Nothing Special   »   [go: up one dir, main page]
IDEAS home Printed from https://ideas.repec.org/e/phr25.html
   My authors  Follow this author

Peter Hördahl
(Peter Hoerdahl)

Personal Details

First Name:Peter
Middle Name:
Last Name:Hoerdahl
Suffix:
RePEc Short-ID:phr25
[This author has chosen not to make the email address public]

Affiliation

Bank for International Settlements (BIS)

Basel, Switzerland
http://www.bis.org/
RePEc:edi:bisssch (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Chapters Books

Working papers

  1. Paolo Cavallino & Giulio Cornelli & Peter Hördahl & Egon Zakrajsek, 2022. ""Front-loading" monetary tightening: pros and cons," BIS Bulletins 63, Bank for International Settlements.
  2. Peter Hördahl & Giorgio Valente, 2022. "Emerging market bond flows and exchange rate returns," BIS Working Papers 1042, Bank for International Settlements.
  3. Mikhail Chernov & Drew Creal & Peter Hördahl, 2021. "Sovereign credit and exchange rate risks: evidence from Asia-Pacific local currency bonds," BIS Working Papers 918, Bank for International Settlements.
  4. Gregory Duffee & Peter Hördahl, 2021. "Debt specialisation and diversification: International evidence," BIS Working Papers 928, Bank for International Settlements.
  5. Peter Hördahl & Ilhyock Shim, 2020. "EME bond portfolio flows and long-term interest rates during the Covid-19 pandemic," BIS Bulletins 18, Bank for International Settlements.
  6. Peter Hördahl & Oreste Tristani, 2019. "Modelling yields at the lower bound through regime shifts," BIS Working Papers 813, Bank for International Settlements.
  7. Jacob Gyntelberg & Peter Hördahl & Kristyna Ters & Jörg Urban, 2017. "Arbitrage costs and the persistent non-zero CDS-bond basis: Evidence from intraday euro area sovereign debt markets," BIS Working Papers 631, Bank for International Settlements.
  8. Peter Hördahl & Jhuvesh Sobrun & Philip Turner, 2016. "Low long-term interest rates as a global phenomenon," BIS Working Papers 574, Bank for International Settlements.
  9. Peter Hördahl & Eli M Remolona & Giorgio Valente, 2015. "Expectations and risk premia at 8:30am: Macroeconomic announcements and the yield curve," BIS Working Papers 527, Bank for International Settlements.
  10. Jacob Gyntelberg & Peter Hördahl & Kristyna Ters & Jörg Urban, 2013. "Intraday dynamics of euro area sovereign CDS and bonds," BIS Working Papers 423, Bank for International Settlements.
  11. Peter Hördahl & Oreste Tristani, 2010. "Inflation risk premia in the US and the euro area," BIS Working Papers 325, Bank for International Settlements.
  12. Peter Hoerdahl & Oreste Tristani, 2007. "Inflation risk premia in the term structure of interest rates," BIS Working Papers 228, Bank for International Settlements.
  13. Hördahl, Peter & Tristani, Oreste & Vestin, David, 2007. "The yield curve and macroeconomic dynamics," Working Paper Series 832, European Central Bank.
  14. Cappiello, Lorenzo & Manganelli, Simone & Hördahl, Peter & Kadareja, Arjan, 2006. "The impact of the euro on financial markets," Working Paper Series 598, European Central Bank.
  15. Peter Hördahl & Oreste Tristani & David Vestin, 2006. "The term structure of inflation risk premia and macroeconomic dynamics," Computing in Economics and Finance 2006 203, Society for Computational Economics.
  16. Tristani, Oreste & Vestin, David & Hördahl, Peter, 2004. "A joint econometric model of macroeconomic and term structure dynamics," Working Paper Series 405, European Central Bank.
  17. Baele, Lieven & Ferrando, Annalisa & Hördahl, Peter & Krylova, Elizaveta & Monnet, Cyril, 2004. "Measuring financial integration in the euro area," Occasional Paper Series 14, European Central Bank.
  18. Vestin, David & Hördahl, Peter, 2003. "Interpreting implied risk-neutral densities: the role of risk premia," Working Paper Series 274, European Central Bank.
  19. Hördahl, Peter, 2000. "Estimating the implied distribution of the future short term interest rate using the Longstaff-Schwartz model," Working Paper Series 16, European Central Bank.

Articles

  1. Chernov, Mikhail & Creal, Drew & Hördahl, Peter, 2023. "Sovereign credit and exchange rate risks: Evidence from Asia-Pacific local currency bonds," Journal of International Economics, Elsevier, vol. 140(C).
  2. Iñaki Aldasoro & Peter Hördahl & Sonya Zhu, 2022. "Under pressure: market conditions and stress," BIS Quarterly Review, Bank for International Settlements, September.
  3. Peter Hördahl & Eli M. Remolona & Giorgio Valente, 2020. "Expectations and Risk Premia at 8:30 a.m.: Deciphering the Responses of Bond Yields to Macroeconomic Announcements," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 38(1), pages 27-42, January.
  4. Benjamin H Cohen & Peter Hördahl & Dora Xia, 2018. "Term premia: models and some stylised facts," BIS Quarterly Review, Bank for International Settlements, March.
  5. Gyntelberg, Jacob & Hördahl, Peter & Ters, Kristyna & Urban, Jörg, 2018. "Price discovery in euro area sovereign credit markets and the ban on naked CDS," Journal of Banking & Finance, Elsevier, vol. 96(C), pages 106-125.
  6. Peter Hördahl & Oreste Tristani, 2014. "Inflation Risk Premia in the Euro Area and the United States," International Journal of Central Banking, International Journal of Central Banking, vol. 10(3), pages 1-47, September.
  7. Petra Gerlach & Peter Hördahl & Richhild Moessner, 2011. "Inflation expectations and the great recession," BIS Quarterly Review, Bank for International Settlements, March.
  8. Peter Hördahl & Michael R King, 2008. "Developments in repo markets during the financial turmoil," BIS Quarterly Review, Bank for International Settlements, December.
  9. Peter Hördahl & Oreste Tristani & David Vestin, 2008. "The Yield Curve and Macroeconomic Dynamics," Economic Journal, Royal Economic Society, vol. 118(533), pages 1937-1970, November.
  10. Peter Hördahl, 2008. "The inflation risk premium in the term structure of interest rates," BIS Quarterly Review, Bank for International Settlements, September.
  11. Hordahl, Peter & Tristani, Oreste & Vestin, David, 2006. "A joint econometric model of macroeconomic and term-structure dynamics," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 405-444.
  12. Bjorn Hansson & Peter Hordahl, 2005. "Forecasting variance using stochastic volatility and GARCH," The European Journal of Finance, Taylor & Francis Journals, vol. 11(1), pages 33-57.
  13. Peter Hördahl & Oreste Tristani & David Vestin, 2005. "Economic determinants of risk premia in the term structure of interest rates," Research Bulletin, European Central Bank, vol. 3, pages 2-5.
  14. Peter Hördahl & David Vestin, 2005. "Interpreting Implied Risk-Neutral Densities: The Role of Risk Premia," Review of Finance, Springer, vol. 9(1), pages 97-137, March.
  15. Peter Hordahl & Oreste Tristani & David Vestin, 2003. "A joint econometric model of macroeconomic and term structure," Proceedings, Federal Reserve Bank of San Francisco, issue Mar.
  16. Björn Hansson & Peter Hördahl, 1997. "Changing Risk Premia: Evidence from a Small Open Economy," Scandinavian Journal of Economics, Wiley Blackwell, vol. 99(2), pages 335-350, June.
    RePEc:taf:apfiec:v:8:y:1998:i:4:p:377-388 is not listed on IDEAS

Chapters

  1. Greg Duffee & Peter Hördahl, 2019. "Corporate bond use in Asia and the United States," BIS Papers chapters, in: Bank for International Settlements (ed.), Asia-Pacific fixed income markets: evolving structure, participation and pricing, volume 102, pages 97-107, Bank for International Settlements.
  2. Mikhail Chernov & Drew Creal & Peter Hördahl, 2019. "Determinants of Asia-Pacific government bond yields," BIS Papers chapters, in: Bank for International Settlements (ed.), Asia-Pacific fixed income markets: evolving structure, participation and pricing, volume 102, pages 29-39, Bank for International Settlements.

Books

  1. Peter Hördahl & Frank Packer, 2007. "Understanding asset prices: an overview," BIS Papers, Bank for International Settlements, number 34.

More information

Research fields, statistics, top rankings, if available.

Statistics

Access and download statistics for all items

Rankings

This author is among the top 5% authors according to these criteria:
  1. Number of Citations, Weighted by Recursive Impact Factor
  2. Number of Registered Citing Authors
  3. Number of Registered Citing Authors, Weighted by Rank (Max. 1 per Author)
  4. Wu-Index

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 17 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-MAC: Macroeconomics (9) 2004-10-30 2006-07-15 2007-08-14 2010-11-27 2010-12-11 2015-11-21 2016-09-04 2019-09-30 2019-10-07. Author is listed
  2. NEP-MON: Monetary Economics (8) 2004-10-30 2006-07-15 2007-08-14 2010-11-27 2010-12-11 2016-09-04 2019-09-30 2019-10-07. Author is listed
  3. NEP-CBA: Central Banking (5) 2006-07-15 2007-08-14 2010-11-27 2010-12-11 2019-09-30. Author is listed
  4. NEP-EEC: European Economics (4) 2007-08-14 2010-11-27 2010-12-11 2013-09-24
  5. NEP-FMK: Financial Markets (3) 2000-08-26 2013-09-24 2020-05-25
  6. NEP-SEA: South East Asia (3) 2020-08-24 2021-03-01 2021-06-14
  7. NEP-MST: Market Microstructure (2) 2015-11-21 2017-05-07
  8. NEP-OPM: Open Economy Macroeconomics (2) 2016-09-04 2022-11-07
  9. NEP-BEC: Business Economics (1) 2021-03-01
  10. NEP-CFN: Corporate Finance (1) 2021-03-01
  11. NEP-IFN: International Finance (1) 2022-11-07
  12. NEP-RMG: Risk Management (1) 2007-08-14
  13. NEP-UPT: Utility Models and Prospect Theory (1) 2010-12-11

Corrections

All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. For general information on how to correct material on RePEc, see these instructions.

To update listings or check citations waiting for approval, Peter Hoerdahl
(Peter Hoerdahl) should log into the RePEc Author Service.

To make corrections to the bibliographic information of a particular item, find the technical contact on the abstract page of that item. There, details are also given on how to add or correct references and citations.

To link different versions of the same work, where versions have a different title, use this form. Note that if the versions have a very similar title and are in the author's profile, the links will usually be created automatically.

Please note that most corrections can take a couple of weeks to filter through the various RePEc services.

IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.