Peter Hördahl

Bank for International Settlements (BIS) - BIS Representative Office for Asia and the Pacific

78th floor, Two International Finance Centre

8 Finance Street, Central

Hong Kong

SCHOLARLY PAPERS

21

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CITATIONS
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133

Scholarly Papers (21)

1.

Developments in Repo Markets During the Financial Turmoil

BIS Quarterly, December 2008
Number of pages: 17 Posted: 21 Jul 2012
Peter Hördahl and Michael R. King
Bank for International Settlements (BIS) - BIS Representative Office for Asia and the Pacific and Ivey Business School
Downloads 1,241 (15,402)
Citation 64

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Repo markets, financial crisis, OIS, collateral

2.
Downloads 617 ( 41,712)
Citation 53

Measuring European Financial Integration

ECB Occasional Paper No. 14
Number of pages: 98 Posted: 16 Aug 2005
Tilburg University - Department of Finance, European Central Bank (ECB), Bank for International Settlements (BIS) - BIS Representative Office for Asia and the Pacific, European Central Bank (ECB) and Federal Reserve Bank of Philadelphia
Downloads 617 (41,114)
Citation 53

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Financial integration, EMU, law of one price

Measuring European Financial Integration

Oxford Review of Economic Policy, Vol. 20, No. 4, pp. 509-530, 2004
Posted: 23 Jun 2006
Tilburg University - Department of Finance, European Central Bank (ECB), Bank for International Settlements (BIS) - BIS Representative Office for Asia and the Pacific, European Central Bank (ECB) and Federal Reserve Bank of Philadelphia

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Financial Integration, Home Bias, Price Differentials

A Joint Econometric Model of Macroeconomic and Term Structure Dynamics

ECB Working Paper No. 405; AFA 2005 Philadelphia Meetings Paper
Number of pages: 68 Posted: 13 Dec 2004
Peter Hördahl, Oreste Tristani and David Vestin
Bank for International Settlements (BIS) - BIS Representative Office for Asia and the Pacific, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 292 (101,946)
Citation 108

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Affine term-structure models, policy rules, new neo-classical synthesis

A Joint Econometric Model of Macroeconomic and Term Structure Dynamics

Number of pages: 52 Posted: 23 Jul 2003
Peter Hördahl, Oreste Tristani and David Vestin
Bank for International Settlements (BIS) - BIS Representative Office for Asia and the Pacific, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 238 (126,386)
Citation 84

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affine term-structure models, policy rules, new neo-classical synthesis

Inflation Risk Premia in the Term Structure of Interest Rates

ECB Working Paper No. 734, BIS Working Paper No. 228
Number of pages: 50 Posted: 25 Sep 2007
Peter Hördahl and Oreste Tristani
Bank for International Settlements (BIS) - BIS Representative Office for Asia and the Pacific and European Central Bank (ECB)
Downloads 299 (99,360)

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Term structure of interest rates, inflation risk premia, central bank credibility

Inflation Risk Premia in the Term Structure of Interest Rates

BIS Working Paper No. 228
Number of pages: 50 Posted: 25 Sep 2007
Peter Hördahl and Oreste Tristani
Bank for International Settlements (BIS) - BIS Representative Office for Asia and the Pacific and European Central Bank (ECB)
Downloads 159 (184,210)
Citation 42

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Term structure of interest rates, inflation risk premia, central bank credibility

5.

The Impact of the Euro on Financial Markets

ECB Working Paper No. 598
Number of pages: 113 Posted: 25 Apr 2006
European Central Bank (ECB), Bank for International Settlements (BIS) - BIS Representative Office for Asia and the Pacific, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 416 (68,513)
Citation 5

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Financial markets, euro, financial integration, volatility, conditional correlation, term structure, fundamentals, risk premia

6.

Interpreting Implied Risk-Neutral Densities: The Role of Risk Premia

ECB Working Paper No. 274; EFA 2003 Annual Conference Paper No. 268; EFMA 2003 Helsinki Meetings
Number of pages: 56 Posted: 26 Jun 2003
Peter Hördahl and David Vestin
Bank for International Settlements (BIS) - BIS Representative Office for Asia and the Pacific and European Central Bank (ECB)
Downloads 325 (91,241)
Citation 6

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7.

Estimating the Implied Distribution of the Future Short Term Interest Rate Using the Longstaff-Schwartz Model

ECB Working Paper No. 16
Number of pages: 47 Posted: 10 Dec 2002
Peter Hördahl
Bank for International Settlements (BIS) - BIS Representative Office for Asia and the Pacific
Downloads 241 (125,291)
Citation 1

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Implied Distribution, Risk-neutral Density, Longstaff-Schwartz Model, Density Forecast, Interest Rate Expectations, Forecast Evaluation

8.
Downloads 219 (137,648)
Citation 12

The Yield Curve and Macroeconomic Dynamics

ECB Working Paper No. 832
Number of pages: 66 Posted: 06 Dec 2007
Peter Hördahl, Oreste Tristani and David Vestin
Bank for International Settlements (BIS) - BIS Representative Office for Asia and the Pacific, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 217 (138,532)
Citation 31

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DSGE models, policy rules, term structure of interest rates, risk premia, second order approximations.

The Yield Curve and Macroeconomic Dynamics

The Economic Journal, Vol. 118, Issue 533, pp. 1937-1970, November 2008
Number of pages: 34 Posted: 08 Oct 2008
Peter Hördahl, Oreste Tristani and David Vestin
Bank for International Settlements (BIS) - BIS Representative Office for Asia and the Pacific, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 2 (661,121)
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9.

Inflation Expectations and the Great Recession

BIS Quarterly Review, March 2011
Number of pages: 13 Posted: 26 Aug 2012
Petra Gerlach, Peter Hördahl and Richhild Moessner
Bank for International Settlements (BIS), Bank for International Settlements (BIS) - BIS Representative Office for Asia and the Pacific and Bank for International Settlements (BIS)
Downloads 187 (159,513)
Citation 6

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10.

The Inflation Risk Premium in the Term Structure of Interest Rates

BIS Quarterly Review, pp. 23-38, September 2008
Number of pages: 16 Posted: 17 Jul 2012
Peter Hördahl
Bank for International Settlements (BIS) - BIS Representative Office for Asia and the Pacific
Downloads 176 (168,455)
Citation 6

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11.

Low Long-Term Interest Rates as a Global Phenomenon

BIS Working Paper No. 574
Number of pages: 26 Posted: 05 Aug 2016
Peter Hördahl, Jhuvesh Sobrun and Philip Turner
Bank for International Settlements (BIS) - BIS Representative Office for Asia and the Pacific, Bank for International Settlements (BIS) and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 174 (170,200)
Citation 2

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bond markets, financial globalization, natural rate of interest, term premium and shadow policy rate

12.
Downloads 143 (200,768)
Citation 15

Inflation Risk Premia in the US and the Euro Area

ECB Working Paper No. 1270
Number of pages: 49 Posted: 04 Dec 2010
Peter Hördahl and Oreste Tristani
Bank for International Settlements (BIS) - BIS Representative Office for Asia and the Pacific and European Central Bank (ECB)
Downloads 91 (280,599)

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Term structure of interest rates, inflation risk premia, central bank credibility

Inflation Risk Premia in the US and the Euro Area

BIS Working Paper No. 325
Number of pages: 42 Posted: 30 Nov 2010
Peter Hördahl and Oreste Tristani
Bank for International Settlements (BIS) - BIS Representative Office for Asia and the Pacific and European Central Bank (ECB)
Downloads 52 (383,161)
Citation 17

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Term Structure Of Interest Rates, Inflation Risk Premia, Central Bank Credibility

13.

Intraday Dynamics of Euro Area Sovereign CDS and Bonds

BIS Working Paper No. 423
Number of pages: 87 Posted: 27 Feb 2014
Nordea Group, Bank for International Settlements (BIS) - BIS Representative Office for Asia and the Pacific, University of Basel and Bank for International Settlements (BIS)
Downloads 123 (226,020)
Citation 5

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Sovereign credit risk, credit default swaps, price discovery, intraday

Expectations and Risk Premia at 8:30am: Macroeconomic Announcements and the Yield Curve

BIS Working Paper No. 527
Number of pages: 54 Posted: 16 Nov 2015
Peter Hördahl, Eli M. Remolona and Giorgio Valente
Bank for International Settlements (BIS) - BIS Representative Office for Asia and the Pacific, Bank for International Settlements (BIS) - Monetary and Economic Department and Hong Kong Institute for Monetary and Financial Research (HKIMR)
Downloads 66 (339,859)

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Bond excess returns, term structure of interest rates, affine models, macroeconomic announcements

Expectations and Risk Premia at 8:30am: Macroeconomic Announcements and the Yield Curve

Asian Finance Association (AsianFA) 2016 Conference
Number of pages: 70 Posted: 03 Feb 2016
Peter Hördahl, Eli M. Remolona and Giorgio Valente
Bank for International Settlements (BIS) - BIS Representative Office for Asia and the Pacific, Bank for International Settlements (BIS) - Monetary and Economic Department and Hong Kong Institute for Monetary and Financial Research (HKIMR)
Downloads 40 (427,926)
Citation 5

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bond excess returns, term structure of interest rates, affine models, macroeconomic announcements

Arbitrage Costs and the Persistent Non-Zero CDS-Bond Basis: Evidence from Intraday Euro Area Sovereign Debt Markets

Number of pages: 33 Posted: 09 Nov 2016
Nordea Group, Bank for International Settlements (BIS) - BIS Representative Office for Asia and the Pacific, University of Basel and Bank for International Settlements (BIS)
Downloads 45 (408,202)
Citation 3

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sovereign credit risk, credit default swaps, price discovery, regime switch, intraday, arbitrage, transaction costs

Arbitrage Costs and the Persistent Non-Zero CDS-Bond Basis: Evidence from Intraday Euro Area Sovereign Debt Markets

BIS Working Paper No. 631
Number of pages: 45 Posted: 29 Apr 2017
Nordea Group, Bank for International Settlements (BIS) - BIS Representative Office for Asia and the Pacific, University of Basel and Bank for International Settlements (BIS)
Downloads 45 (408,202)

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Sovereign credit risk, credit default swaps, price discovery, regime switch, intraday, arbitrage, transaction costs

16.

Term Premia: Models and Some Stylised Facts

BIS Quarterly Review September 2018
Number of pages: 13 Posted: 30 Nov 2018
Benjamin H. Cohen, Peter Hördahl and Fan Dora Xia
Bank for International Settlements (BIS), Bank for International Settlements (BIS) - BIS Representative Office for Asia and the Pacific and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 41 (415,280)

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17.

Expectations and Risk Premia at 8:30am: Deciphering the Responses of Bond Yields to Macroeconomic Announcements

Number of pages: 51 Posted: 27 Dec 2017
Peter Hördahl, Eli M. Remolona and Giorgio Valente
Bank for International Settlements (BIS) - BIS Representative Office for Asia and the Pacific, Bank for International Settlements (BIS) - Monetary and Economic Department and Hong Kong Institute for Monetary and Financial Research (HKIMR)
Downloads 34 (443,511)

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affine models, bond excess returns, economic announcements, term structure of interest rates

18.

Determinants of Asia-Pacific Government Bond Yields

BIS Paper No. 102c
Number of pages: 11 Posted: 22 May 2019
Mikhail Chernov, Drew Creal and Peter Hördahl
UCLA Anderson, University of Notre Dame and Bank for International Settlements (BIS) - BIS Representative Office for Asia and the Pacific
Downloads 19 (520,989)

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emerging market bonds, bond risk premia, currency risk, credit risk

19.

Corporate Bond Use in Asia and the United States

BIS Paper No. 102k
Number of pages: 11 Posted: 22 May 2019
Gregory R. Duffee and Peter Hördahl
Johns Hopkins and Bank for International Settlements (BIS) - BIS Representative Office for Asia and the Pacific
Downloads 7 (593,158)

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Corporate bonds, capital structure, firm financing, firm characteristics

20.

Bond Premia and Monetary Policy Over 40 Years

Number of pages: 20 Posted: 27 Mar 2008
Oreste Tristani and Peter Hördahl
European Central Bank (ECB) and Bank for International Settlements (BIS) - BIS Representative Office for Asia and the Pacific
Downloads 5 (606,222)

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Expectations puzzle, affine term-structure models, policy rules, new neo-classical synthesis, imperfect knowledge

21.

Inflation Risk Premia in the Euro Area and the United States

International Journal of Central Banking, Vol. 10, pp. 1-47.
Posted: 15 Feb 2017
Peter Hördahl and Oreste Tristani
Bank for International Settlements (BIS) - BIS Representative Office for Asia and the Pacific and European Central Bank (ECB)

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Inflation risk premia, term structure of interest rates, monetary policy rules