Yield Curve Volatility and Macroeconomic Risk

2021 ◽  
Author(s):  
Anne Lundgaard Hansen
Keyword(s):  
Yield Curve ◽  
Macroeconomic Risk

Long Term Volatility of Interest Rate Swap and Macroeconomic Risk in Korean Market

2013 ◽  
Vol 21 (3) ◽  
pp. 255-273
Author(s):  
Byung-Jo Yoon ◽  
Kook-Hyun Chang ◽  
홍 민구
Keyword(s):  
Interest Rate ◽  
Yield Curve ◽  
Short Term ◽  
Interest Rate Swap ◽  
Macroeconomic Risk ◽  
Jump Model ◽  
Foreign Exchange Volatility ◽  
Korean Market ◽  
Rate Swap

This paper tries to empirically investigate whether macroeconomic risk may be statistically useful in explaining long-term volatility of interest rate swap (IRS) in korean market. This paper uses the component-jump model to estimate long-term volatility of IRS from 1/2/2003 to 1/31/2013. By using the component-jump model, the IRS volatility is decomposed into a long-term and a short-term component. According to this study, slope of yield curve and foreign exchange volatility as a proxy of macroeconomic risk have been significant in explaining long-term volatility of IRS.

Time-varying Macroeconomic Risk of Real Estate Returns

2016 ◽  
Author(s):  
Felix Schindler ◽  
Bertram Steininger ◽  
Tim Kroencke
Keyword(s):  
Real Estate ◽  
Time Varying ◽  
Macroeconomic Risk ◽  
Real Estate Returns

The Equilibrium Yield Curve for Government Securities

1979 ◽  
Vol 35 (3) ◽  
pp. 31-39 ◽  
Author(s):  
Herbert F. Ayres ◽  
John Y. Barry
Keyword(s):  
Yield Curve ◽  
Equilibrium Yield

Modeling the green bond yield on bond offering

2020 ◽  
Vol 26 (12) ◽  
pp. 2858-2878
Author(s):  
M.I. Emets
Keyword(s):  
Linear Regression ◽  
Yield Curve ◽  
Bond Market ◽  
Third Party ◽  
Bond Pricing ◽  
Market Development ◽  
Fair Price ◽  
Lower Yield ◽  
Yield Curves ◽  
Bond Yield

Subject. The article addresses the green bond pricing as compared to bonds other than green ones. Objectives. The aims are to determine how the fact that a bond is identified as a green one, the issue amount, and the availability of third-party verification, influence the yield to maturity; to make recommendations on effective green bond pricing. Methods. The study employs econometric testing of hypotheses, using the multiple linear regression. The sample includes 318 green and 1695 conventional bonds. Results. Green bonds have a lower yield to maturity in comparison with conventional bonds. The yield to maturity of green bonds with third-party verification is lower, as contrasted with green bonds without verification. Conclusions. The next step in the green bond market development is creating a benchmark yield curve for sovereign green bonds, with parallel issuance of conventional, non-green bonds. The yield curve is crucial for effective bond pricing. Two yield curves, i.e. for green and non-green bonds, will enable investors to estimate the fair price on issuance, as well as to define, if there is a difference in pricing.

An Affine Macro-Factor Model of the UK Yield Curve

2007 ◽  
Author(s):  
Peter M. Lildholdt ◽  
Nikolaos Panigirtzoglou ◽  
Chris Peacock
Keyword(s):  
Yield Curve ◽  
Factor Model ◽  
The Uk
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