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JEL Code: E43
341,439 Total downloads
Showing Papers 81 - 130 of 1,868
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Developments in Repo Markets During the Financial Turmoil BIS Quarterly, December 2008
Peter Hördahl and
Michael R. King
Date Posted: February 12, 2009789 downloads
The Term Structure of Interest-Rate Futures Prices EFA 2001 Barcelona Meetings
Richard C. Stapleton and
Marti G. Subrahmanyam
Date Posted: December 13, 1999787 downloads
Forecasting Interest Rates and Inflation: Blue Chip Clairvoyants or Econometrics? EFA 2009 Bergen Meetings Paper
Albert Lee Chun
Date Posted: November 22, 2006Last Revised: February 03, 2013778 downloads
Forecasting Spot Interest Rate Volatility EFA 2000 Meetings Paper No. 0095
Miguel A. Ferreira
Date Posted: March 27, 2000773 downloads
The Impact of High and Growing Government Debt on Economic Growth: An Empirical Investigation for the Euro Area ECB Working Paper No. 1237
Cristina D. Checherita-Westphal
and
Philipp Rother
Date Posted: August 25, 2010759 downloads
The Yield Curve as a Leading Indicator: Some Practical Issues Current Issues in Economics and Finance, Vol. 12, No. 5, July/August 2006
Arturo Estrella and
Mary Trubin
Date Posted: September 20, 2006743 downloads
Financial Structure, Bank Lending Rates, and the Transmission Mechanism of Monetary Policy IMF Working Paper No. 94/39
Carlo Cottarelli and
Angeliki Kourelis
Date Posted: February 15, 2006741 downloads
Interest Rates After the Credit Crunch: Multiple Curve Vanilla Derivatives and SABR
Marco Bianchetti
and
Mattia Carlicchi
Date Posted: March 14, 2011Last Revised: April 03, 2012729 downloads
What Moves the Bond Market? Economic Policy Review, Vol. 3, No. 4, December 1997
Michael J. Fleming and
Eli M. Remolona
Date Posted: September 24, 2007720 downloads
Gains from Active Bond Portfolio Management Strategies Journal of Fixed Income, Vol. 19, No. 4, 2010
Naomi E. Boyd
and
Jeffrey M. Mercer
Date Posted: September 14, 2010718 downloads
Maximum Likelihood Estimation of Non-Linear Continuous-Time Term-Structure Models
Peter Honore
Date Posted: August 21, 1996711 downloads
International Capital Flows and U.S. Interest Rates FRB International Finance Discussion Paper No. 840, IIIS Discussion Paper No. 103
Francis E. Warnock and
Veronica Cacdac Warnock
Date Posted: October 05, 2005707 downloads
A No-Arbitrage Analysis of Economic Determinants of the Credit Spread Term Structure FEDS Discussion Paper No. 2005-59, Management Science, Forthcoming
Liuren Wu and
Frank Xiaoling Zhang
Date Posted: March 21, 2005Last Revised: June 15, 2008703 downloads
A No-Arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables
Andrew Ang and
Monika Piazzesi
Date Posted: November 22, 1999696 downloads
Financial Structure and the Interest Rate Channel of ECB Monetary Policy ECB Working Paper No. 40
Benoit Mojon
Date Posted: January 06, 2003691 downloads
Cash-Settled Swaptions: How Wrong are We?
Marc P. A. Henrard
Date Posted: November 07, 2010Last Revised: March 12, 2011690 downloads
The Bond/Old-Bond Spread AFA 2002 Atlanta Meetings
Arvind Krishnamurthy
Date Posted: December 13, 2000683 downloads
Correlating Market Models
Bruce Choy
,
Tim Dun and
Erik Schlogl
Date Posted: May 24, 2003679 downloads
Common Factors in International Bond Returns
Joost Driessen ,
Theo Nijman and
Bertrand Melenberg
Date Posted: April 11, 2000675 downloads
A General Stochastic Volatility Model for the Pricing of Interest Rate Derivatives EFA 2007 Ljubljana Meetings Paper
Anders B. Trolle and
Eduardo S. Schwartz
Date Posted: March 06, 2007668 downloads
Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models AFA 2007 Chicago Meetings Paper, FRB of Chicago Working Paper No. 2006-15
Torben G. Andersen and
Luca Benzoni
Date Posted: March 15, 2006Last Revised: June 25, 2008666 downloads
A Guide to Duration, DV01, and Yield Curve Risk Transformations
Thomas Coleman
Date Posted: January 01, 2011Last Revised: January 23, 2011664 downloads
A Multicurrency Extension of the Lognormal Interest Rate
Market Models
Erik Schlogl
Date Posted: August 01, 1999654 downloads
The Evolution and Determinants of Emerging Market Credit Spreads in the 1990s International Finance Working Paper No. 653
Steven B. Kamin and
Karsten von Kleist
Date Posted: July 12, 2000650 downloads
Deriving Inflation Expectations from Nominal and Inflation-Indexed Treasury Yields FEDS Working Paper No. 2000-33
Brian P. Sack
Date Posted: August 21, 2000648 downloads
Generalizing Merton's Approach of Pricing Risky Debt: Some Closed Form Results University of Waterloo Working Paper TD-UW-98
Deng-Feng Wang
affiliation not provided to SSRN
Date Posted: November 08, 1998643 downloads
The Maturity of Debt Issues and Predictable Variation in Bond Returns
Malcolm P. Baker ,
Robin M. Greenwood
and
Jeffrey Wurgler
Date Posted: August 15, 2001Last Revised: January 13, 2009641 downloads
Financial Contagion and the European Debt Crisis CESifo Working Paper Series No. 3554
Sebastian Missio
and
Sebastian Watzka
Date Posted: September 01, 2011638 downloads
Predicting the Term Structure of Interest Rates: Incorporating Parameter Uncertainty, Model Uncertainty and Macroeconomic Information
Michiel De Pooter ,
Francesco Ravazzolo and
Dick J. C. van Dijk
Date Posted: March 04, 2007Last Revised: May 04, 2010638 downloads
How the Federal Funds Rate Affects 10 Year Treasury Bond Yields
Kane Snyder
Date Posted: July 15, 2006628 downloads
A Multifactoral Cross-Currency LIBOR Market Model With a FX Volatility Skew
Wolfgang Benner
and
Lyudmil Zyapkov
Date Posted: May 02, 2007624 downloads
Estimation of Continuous Time Models for Stock Returns and Interest Rates
A. Ronald Gallant and
George Tauchen
Date Posted: May 12, 1997620 downloads
A Comparison of Fixed Income Valuation Models: Pricing and Econometric Analysis of Interest Rate Derivatives
Michael Jacobs Jr.
Date Posted: June 25, 2007618 downloads
Global Imbalances and the Financial Crisis: Link or No Link? BIS Working Paper No. 346
Claudio E. V. Borio and
Piti Disyatat
Date Posted: June 08, 2011613 downloads
The Effects of the Bank of Japan's Zero Interest Rate Commitment and Quantitative Monetary Easing on the Yield Curve: A Macro-Finance Approach Bank of Japan Working Paper No. 05-E-6
Nobuyuki Oda and
Kazuo Ueda
Date Posted: April 27, 2005613 downloads
Inflation Risk Premium: Evidence from the TIPS Market
Olesya V. Grishchenko
and
Jing-Zhi Huang
Date Posted: March 21, 2008Last Revised: May 10, 2012612 downloads
Generalizing the Affine Framework to HJM and Random Field Models
Pierre Collin-Dufresne and
Robert S. Goldstein
Date Posted: June 23, 2003611 downloads
Analyzing the Term Structure of Interest Rates Using the Dynamic Nelson-Siegel Model with Time-Varying Parameters Tinbergen Institute Discussion Paper No. 07-095/4, Journal of Business and Economic Statistics, Vol. 28, No. 3, pp. 329-343, 2010
Siem Jan Koopman ,
Max Mallee
and
Michel van der Wel
Date Posted: December 10, 2007Last Revised: August 15, 2011601 downloads
GPU Pricing of Exotic Cross-Currency Interest Rate Derivatives with a Foreign Exchange Volatility Skew Model
Duy Minh Dang ,
Christina Christara
and
Kenneth R. Jackson
Date Posted: February 08, 2010Last Revised: February 26, 2011594 downloads
Household Interest Rate Risk Management AFA 2007 Chicago Meetings Paper, EFA 2006 Zurich Meetings
Otto Van Hemert
Date Posted: March 15, 2006Last Revised: February 23, 2009590 downloads
Bank Liquidity, Interbank Markets, and Monetary Policy FRB of New York Staff Report No. 371, European Banking Center Discussion Paper No. 2010-08S, CentER Discussion Paper Series No. 2010-35S
Xavier Freixas ,
Antoine Martin and
David R. Skeie
Date Posted: May 22, 2009Last Revised: April 08, 2010584 downloads
Index-Linked Debt and The Real Term Structure: New Estimates and Implications from the U.K.
Martin D.D. Evans
Date Posted: December 11, 1996584 downloads
An Introduction to Microcredit: Why Money is Flowing from the Rich to the Poor Cahiers du CEREN Working Paper No. 21
Date Posted: February 04, 2008Last Revised: October 12, 2008572 downloads
The Expectations Theory of the Term Structure of Interest Rates and Monetary Policy
Eliseo Navarro Arribas
Date Posted: July 16, 2000568 downloads
Systematic Movements in Macroeconomic Releases and the Term Structure of Interest Rates EFA 2006 Zurich Meetings
Liuren Wu and
Biao Lu
Date Posted: July 28, 2005567 downloads
An Affine Model for International Bond Markets EFA 2001 Barcelona Meetings; CES Discussion Paper No. 01.06
Hans Dewachter and
Stan Maes
Date Posted: April 04, 2001562 downloads
A Generalized Ornstein-Uhlenbeck Process of Yield Rates Calibrated with Strips
Jacques F. Carriere
Date Posted: April 18, 1999554 downloads
The Long-run Risks Model: What Differences Can an Extra Volatility Factor Make?
Guofu Zhou and
Yingzi Zhu
Date Posted: May 13, 2009Last Revised: March 10, 2013554 downloads
Inflation Ambiguity and the Term Structure of U.S. Government Bonds AFA 2008 New Orleans Meetings Paper
Maxim Ulrich
Date Posted: November 14, 2008Last Revised: August 29, 2012552 downloads
An Efficient GPU-Based Parallel Algorithm for Pricing Multi-Asset American Options
Duy Minh Dang ,
Christina Christara
and
Kenneth R. Jackson
Date Posted: September 08, 2010Last Revised: April 02, 2011551 downloads
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