scholarly journals Modeling Euro Area Bond Yields Using a Time-Varying Factor Model

2017 ◽  
Author(s):  
Tomas Adam ◽  
Marco Lo Duca
Keyword(s):  
Euro Area ◽  
Factor Model ◽  
Time Varying ◽  
Bond Yields

scholarly journals The effect of Eurosystem asset purchase programmes on euro area sovereign bond yields during the COVID-19 pandemic

2021 ◽  
Author(s):  
George Hondroyiannis ◽  
Dimitrios Papaoikonomou
Keyword(s):  
Euro Area ◽  
Credit Ratings ◽  
Evidence Based ◽  
Time Varying ◽  
Safe Haven ◽  
Sharp Decline ◽  
Bond Yields ◽  
Perceptions Of Risk ◽  
Sovereign Bond ◽  
Sovereign Bonds

We investigate the effect of Eurosystem Asset Purchase Programmes (APP) on the monthly yields of 10-year sovereign bonds for 11 euro area sovereigns during January-December 2020. The analysis is based on time-varying coefficient methods applied to monthly panel data covering the period 2004m09 to 2020m12. During 2020 APP contributed to an average decline in yields estimated in the range of 58-76 bps. In December 2020 the effect per EUR trillion ranged between 34 bps in Germany and 159 bps in Greece. Stronger effects generally display diminishing returns. Our findings suggest that a sharp decline in the size of the APP in the aftermath of the COVID-19 crisis could lead to very sharp increases in bond yields, particularly in peripheral countries. The analysis additionally reveals a differential response to global risks between core and peripheral countries, with the former enjoying safe-haven benefits. Markets’ perceptions of risk are found to be significantly affected by credit ratings, which is in line with recent evidence based on constant parameter methods.

Country-specific euro area government bond yield reactions to ECB’s non-standard monetary policy program announcements

2020 ◽  
Vol 21 (4) ◽  
pp. 417-474 ◽  
Author(s):  
Ralf Fendel ◽  
Frederik Neugebauer
Keyword(s):  
Monetary Policy ◽  
Euro Area ◽  
Yield Reduction ◽  
Government Bond ◽  
Bond Yields ◽  
Bond Yield ◽  
Current Spread ◽  
Policy Program ◽  
Government Bond Markets ◽  
Country Specific

AbstractThis paper employs event study methods to evaluate the effects of ECB’s non-standard monetary policy program announcements on 10-year government bond yields of 11 euro area member states. Measurable effects of announcements arise with a one-day delay meaning that government bond markets take some time to react to ECB announcements. The country-specific extent of yield reduction seems inversely related to the solvency rating of the corresponding countries. The spread between core and periphery countries reduces because of a stronger decrease in the latter. This result is confirmed by letting the announcement variable interact with the current spread level.

scholarly journals HEDGE FUNDS: RISK AND PERFORMANCE

2018 ◽  
Vol 06 (01) ◽  
pp. 1850003
Author(s):  
SANGHEON SHIN ◽  
JAN SMOLARSKI ◽  
GÖKÇE SOYDEMIR
Keyword(s):  
Risk Factors ◽  
Hedge Funds ◽  
Factor Model ◽  
Explanatory Power ◽  
Hedge Fund ◽  
Investment Strategy ◽  
Time Varying ◽  
Asset Class ◽  
And Performance ◽  
Fund Portfolio

This paper models hedge fund exposure to risk factors and examines time-varying performance of hedge funds. From existing models such as asset-based style (ABS)-factor model, standard asset class (SAC)-factor model, and four-factor model, we extract the best six factors for each hedge fund portfolio by investment strategy. Then, we find combinations of risk factors that explain most of the variance in performance of each hedge fund portfolio based on investment strategy. The results show instability of coefficients in the performance attribution regression. Incorporating a time-varying factor exposure feature would be the best way to measure hedge fund performance. Furthermore, the optimal models with fewer factors exhibit greater explanatory power than existing models. Using rolling regressions, our customized investment strategy model shows how hedge funds are sensitive to risk factors according to market conditions.

scholarly journals On the time-varying nature of the debt-growth nexus: evidence from the euro area

2017 ◽  
Vol 25 (9) ◽  
pp. 597-600 ◽  
Author(s):  
Marta Gómez-Puig ◽  
Simón Sosvilla-Rivero
Keyword(s):  
Euro Area ◽  
Time Varying

Exploring the tourism markets’ convergence hypothesis in Italy

2020 ◽  
pp. 135481662094043
Author(s):  
Pietro Pizzuto ◽  
Caterina Sciortino
Keyword(s):  
Absolute Convergence ◽  
Factor Model ◽  
Time Varying ◽  
Asian Countries ◽  
Club Convergence ◽  
Convergence Hypothesis ◽  
Monthly Data ◽  
Inbound Tourism ◽  
Relative Decline ◽  
Promotional Strategies

This article aims at investigating the tourism markets’ convergence hypothesis across Italy’s 20 major source markets. To reach our goal, we use monthly data of tourist arrivals and overnights over the period 2008–2018 and the time-varying factor model developed by Phillips and Sul (2007, 2009). Our findings suggest the absence of full (absolute) convergence, leading us to accept the hypothesis of club convergence. We show that the traditionally more important source markets have a tendency to persist, while Asian countries show heterogeneous behaviour. Furthermore, the relative decline in the contribution to total arrivals and overnights of several international source markets calls for a reconsideration of the promotional strategies to stimulate inbound tourism from these countries.

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