Regime switching in the yield curve

Article Abstract:

The effect of interest-rate variance on the shape of the yield curve is examined with the help of a bivariate two-state Markov switching model. The interest-rate variance leads to steeper yield curve in the high-variance regime while the slope is independent in the low variance regime.

Interest Rates, Capital funds & cash flow, Valuation, Junk bonds

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Extracting the expected path of monetary policy from futures rates

Article Abstract:

Federal funds and Eurodollar futures agreements determine future monetary policy. Risk premium also influences the monetary policy path. Monetary policy path is studied based on assumption of a constant risk premium and an alternative assumption of a variable risk premium.

Management dynamics, Asset & Risk Management, Management, Interpretation and construction, Risk management, Futures market, Futures markets, Monetary policy, Company business management

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Realized bond-stock correlation: macroeconomic announcement effects

Article Abstract:

The effect of macroeconomic announcements on the relation between the yields on bonds and stocks during various business cycles is described.

Denmark, Switzerland, Analysis, Usage, Statistical methods, Yield (Investments)

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