A cointegration analysis fo interest rates in Germany

Article Abstract:

The Engle-Granger test was employed to assess the connection between interest rate activity in the German government securities market with different maturities. The Engle-Granger was preferred over the Johansen (1991) test due to considerations of the interest rate series for the hypothesis tests. Results show different interest rate series from the yield structure of the German public bond market to be cointegrated. The findings are congruent with results from US interest rates, which are also cointegrated along the yield curve.

Interest Rates, Germany, Securities, Credit market, Credit markets

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Estimation of the Nelson-Siegel parsimonious modeling of yield curves using an exponential GARCH process

Article Abstract:

A two-step method for the estimation of the yield curve for default-free Treasury securities has been developed. A modified version of the yield curve approximation model by Nelson and Siegel was used to decompose the risk premium into four parts. Then, a multivariate exponential GARCH process on the Nelson-Siegel coefficients was used to obtain a prediction equation for the term structure of interest rates. The approach has been applied in an out-of-sample forecast of the term structure of interest rates for Treasury securities.

Treasury securities

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Do financial analysts decompose past earnings when making future earnings forecasts?

Article Abstract:

Decomposition of past earnings is not undertaken by financial analysts when creating future earnings forecasts. The change in financial analysts' annual earnings forecasts between years t and t+1 is not lower for companies whose earnings before discretionary accruals (EBDA) are lower than either analysts' earnings forecasts in year t, or earnings in year t. Full market differentiation does not occur in relation to accrual and cash flow components of earnings.

Research, Accrual basis accounting, Income forecasting

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