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

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

SCHOLARLY PAPERS

23

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134

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239

Scholarly Papers (23)

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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 Gustavson School Of Business
Downloads 1,591 (19,384)
Citation 4

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Repo markets, financial crisis, OIS, collateral

2.

Measuring European Financial Integration

Downloads 668 (66,217)
Citation 87

Measuring European Financial Integration

ECB Occasional Paper No. 14
Number of pages: 98 Posted: 16 Aug 2005
Lieven Baele, Annalisa Ferrando, Peter Hördahl, Elizaveta Krylova and Cyril Monnet
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 University of Bern
Downloads 668 (65,312)
Citation 87

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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
Lieven Baele, Annalisa Ferrando, Peter Hördahl, Elizaveta Krylova and Cyril Monnet
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 University of Bern

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Financial Integration, Home Bias, Price Differentials

3.

A Joint Econometric Model of Macroeconomic and Term Structure Dynamics

Downloads 586 (78,147)
Citation 58

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 325 (154,431)
Citation 18

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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 261 (194,187)
Citation 49

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

4.

Inflation Risk Premia in the Term Structure of Interest Rates

Downloads 505 (93,969)
Citation 29

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 327 (153,394)

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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 178 (278,816)
Citation 31

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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
Lorenzo Cappiello, Peter Hördahl, Arjan Kadareja and Simone Manganelli
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 497 (95,714)
Citation 12

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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

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 348 (144,506)
Citation 3

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7.

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 University of Basel
Downloads 331 (152,371)
Citation 4

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

8.

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 314 (161,265)
Citation 1

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9.

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

Number of pages: 47 Posted: 10 Dec 2002
Peter Hördahl
Bank for International Settlements (BIS) - BIS Representative Office for Asia and the Pacific
Downloads 265 (192,119)
Citation 3

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

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 245 (207,572)

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11.

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 244 (208,381)
Citation 6

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

12.

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 230 (220,729)
Citation 10

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13.

EME Bond Portfolio Flows and Long-Term Interest Rates during the COVID-19 Pandemic

BIS Bulletin no 18 (2020)
Number of pages: 9 Posted: 15 Feb 2022
Peter Hördahl and Ilhyock Shim
Bank for International Settlements (BIS) - BIS Representative Office for Asia and the Pacific and Bank for International Settlements (BIS)
Downloads 225 (225,459)

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bond flow, bond market, emerging market, interest rate

14.

Inflation Risk Premia in the US and the Euro Area

Downloads 194 (258,332)
Citation 13

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 111 (407,263)
Citation 1

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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 83 (495,483)
Citation 17

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

15.

Intraday Dynamics of Euro Area Sovereign CDS and Bonds

BIS Working Paper No. 423
Number of pages: 87 Posted: 27 Feb 2014
Jacob Gyntelberg, Peter Hördahl, Kristyna Ters and Jörg Urban
European Banking Authority, Bank for International Settlements (BIS) - BIS Representative Office for Asia and the Pacific, University of Basel and Bank for International Settlements (BIS)
Downloads 180 (276,162)
Citation 2

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

16.

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

Downloads 179 (277,489)
Citation 5

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
Jacob Gyntelberg, Peter Hördahl, Kristyna Ters and Jörg Urban
European Banking Authority, Bank for International Settlements (BIS) - BIS Representative Office for Asia and the Pacific, University of Basel and Bank for International Settlements (BIS)
Downloads 105 (423,971)

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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

Number of pages: 33 Posted: 09 Nov 2016
Jacob Gyntelberg, Peter Hördahl, Kristyna Ters and Jörg Urban
European Banking Authority, Bank for International Settlements (BIS) - BIS Representative Office for Asia and the Pacific, University of Basel and Bank for International Settlements (BIS)
Downloads 74 (530,841)
Citation 7

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

17.

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

Downloads 171 (288,874)
Citation 7

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 88 (477,725)
Citation 6

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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

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 83 (495,483)

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

18.

Modelling Yields at the Lower Bound Through Regime Shifts

Downloads 89 (470,082)
Citation 1

Modelling Yields at the Lower Bound Through Regime Shifts

Number of pages: 52 Posted: 04 Oct 2019
Peter Hördahl and Oreste Tristani
Bank for International Settlements (BIS) - BIS Representative Office for Asia and the Pacific and European Central Bank (ECB)
Downloads 56 (615,759)

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monetary policy rate expectations, regime switches, term premia, term structure of interest rates, zero lower bound

Modelling Yields at the Lower Bound Through Regime Shifts

BIS Working Paper No. 813
Number of pages: 52 Posted: 08 Oct 2019
Peter Hördahl and Oreste Tristani
Bank for International Settlements (BIS) - BIS Representative Office for Asia and the Pacific and European Central Bank (ECB)
Downloads 33 (765,331)
Citation 1

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zero lower bound, term premia, term structure of interest rates, monetary policy rate expectations, regime switches

19.

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 89 (470,082)

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

20.

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 43 (677,120)

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Corporate bonds, capital structure, firm financing, firm characteristics

21.

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 24 (815,183)
Citation 1

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

22.

Sovereign Credit and Exchange Rate Risks: Evidence from Asia-Pacific Local Currency Bonds

Downloads 8 (964,538)
Citation 2

Sovereign Credit and Exchange Rate Risks: Evidence from Asia-Pacific Local Currency Bonds

NBER Working Paper No. w27500
Number of pages: 58 Posted: 14 Jul 2020 Last Revised: 15 May 2023
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 8 (1,000,625)
Citation 2

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Sovereign Credit and Exchange Rate Risks: Evidence from Asia-Pacific Local Currency Bonds

CEPR Discussion Paper No. DP14986
Posted: 18 Aug 2020
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

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affine model, credit risk, currency risk, emerging bond markets, Twin Ds

23.

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