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Economic News And The Yield Curve
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Book Synopsis Economic News and the Yield Curve by : Pierluigi Balduzzi
Download or read book Economic News and the Yield Curve written by Pierluigi Balduzzi and published by . This book was released on 2008 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines newly-available intra-day data from the inter-dealer government bond market to investigate the effects of economic-news announcements on prices, trading volume, and bid-ask spreads. The use of intra-day data together with data on market expectations allows us to obtain new and different results relative to previous studies. We find a total of seventeen economic announcements to have a significant impact on the price of at least one of the following instruments: a three-month bill, a two- and ten-year note, and a thirty-year bond. Ten of them significantly affect all note and bond prices. For announcements that have a significant impact on prices, the impact occurs within one minute after the announcement. Interestingly, only three announcements affect the bill price. This suggests that at least two factors of uncertainty are needed to model the yield curve. For the ten-year note we find a strong association between announcements and trading volume. Economic announcements have less effect on trading volume for the three-month bill, although changes in monetary policy lead to an average trading volume up to nine times higher than at non-announcement times. Bid-ask spreads widen immediately after most economic announcements, but then return to normal levels within 5 to 15 minutes. For almost all announcements, volatility is significantly higher after the release, especially for the announcements that significantly affect prices.
Book Synopsis Economic News and the Yield Curve by : Pierluigi Balduzzi
Download or read book Economic News and the Yield Curve written by Pierluigi Balduzzi and published by . This book was released on 1998 with total page 53 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Economic News and the Yield Curve : Evidence from the U.S. Treasure Market by : Pierluigi Balduzzi
Download or read book Economic News and the Yield Curve : Evidence from the U.S. Treasure Market written by Pierluigi Balduzzi and published by . This book was released on 1998 with total page 76 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Yield Curve Reaction to Macroeconomic News in Europe by : Marie Briere
Download or read book Yield Curve Reaction to Macroeconomic News in Europe written by Marie Briere and published by . This book was released on 2009 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper analyses the response of the Euro yield curve to macroeconomic and monetary policy announcements. We present a new methodology for estimating the reaction of the Euro swap curve to economic news, in a data-rich environment. Given the sharp degree of interdependence between Euro rates and US rates, we propose to use the factors of the US yield curve to disentangle the daily variation in Euro rates stemming from US influence and the variation resulting from European news. We highlight the importance of taking the US yield curve influence into account and investigate the shape of the Euro term structure reaction to a range of news types. We find that the impact of economic announcements on the yield curve shows different patterns according to the news and we provide a hierarchy of the economic figures that have the strongest impact on the different maturities.
Book Synopsis The Yield Curve and Real Activity by : Zuliu Hu
Download or read book The Yield Curve and Real Activity written by Zuliu Hu and published by International Monetary Fund. This book was released on 1993-03 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: The financial press frequently suggest that the shape of yield curve reflects information about the prospects of the economy. This paper attempts to formalize the link between the yield curve and the real economic activity. A closed-form formula for the term structure of interest rates is derived. It is shown that the term structure embodies the market’s expectation about changes in the macroeconomic fundamental--the growth in real aggregate output of the economy. The paper then documents the use of bond market data for predicting GDP growth in the G-7 industrial countries. The results suggest that a simple measure of the slope of the yield curve, namely the yield spread, serves as a good predictor of future economic growth. The out-of-sample forecasting performance of the yield spread compares favorably with that of the alternative stock price-based model and a univariate time series (ARMA) model. One practical implication is that it may be useful to add some measure of the term structure to the list of
Book Synopsis Current Issues in Economics and Finance by : Bandi Kamaiah
Download or read book Current Issues in Economics and Finance written by Bandi Kamaiah and published by Springer. This book was released on 2018-01-12 with total page 227 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book discusses wide topics related to current issues in economic growth and development, international trade, macroeconomic and financial stability, inflation, monetary policy, banking, productivity, agriculture and food security. It is a collection of seventeen research papers selected based on their quality in terms of contemporary topic, newness in the methodology, and themes. All selected papers have followed an empirical approach to address research issues, and are segregated in five parts. Part one covers papers related to fiscal and price stability, monetary policy and economic growth. The second part contains works related to financial integration, capital market volatility and macroeconomic stability. Third part deals with issues related to international trade and economic growth. Part four covers topics related to productivity and firm performance. The final part discusses issues related to agriculture and food security. The book would be of interest to researchers, academicians as a ready reference on current issues in economics and finance.
Book Synopsis Further Evidence on the Impact of Economic News on Interest Rates by : Dominique Guegan
Download or read book Further Evidence on the Impact of Economic News on Interest Rates written by Dominique Guegan and published by . This book was released on 2008 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate the shape of the term structure reaction of the US swap rates to announcements using several linear and non-linear time series models. The main contribution of this article to put emphasize on the non-linearity of the market reaction to macroeconomic news. The empirical results yield several not-so-well-known stylized facts about the bond market. First, and although we used a daily dataset, we find that the introduction of non linear models leads to the finding of a significant number of macroeconomic figures that actually produce an effect over the yield curve. Second, we find that the term structure response to announcements can be much more complicated that what is generally found: we noticed at least four types of patterns in the term structure reaction of interest rates across maturities, including the hump-shaped one that is generally considered. Third, by comparing the shapes of the rates' term structure reaction to announcements with the first four factors obtained when performing a principal component analysis of the daily changes in the swap rates, we propose a first interpretation and classification of these different shapes. Fourth we find that the existence of some outliers in the one-day changes in interest rates usually leads to a strong underestimation of the reaction of interest rates to announcements, explaining the different results obtained between high-frequency and daily datasets: the first type of study seems to lead to the finding of fewer market mover announcements.
Book Synopsis Yield Curve Modeling and Forecasting by : Francis X. Diebold
Download or read book Yield Curve Modeling and Forecasting written by Francis X. Diebold and published by Princeton University Press. This book was released on 2013-01-15 with total page 223 pages. Available in PDF, EPUB and Kindle. Book excerpt: Understanding the dynamic evolution of the yield curve is critical to many financial tasks, including pricing financial assets and their derivatives, managing financial risk, allocating portfolios, structuring fiscal debt, conducting monetary policy, and valuing capital goods. Unfortunately, most yield curve models tend to be theoretically rigorous but empirically disappointing, or empirically successful but theoretically lacking. In this book, Francis Diebold and Glenn Rudebusch propose two extensions of the classic yield curve model of Nelson and Siegel that are both theoretically rigorous and empirically successful. The first extension is the dynamic Nelson-Siegel model (DNS), while the second takes this dynamic version and makes it arbitrage-free (AFNS). Diebold and Rudebusch show how these two models are just slightly different implementations of a single unified approach to dynamic yield curve modeling and forecasting. They emphasize both descriptive and efficient-markets aspects, they pay special attention to the links between the yield curve and macroeconomic fundamentals, and they show why DNS and AFNS are likely to remain of lasting appeal even as alternative arbitrage-free models are developed. Based on the Econometric and Tinbergen Institutes Lectures, Yield Curve Modeling and Forecasting contains essential tools with enhanced utility for academics, central banks, governments, and industry.
Book Synopsis The Future of China's Bond Market by : Mr. Alfred Schipke
Download or read book The Future of China's Bond Market written by Mr. Alfred Schipke and published by International Monetary Fund. This book was released on 2019-03-13 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt: China’s bond market is destined to play an increasingly important role, both at home and abroad. And the inclusion of the country’s bonds in global indexes will be a milestone for its financial market integration, bringing big opportunities as well as challenges for policymakers and investors alike. This calls for a good understanding of China’s bond market structure, its unique characteristics, and areas where reforms are needed. This volume comprehensively analyzes the different segments of China’s bond market, from sovereign, policy bank, and credit bonds, to the rapidly growing local government bond market. It also covers bond futures, green bonds, and asset-backed securities, as well as China’s offshore market, which has played a major role in onshore market development.
Book Synopsis The Cyclical Behavior of the Term Structure of Interest Rates by : Reuben A. Kessel
Download or read book The Cyclical Behavior of the Term Structure of Interest Rates written by Reuben A. Kessel and published by . This book was released on 1965 with total page 132 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Analysing and Interpreting the Yield Curve by : Moorad Choudhry
Download or read book Analysing and Interpreting the Yield Curve written by Moorad Choudhry and published by John Wiley & Sons. This book was released on 2019-04-15 with total page 390 pages. Available in PDF, EPUB and Kindle. Book excerpt: Understand and interpret the global debt capital markets Now in a completely updated and expanded edition, this is a technical guide to the yield curve, a key indicator of the global capital markets and the understanding and accurate prediction of which is critical to all market participants. Being able to accurately and timely predict the shape and direction of the curve permits practitioners to consistently outperform the market. Analysing and Interpreting the Yield Curve, 2nd Edition describes what the yield curve is, explains what it tells participants, outlines the significance of certain shapes that the curve assumes and, most importantly, demonstrates what factors drive it and how it is modelled and used. Covers the FTP curve, the multi-currency curve, CSA, OIS-Libor and 3-curve models Gets you up to speed on the secured curve Describes application of theoretical versus market curve relative value trading Explains the concept of the risk-free rate Accessible demonstration of curve interpolation best-practice using cubic spline, Nelson-Siegel and Svensson 94 models This advanced text is essential reading for traders, asset managers, bankers and financial analysts, as well as graduate students in banking and finance.
Book Synopsis Conundrum or Complication by : Peter Cripwell
Download or read book Conundrum or Complication written by Peter Cripwell and published by . This book was released on 2008 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt: The definition of the decline of long term yields in the light of increasing short term yields as a conundrum by Chairman Greenspan in February 2005 has generated a significant amount of research. This paper presents a study of yield curve dynamics over this period using economic surprise data as the diagnostic tool. Results are presented for both US and Japanese data which indicate a non-linear response of the yield curve to economic data and monetary policy over the period in question. Further, a limited model is presented that is consistent with the observations. This can lead to an explanation of the conundrum in terms of a non-linear yield response to expected long term inflation and a variable expected long term real rate.
Book Synopsis Term-Structure Factor Shifts and Economic News by : W. Brian Barrett
Download or read book Term-Structure Factor Shifts and Economic News written by W. Brian Barrett and published by . This book was released on 2004 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: For this article, daily changes in pure discount yields on U.S. risk-free securities were fit to a theoretically robust term-structure model to derive a set of orthogonal factors measuring the level, slope, and curvature of the yield curve. Changes in these factors at the release of unexpected economic news are reported. This methodology explicitly allows for commonalities in responses in the universe of spot rates, thus painting a rich picture of interest rate reactions to new information. The results have important implications for hedging volatility risk or seeking to profit from predicting volatility in bond prices.
Book Synopsis Yield Curve and Financial Uncertainty by : Efrem Castelnuovo
Download or read book Yield Curve and Financial Uncertainty written by Efrem Castelnuovo and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: How do short and long term interest rates respond to a jump in financial uncertainty? We address this question by conducting a local projections analysis with US monthly data, period: 1962-2018. The state-of-the-art financial uncertainty measure proposed by Ludvigson, Ma, and Ng (2019) is found to predict movements in interest rates at different maturities. In particular, an increase in financial uncertainty is found to trigger a negative and significant response of both short and long term interest rates. The response of the short end of the yield curve (i.e., of short term interest rates) is found to be stronger than that of the long end (i.e., of long term ones). In other words, a financial uncertainty shock causes a temporary steepening of the yield curve. This result is consistent, among other interpretations, with medium-term expectations of a recovery in real activity after a financial uncertainty shock.
Book Synopsis The Impact of ECB Monetary Policy Decisions and Communication on the Yield Curve by : Claus Brand
Download or read book The Impact of ECB Monetary Policy Decisions and Communication on the Yield Curve written by Claus Brand and published by . This book was released on 2008 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt: We use intraday changes in money market rates to construct indicators of news about monetary policy stemming separately from policy decisions and from official communication of the ECB, and study their impact on the yield curve. We show that communication may lead to substantial revisions in expectations of monetary policy and, at the same time, exert a significant impact on interest rates at longer maturities. Thereby, the maturity response pattern to communication is hump-shaped, while that to policy decisions is downward sloping.
Book Synopsis Inflation Expectations by : Peter J. N. Sinclair
Download or read book Inflation Expectations written by Peter J. N. Sinclair and published by Routledge. This book was released on 2009-12-16 with total page 402 pages. Available in PDF, EPUB and Kindle. Book excerpt: Inflation is regarded by the many as a menace that damages business and can only make life worse for households. Keeping it low depends critically on ensuring that firms and workers expect it to be low. So expectations of inflation are a key influence on national economic welfare. This collection pulls together a galaxy of world experts (including Roy Batchelor, Richard Curtin and Staffan Linden) on inflation expectations to debate different aspects of the issues involved. The main focus of the volume is on likely inflation developments. A number of factors have led practitioners and academic observers of monetary policy to place increasing emphasis recently on inflation expectations. One is the spread of inflation targeting, invented in New Zealand over 15 years ago, but now encompassing many important economies including Brazil, Canada, Israel and Great Britain. Even more significantly, the European Central Bank, the Bank of Japan and the United States Federal Bank are the leading members of another group of monetary institutions all considering or implementing moves in the same direction. A second is the large reduction in actual inflation that has been observed in most countries over the past decade or so. These considerations underscore the critical – and largely underrecognized - importance of inflation expectations. They emphasize the importance of the issues, and the great need for a volume that offers a clear, systematic treatment of them. This book, under the steely editorship of Peter Sinclair, should prove very important for policy makers and monetary economists alike.
Book Synopsis Bond Pricing and Yield Curve Modeling by : Riccardo Rebonato
Download or read book Bond Pricing and Yield Curve Modeling written by Riccardo Rebonato and published by . This book was released on 2018-06-07 with total page 781 pages. Available in PDF, EPUB and Kindle. Book excerpt: Rebonato provides an authoritative, clear, and up-to-date explanation of the cutting-edge innovations in affine modeling for government bonds, and provides readers with the precise tools to develop their own models. This book combines precise theory with up-to-date empirical evidence to build, with the minimum mathematical sophistication required for the task, a critical understanding of what drives the government bond market.
