The Economics Of Recent Bond Yield Volatility
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The Economics Of Recent Bond Yield Volatility
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Author : C. E. V. Borio
language : en
Publisher: Bank for International Settlements
Release Date : 1996
The Economics Of Recent Bond Yield Volatility written by C. E. V. Borio and has been published by Bank for International Settlements this book supported file pdf, txt, epub, kindle and other format this book has been release on 1996 with Bond market categories.
Risk Management In Volatile Financial Markets
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Author : Franco Bruni
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Risk Management In Volatile Financial Markets written by Franco Bruni and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-06 with Business & Economics categories.
intense competition on banks and other financial institutions, as a period of oligopoly ends: more rather than less innovation is needed to help share undi versifiable risks, with more attention to correlations between different risks. Charles Goodhart of the London School of Economics (LSE), while ques tioning the idea that volatility has increased, concludes that structural changes have made regulation more problematic and calls for improved information availability on derivatives transactions. In a thirteen country case study of the bond market turbulence of 1994, Bo rio and McCauley of the BIS pin the primary causes of the market decline on the market's own dynamics rather than on variations in market participants' apprehensions about economic fundamentals. Colm Kearney of the Univer sity of Western Sydney, after a six country study of volatility in economic and financial variables, concludes that more international collaboration in man aging financial volatility (other than in foreign exchange markets) is needed in Europe. Finally, Stokman and Vlaar of the Dutch central bank investigate the empirical evidence for the interaction between volatility and international transactions in real and financial assets for the Netherlands, concluding that such influence depends on the chosen volatility measure. The authors sug gest that there are no strong arguments for international restrictions to reduce volatility. INSTITUTIONAL ISSUES AND PRACTICES The six papers in Part C focus on what market participants are doing to manage risk.
Foreign Participation In Emerging Markets Local Currency Bond Markets
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Author : Mr.Shanaka J. Peiris
language : en
Publisher: International Monetary Fund
Release Date : 2010-04-01
Foreign Participation In Emerging Markets Local Currency Bond Markets written by Mr.Shanaka J. Peiris and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-04-01 with Business & Economics categories.
This paper estimates the impact of foreign participation in determining long-term local currency government bond yields and volatility in a group of emerging markets from 2000-2009. The results of a panel data analysis of 10 emerging markets show that greater foreign participation in the domestic government bond market tends to significantly reduce long-term government yields. Moreover, greater foreign participation does not necessarily result in increased volatility in bond yields in emerging markets and, in fact, could even dampen volatility in some instances.
Equity Volatility And Corporate Bond Yields
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Author : John Y. Campbell
language : en
Publisher:
Release Date : 2002
Equity Volatility And Corporate Bond Yields written by John Y. Campbell and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002 with Bonds categories.
This paper explores the effect of equity volatility on corporate bond yields. Panel data for the late 1990's show that idiosyncratic firm-level volatility can explain as much cross-sectional variation in yields as can credit ratings. This finding, together with the upward trend in idiosyncratic equity volatility documented by Campbell, Lettau, Malkiel, and Xu (2001), helps to explain recent increases in corporate bond yields
Financial Liberalisation And International Trends In Stock Corporate Bond And Foreign Exchange Market Volatilities
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Author : Paul Kupiec
language : en
Publisher:
Release Date : 1991
Financial Liberalisation And International Trends In Stock Corporate Bond And Foreign Exchange Market Volatilities written by Paul Kupiec and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1991 with Banks and banking, International categories.
Volatility In Emu Sovereign Bond Yields
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Author :
language : en
Publisher:
Release Date : 2011
Volatility In Emu Sovereign Bond Yields written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with categories.
The Price Of Fixed Income Market Volatility
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Author : Antonio Mele
language : en
Publisher: Springer
Release Date : 2016-01-11
The Price Of Fixed Income Market Volatility written by Antonio Mele and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-01-11 with Mathematics categories.
Fixed income volatility and equity volatility evolve heterogeneously over time, co-moving disproportionately during periods of global imbalances and each reacting to events of different nature. While the methodology for options-based "model-free" pricing of equity volatility has been known for some time, little is known about analogous methodologies for pricing various fixed income volatilities. This book fills this gap and provides a unified evaluation framework of fixed income volatility while dealing with disparate markets such as interest-rate swaps, government bonds, time-deposits and credit. It develops model-free, forward looking indexes of fixed-income volatility that match different quoting conventions across various markets, and uncovers subtle yet important pitfalls arising from naïve superimpositions of the standard equity volatility methodology when pricing various fixed income volatilities.
Yield Curve Dynamics
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Author : Anne Lundgaard Hansen
language : en
Publisher:
Release Date : 2020
Yield Curve Dynamics written by Anne Lundgaard Hansen and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020 with categories.
Interest rates vary with time horizons. This relationship, known as the term structure of interest rates or the yield curve, contains information about market expectations on future interest rates, inflation, and economic activity; risk attitudes; and recession probabilities. Understanding yield curve dynamics is thus crucial for monetary policy makers and investors to respond appropriately to fluctuations in financial markets and the economy. This thesis addresses key challenges for modeling and interpreting yield curve dynamics. Through three self-contained chapters, I present new methodologies and empirical insights related to the time-series properties of bond yields, risk factors in bond markets, and implications for monetary policy.
Market Volatility
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Author : Robert J. Shiller
language : en
Publisher: MIT Press
Release Date : 1992-01-30
Market Volatility written by Robert J. Shiller and has been published by MIT Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 1992-01-30 with Business & Economics categories.
Market Volatility proposes an innovative theory, backed by substantial statistical evidence, on the causes of price fluctuations in speculative markets. It challenges the standard efficient markets model for explaining asset prices by emphasizing the significant role that popular opinion or psychology can play in price volatility. Why does the stock market crash from time to time? Why does real estate go in and out of booms? Why do long term borrowing rates suddenly make surprising shifts? Market Volatility represents a culmination of Shiller's research on these questions over the last dozen years. It contains reprints of major papers with new interpretive material for those unfamiliar with the issues, new papers, new surveys of relevant literature, responses to critics, data sets, and reframing of basic conclusions. Included is work authored jointly with John Y. Campbell, Karl E. Case, Sanford J. Grossman, and Jeremy J. Siegel. Market Volatility sets out basic issues relevant to all markets in which prices make movements for speculative reasons and offers detailed analyses of the stock market, the bond market, and the real estate market. It pursues the relations of these speculative prices and extends the analysis of speculative markets to macroeconomic activity in general. In studies of the October 1987 stock market crash and boom and post-boom housing markets, Market Volatility reports on research directly aimed at collecting information about popular models and interpreting the consequences of belief in those models. Shiller asserts that popular models cause people to react incorrectly to economic data and believes that changing popular models themselves contribute significantly to price movements bearing no relation to fundamental shocks.
Do Bonds Span Volatility Risk In The U S Treasury Market
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Author : Torben Gustav Andersen
language : en
Publisher:
Release Date : 2007
Do Bonds Span Volatility Risk In The U S Treasury Market written by Torben Gustav Andersen and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with Government securities categories.
We investigate whether bonds span the volatility risk in the U.S. Treasury market, as predicted by most 'affine' term structure models. To this end, we construct powerful and model-free empirical measures of the quadratic yield variation for a cross-section of fixed-maturity zero-coupon bonds ("realized yield volatility") through the use of high-frequency data. We find that the yield curve fails to span yield volatility, as the systematic volatility factors are largely unrelated to the cross-section of yields. We conclude that a broad class of affine diffusive, Gaussian-quadratic and affine jump-diffusive models is incapable of accommodating the observed yield volatility dynamics. An important implication is that the bond markets per se are incomplete and yield volatility risk cannot be hedged by taking positions solely in the Treasury bond market. We also advocate using the empirical realized yield volatility measures more broadly as a basis for specification testing and (parametric) model selection within the term structure literature.
