Long-term government bond spreads
Forecasting Government Bond Spreads with Heuristic Models:Evidence from the Eurozone Periphery
... European long-term government bond spreads through the application of heuristic and metaheuristic Support Vector Regression (SVR) hybrid ...weekly government bond ...
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Forecasting government bond spreads with heuristic models: evidence from the Eurozone periphery
... European government bond spreads are characterized by non-linearities and high ...volatility. Long-term government bond spreads between euro- area countries and ...
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Long-term Government Bond Yields and Macroeconomic Variables
... yield spreads, Alper & Forni (2011), Baldacci & Kumar (2010) and Ardagna et ...on long-term interest rate contributed by fiscal deterioration whereas Alper & Forni (2011) suggest that by ...
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Determinants of government bond spreads in new EU countries
... 4.1. Long-run determinants and short-run dynamics The results of pooled mean group estimation for the group of eight new EU countries are given in Table 1a (Long-run determinants) and Table 1b (Error ...
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Expectations and systemic risk in EMU government bond spreads
... coe¢ cient on the …scal space variable highlights. As a result, markets priced the default risk in non-core countries in the same way as the risk of core coun- tries, which means that they looked at the EMU as a fully ...
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Long-term Government Bond Yields and Economic Forecasts: Evidence for the EU
... The relationship between the debt/deficit and interest rates remains largely an empirical question. Studies done in the 1980s, largely focused on the US, in the context of crowding-out discussions are inspired by this ...
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The impact of fiscal policy on government bond spreads in emerging markets
... in bond spreads gives an empirical answer to the analy- sis of fi scal sustainability for all countries are planned to be covered in this paper, which are, including Croatia: Bulgaria, the Czech Republic, ...
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High- and Low-Frequency Correlations in European Government Bond Spreads and Their Macroeconomic Drivers
... decomposition. [Insert Figures 11 and 12 here] Figure 11 reports the contribution of each eigenvector to the evolving structure of low- frequency correlation matrix. The Figure shows that Belgium, France, Italy, Spain ...
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Long-run Behaviour of Long-term Sovereign Bond Yields *
... swap spreads of 10-year Treasury ...swap spreads, mostly around five basis points or ...members government bond spreads react more to short-term interest rate increases when the ...
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Long-term benchmark rates in the Norwegian bond market
... porate bond (NOKR98) develops relative to government bond NST 465 11 and the swap rate with the same matu- rity as NST ...the government bond yield for most of the ...the spreads ...
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Government Debt and Long-Term Interest Rates
... that government debt and physical capital are perfect substitutes and that their rates of return are equalized in equilibrium, we use real long-term interest rates on government bonds as the ...
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LONG TERM BOND FUND (PORTICO) (To be renamed Canada Life Long Term Bond Fund (Portico) on August 17, 2020) CANADIAN INCOME FUND
... of spreads (the difference in yield between corporate and government bonds of similar maturities) in the latter part of 2020, as markets begin to stabilize and demand for products and services ...
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Macroannouncements, Bond Auctions and Rating Actions in the European Government Bond Spreads
... macroannouncements, government bond auctions and rating actions on the 10-year government bond spreads for Belgium, France, Italy, the Netherlands, Spain with respect to ...
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Macroannouncements, Bond Auctions and Rating Actions in the European Government Bond Spreads
... Copyright and reuse: City Research Online aims to make research outputs of City, University of London available to a wider audience.. Copyright and Moral Rights remain with the author([r] ...
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Macroannouncements, Bond Auctions and Rating Actions in the European Government Bond Spreads
... Spain 1.55 * 1.38 * na na na Panel A of the table reports the number of contemporaneous cojumps identified by applying (5) on jumps identified by applying the Lee and Mykland (2008) test adjusted by the intraday ...
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Super Long Term Bond
... super long term bond issuer encounters financial planner in the ...super long term bond. Of options on business news email at a term bond investing, bonds for ...
European sovereign debt crisis and linkage of long-term government bond yields
... of long-term bond yields among the seven European countries using the Hong (2001) causality-in-variance ...the government bond yields and finally ask for financial support from the ...
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Quality spreads in the bond market
... corporate bond markets explains the increased quality spreads, at least ...as spreads remain high in ...quality spreads. More plausibly, bond investors have recognized a heightened and ...
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Forecasting the Term Structure of Government Bond Yields
... factor term structure modeling, and we also show how it can replicate a variety of stylized facts about the yield ...active bond portfolio management, and arbitrage-free ...
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Forecasting the term structure of government bond yields
... This Draft: October 14, 2003 Abstract: Despite powerful advances in yield curve modeling in the last twenty years, comparatively little attention has been paid to the key practical problem of forecasting the yield curve. ...
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