest rate forecasts in affine models. 2002 J. Financ.. 57 405-443

  37. Duffie, D. ; Kan, R. A yield-factor model of interest rates. 1996 Math. Financ.. 6 379-406

  38. Elliot, D. ; Jackson, C. ; Raczko, M. ; Roberts-Sklar, M. Does Oil Drive Financial Market Measures of Inflation Expectations?. 2015 Bank of England, Bank Underground:
    Paper not yet in RePEc: Add citation now

  39. Estrella, A. ; Hardouvelis, G.A. The term structure as a predictor of real economic activity. 1991 J. Financ.. 46 555-576

  40. Evans, C.L. ; Marshall, D.A. Economic determinants of the nominal Treasury yield curve. 2007 J. Monet. Econ.. 54 1986-2003

  41. Filipović, D. A note on the Nelson-Siegel family. 1999 Math. Financ.. 9 349-359
    Paper not yet in RePEc: Add citation now

  42. Gürkaynak, R.S. ; Sack, B. ; Wright, J.H. The US Treasury yield curve: 1961 to the present. 2007 J. Monet. Econ.. 54 2291-2304

  43. Gonçalves, S. ; Kilian, L. Bootstrapping autoregressions with conditional heteroskedasticity of unknown form. 2004 J. Econ.. 123 89-120

  44. Hördahl, P. ; Tristani, O. ; Vestin, D. A joint econometric model of macroeconomic and term-structure dynamics. 2006 J. Econ.. 131 405-444

  45. Hördahl, P. ; Tristani, O. ; Vestin, D. The yield curve and macroeconomic dynamics. 2008 Econ. J.. 118 1937-1970

  46. Hamilton, J.D. Causes and consequences of the oil shock of 2007–08. 2009 En : Technical report. National Bureau of Economic Research:

  47. Hamilton, J.D. Historical causes of postwar oil shocks and recessions. 1985 Energy J.. 6 97-116

  48. Hamilton, J.D. Oil and the macroeconomy since World War II. 1983 J. Polit. Econ.. 228-248

  49. Hamilton, J.D. This is what happened to the oil price-macroeconomy relationship. 1996 J. Monet. Econ.. 38 215-220

  50. Hamilton, J.D. What is an oil shock?. 2003 J. Econ.. 113 363-398

  51. Hamilton, J.D. ; Herrera, A.M. Comment: oil shocks and aggregate macroeconomic behavior: the role of monetary policy. 2004 J. Money Credit Bank.. 265-286
    Paper not yet in RePEc: Add citation now
  52. Harris, E.S. ; Kasman, B.C. ; Shapiro, M.D. ; West, K.D. Oil and the macroeconomy: lessons for monetary policy. 2009 En : US Monetary Policy Forum Report. :
    Paper not yet in RePEc: Add citation now

  53. Harvey, C.R. The real term structure and consumption growth. 1988 J. Financ. Econ.. 22 305-333

  54. Hooker, M.A. Are oil shocks inflationary?: asymmetric and nonlinear specifications versus changes in regime. 2002 J. Money, Credit, Bank.. 34 540-561

  55. Huang, R.D. ; Masulis, R.W. ; Stoll, H.R. Energy shocks and financial markets. 1996 J. Futur. Mark.. 16 1-27

  56. Ioannidis, C. ; Peel, D.A. Empirical evidence on the relationship between the term structure of interest rates and future real output changes when there are changes in policy regimes. 2003 Econ. Lett.. 78 147-152

  57. Kapetanios, G. ; Tzavalis, E. Modeling structural breaks in economic relationships using large shocks. 2010 J. Econ. Dyn. Control. 34 417-436

  58. Kilian, L. A comparison of the effects of exogenous oil supply shocks on output and inflation in the G7 countries. 2008 J. Eur. Econ. Assoc.. 6 78-121

  59. Kilian, L. Not all oil price shocks are alike: disentangling demand and supply shocks in the crude oil market. 2009 Am. Econ. Rev.. 1053-1069

  60. Kilian, L. ; Lewis, L.T. Does the fed respond to oil price shocks?. 2011 Econ. J.. 121 1047-1072

  61. Kilian, L. ; Murphy, D.P. The role of inventories and speculative trading in the global market for crude oil. 2014 J. Appl. Econ.. 29 454-478

  62. Kilian, L. ; Park, C. The impact of oil price shocks on the US stock market. 2009 Int. Econ. Rev.. 50 1267-1287

  63. Kilian, L. ; Vega, C. Do energy prices respond to US macroeconomic news? A test of the hypothesis of predetermined energy prices. 2011 Rev. Econ. Stat.. 93 660-671

  64. Korhonen, I. ; Ledyaeva, S. Trade linkages and macroeconomic effects of the price of oil. 2010 Energy Econ.. 32 848-856

  65. Krichene, M.N. World Crude Oil Markets: Monetary Policy and the Recent Oil Shock. 2006 International Monetary Fund:

  66. Lee, J. ; Song, J. Nature of oil price shocks and monetary policy. 2009 En : Technical report. National Bureau of Economic Research:

  67. Lildholdt, P.M. ; Panigirtzoglou, N. ; Peacock, C. An affine macro-factor model of the UK yield curve. 2007 En : Bank of England Working Paper. :

  68. Litterman, R.B. ; Scheinkman, J. Common factors affecting bond returns. 1991 J. Fixed Income. 1 54-61
    Paper not yet in RePEc: Add citation now
  69. Mönch, E. Term structure surprises: the predictive content of curvature, level, and slope. 2012 J. Appl. Econ.. 27 574-602
    Paper not yet in RePEc: Add citation now

  70. Nelson, C.R. ; Siegel, A.F. Parsimonious modeling of yield curves. 1987 J. Bus.. 473-489

  71. Rotemberg, J.J. ; Woodford, M. Imperfect competition and the effects of energy price increases on economic activity. 1996 En : Technical report. National Bureau of Economic Research:

  72. Rudebusch, G.D. ; Swanson, E.T. ; Wu, T. The bond yield “Conundrum” from a macro-finance perspective. 2006 En : Federal Reserve Bank of San Francisco Working Paper. :

  73. Rudebusch, G.D. ; Wu, T. A macro-finance model of the term structure, monetary policy and the economy. 2008 Econ. J.. 118 906-926

  74. Stock, J.H. ; Watson, M.W. New indexes of coincident and leading economic indicators. 1989 NBER Macroecon. Annu.. 4 351-394

  75. Svensson, L.E. Estimating and interpreting forward interest rates: Sweden 1992–1994. 1994 En : Technical report. National Bureau of Economic Research:

  76. Taylor, J.B. Discretion versus policy rules in practice. 1993 En : Carnegie-Rochester conference series on public policy. Elsevier:

  77. Wright, J.H. Term premia and inflation uncertainty: empirical evidence from an international panel dataset. 2011 Am. Econ. Rev.. 101 1514-1534

Cocites

Documents in RePEc which have cited the same bibliography

  1. Quantile-on-quantile connectedness measures: Evidence from the US treasury yield curve. (2024). Gabauer, David ; Stenfors, Alexis.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:60:y:2024:i:c:s1544612323012242.

    Full description at Econpapers || Download paper

  2. The shape of the Treasury yield curve and commodity prices. (2024). Qadan, Mahmoud ; Bayaa, Yasmeen.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:94:y:2024:i:c:s1057521924002436.

    Full description at Econpapers || Download paper

  3. The influence of negative interest rates on life insurance companies. (2023). Grochola, Nicolaus.
    In: ICIR Working Paper Series.
    RePEc:zbw:icirwp:279897.

    Full description at Econpapers || Download paper

  4. A comparison of multi-factor term structure models for interbank rates. (2023). Tunaru, Diana ; Fabozzi, Francesco A.
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:61:y:2023:i:1:d:10.1007_s11156-023-01147-2.

    Full description at Econpapers || Download paper

  5. Sovereign Risk and Economic Complexity: Machine Learning Insights on Causality and Prediction. (2023). Valencia, Oscar ; Uribe, Jorge ; Gomez-Gonzalez, Jose.
    In: IREA Working Papers.
    RePEc:ira:wpaper:202315.

    Full description at Econpapers || Download paper

  6. Uncertainty and the Term Structure of Interest Rates. (2023). Poon, Aubrey ; Zhu, Dan ; Cross, Jamie L.
    In: Working Papers.
    RePEc:bny:wpaper:0123.

    Full description at Econpapers || Download paper

  7. Co-movement and global factors in sovereign bond yields. (2022). Venetis, Ioannis ; Ladas, Avgoustinos.
    In: MPRA Paper.
    RePEc:pra:mprapa:115801.

    Full description at Econpapers || Download paper

  8. Network connectedness dynamics of the yield curve of G7 countries. (2022). Aharon, David Y ; Riaz, Yasir ; Umar, Zaghum.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:79:y:2022:i:c:p:275-288.

    Full description at Econpapers || Download paper

  9. Spillovers between sovereign yield curve components and oil price shocks. (2022). Alwahedi, Wafa ; Esparcia, Carlos ; Aharon, David Y ; Umar, Zaghum.
    In: Energy Economics.
    RePEc:eee:eneeco:v:109:y:2022:i:c:s0140988322001396.

    Full description at Econpapers || Download paper

  10. Debt-financed fiscal stimulus in South Africa. (2021). Hollander, Hylton.
    In: WIDER Working Paper Series.
    RePEc:unu:wpaper:wp-2021-152.

    Full description at Econpapers || Download paper

  11. Empirical Estimation of Intraday Yield Curves on the Italian Interbank Credit Market e-MID. (2021). Jeleskovic, Vahidin ; Demertzidis, Anastasios.
    In: JRFM.
    RePEc:gam:jjrfmx:v:14:y:2021:i:5:p:212-:d:550636.

    Full description at Econpapers || Download paper

  12. The Relationship between Yield Curve and Economic Activity: An Analysis of G7 Countries. (2021). Stauvermann, Peter ; Kumar, Ronald ; Thu, Hang Thi.
    In: JRFM.
    RePEc:gam:jjrfmx:v:14:y:2021:i:2:p:62-:d:491763.

    Full description at Econpapers || Download paper

  13. Examining the Sources of Sovereign Risk for South Africa: A Time Varying Flexible Least Squares Approach. (2021). Zhou, Sheunesu.
    In: Eurasian Journal of Economics and Finance.
    RePEc:ejn:ejefjr:v:9:y:2021:i:1:p:29-45.

    Full description at Econpapers || Download paper

  14. International monetary policy spillovers: Linkages between U.S. and South American yield curves. (2021). Meurer, Roberto ; Cavaca, Igor Bastos.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:76:y:2021:i:c:p:737-754.

    Full description at Econpapers || Download paper

  15. The sovereign yield curve and credit ratings in GIIPS. (2021). Umar, Zaghum ; Shehzad, Choudhry T ; Riaz, Yasir.
    In: International Review of Finance.
    RePEc:bla:irvfin:v:21:y:2021:i:3:p:895-916.

    Full description at Econpapers || Download paper

  16. Yield curve risks in currency carry forwards. (2020). Lee, Jeong Wan ; Oh, Kyong Joo ; Baek, Seungho.
    In: Journal of Futures Markets.
    RePEc:wly:jfutmk:v:40:y:2020:i:4:p:651-670.

    Full description at Econpapers || Download paper

  17. The shape of sovereign yield curve in an emerging economy: Do macroeconomic or external factors matter?. (2020). Ozturk, Huseyin.
    In: Empirica.
    RePEc:kap:empiri:v:47:y:2020:i:1:d:10.1007_s10663-018-9405-y.

    Full description at Econpapers || Download paper

  18. The Impact of Monetary Policies on the Sustainable Economic and Financial Development in the Euro Area Countries. (2020). Onuferova, Erika ; Filip, Paulina ; Kiseakova, Dana ; Valentiny, Toma.
    In: Sustainability.
    RePEc:gam:jsusta:v:12:y:2020:i:22:p:9367-:d:443289.

    Full description at Econpapers || Download paper

  19. Autoencoder-Based Three-Factor Model for the Yield Curve of Japanese Government Bonds and a Trading Strategy. (2020). Izumi, Kiyoshi ; Sakaji, Hiroki ; Suimon, Yoshiyuki ; Matsushima, Hiroyasu.
    In: JRFM.
    RePEc:gam:jjrfmx:v:13:y:2020:i:4:p:82-:d:349570.

    Full description at Econpapers || Download paper

  20. Transmission mechanisms of financial stress into economic activity in Turkey. (2019). Polat, Onur ; Ozkan, Ibrahim .
    In: Journal of Policy Modeling.
    RePEc:eee:jpolmo:v:41:y:2019:i:2:p:395-415.

    Full description at Econpapers || Download paper

  21. Quantitative easing and sovereign yield spreads: Euro-area time-varying evidence. (2019). Jalles, Joao ; Afonso, Antonio.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:58:y:2019:i:c:p:208-224.

    Full description at Econpapers || Download paper

  22. ¿Cómo y qué tanto impacta la deuda pública a las tasas de interés de mercado?. (2019). Rincon-Castro, Hernan ; Ardila-Dueas, Carlos David.
    In: Borradores de Economia.
    RePEc:bdr:borrec:1077.

    Full description at Econpapers || Download paper

  23. Robust term structure estimation in developed and emerging markets. (2018). Sener, Emrah ; Akgiray, Vedat ; Ahi, Emrah.
    In: Annals of Operations Research.
    RePEc:spr:annopr:v:260:y:2018:i:1:d:10.1007_s10479-016-2282-5.

    Full description at Econpapers || Download paper

  24. Comparing different methods for the estimation of interbank intraday yield curves. (2018). Demertzidis, Anastasios ; Jeleskovic, Vahidin.
    In: MAGKS Papers on Economics.
    RePEc:mar:magkse:201839.

    Full description at Econpapers || Download paper

  25. The Interaction between Oil Price and Financial Stress: Evidence from the U.S. Data. (2018). Polat, Onur.
    In: Fiscaoeconomia.
    RePEc:fis:journl:180302.

    Full description at Econpapers || Download paper

  26. Yield curve interactions with the macroeconomic factors during global financial crisis among Asian markets. (2018). Sowmya, Subramaniam ; Prasanna, Krishna.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:54:y:2018:i:c:p:178-192.

    Full description at Econpapers || Download paper

  27. Factors of the term structure of sovereign yield spreads. (2018). Trueck, Stefan ; Truck, Stefan ; Wellmann, Dennis.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:81:y:2018:i:c:p:56-75.

    Full description at Econpapers || Download paper

  28. The impact of oil price shocks on the term structure of interest rates. (2018). Ioannidis, Christos ; Ka, Kook.
    In: Energy Economics.
    RePEc:eee:eneeco:v:72:y:2018:i:c:p:601-620.

    Full description at Econpapers || Download paper

  29. The predictive power of the yield spread for future economic expansions: Evidence from a new approach. (2018). Wohar, Mark ; Gebka, Bartosz.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:75:y:2018:i:c:p:181-195.

    Full description at Econpapers || Download paper

  30. Quantitative Easing and Sovereign Yield Spreads: Euro-Area Time-Varying Evidence. (2017). Jalles, Joao ; Afonso, Antonio.
    In: Working Papers REM.
    RePEc:ise:remwps:wp0202017.

    Full description at Econpapers || Download paper

  31. Macroeconomic fundamentals and latent factor of the EU yield curve. (2017). Acatrinei, Marius .
    In: EIOPA Financial Stability Report - Thematic Articles.
    RePEc:eio:thafsr:11.

    Full description at Econpapers || Download paper

  32. From bond yield to macroeconomic instability: A parsimonious affine model. (2017). Tedeschi, Gabriele ; Recchioni, Maria Cristina .
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:262:y:2017:i:3:p:1116-1135.

    Full description at Econpapers || Download paper

  33. From bond yield to macroeconomic instability: The effect of negative interest rates. (2016). Tedeschi, Gabriele ; Recchioni, Maria Cristina .
    In: Working Papers.
    RePEc:jau:wpaper:2016/06.

    Full description at Econpapers || Download paper

  34. Determinants of the onshore and offshore Chinese government yield curves. (2016). Walisch, F ; Packham, N ; Lochel, H.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:36:y:2016:i:c:p:77-93.

    Full description at Econpapers || Download paper

  35. The macroeconomic determinants of the US term structure during the Great Moderation. (2016). Paccagnini, Alessia.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:52:y:2016:i:pa:p:216-225.

    Full description at Econpapers || Download paper

  36. Size and value risk in financial firms. (2015). Bilson, John ; Baek, Seungho ; Bilson, John F. O., .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:55:y:2015:i:c:p:295-326.

    Full description at Econpapers || Download paper

  37. The Sovereign Yield Curve and the Macroeconomy in China. (2015). Yan, Yifeng.
    In: Pacific Economic Review.
    RePEc:bla:pacecr:v:20:y:2015:i:3:p:415-441.

    Full description at Econpapers || Download paper

  38. Applying a Macro-Finance Yield Curve to UK Quantitative Easing. (2014). Waters, Alex ; Chadha, Jagjit.
    In: Studies in Economics.
    RePEc:ukc:ukcedp:1418.

    Full description at Econpapers || Download paper

  39. Inflation and interest rate derivatives for FX risk management: Implications for exporting firms under real wealth. (2014). Koziol, Philipp.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:54:y:2014:i:4:p:459-472.

    Full description at Econpapers || Download paper

  40. Applying a macro-finance yield curve to UK quantitative Easing. (2014). Waters, Alex ; Chadha, Jagjit.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:39:y:2014:i:c:p:68-86.

    Full description at Econpapers || Download paper

  41. The impacts of standard monetary and budgetary policies on liquidity and financial markets: International evidence from the credit freeze crisis. (2013). Gimet, Celine ; Gagnon, Marie-Helene .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:37:y:2013:i:11:p:4599-4614.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2024-12-18 18:13:33 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.