An Empirical Analysis of Asymmetries in the Term Structure of Korean Government Bonds Using CCR-CUSUM Test

2018 ◽  
Vol 32 (1) ◽  
pp. 45-89
Author(s):  
Ki-Ho Kim ◽  
Kyeongwon Yoo
Keyword(s):  
Empirical Analysis ◽  
Term Structure ◽  
Cusum Test ◽  
Government Bonds ◽  
Korean Government

The Term Structure of Equity Risk: An Empirical Analysis

CFA Digest ◽  
1997 ◽  
Vol 27 (1) ◽  
pp. 56-57
Author(s):  
H. Kent Baker
Keyword(s):  
Empirical Analysis ◽  
Term Structure ◽  
Equity Risk

scholarly journals An Econometric Analysis of the Relationship between Changes in Government Bonds, Exchange Rate and Inflation Dynamics in South Africa

2018 ◽  
Vol 10 (4(J)) ◽  
pp. 165-173
Author(s):  
Sanusi K A ◽  
Meyer D F
Keyword(s):  
South Africa ◽  
Exchange Rate ◽  
Empirical Analysis ◽  
Inflation Rate ◽  
Series Data ◽  
Government Bond ◽  
Government Bonds ◽  
Depth Analysis ◽  
The Exchange Rate ◽  
The Empirical Analysis

The study examined the dynamic interaction between government bonds, exchange rate and inflation in South Africa. The study follows a quantitative research method, using monthly time series data from 2007 to 2017 within the framework of a Vector Autoregressive Analysis (VAR). Evidence from the empirical analysis shows that government bond accounts for significant variation in the exchange rate and inflation rate within the study period. The causality test also suggests the presence of uni-directional causal relationships from government bonds to exchange rate, and also to the inflation rate. The principal conclusion that emanates from the empirical analysis is that government bonds are an important policy instrument in the management of the exchange rate and the inflation rate in South Africa. The study recommends that the South African Reserve Bank is a coordinator of government bond and should carry out an in-depth analysis of the economic conditions before issuing the government bonds, taking into account its impeding effects on the exchange rate and inflation rate and many other macroeconomic variables. 

scholarly journals VIX Futures as a Market Timing Indicator

2019 ◽  
Vol 12 (3) ◽  
pp. 113 ◽  
Author(s):  
Fassas ◽  
Hourvouliades
Keyword(s):  
Empirical Analysis ◽  
Term Structure ◽  
Financial Market ◽  
Market Timing ◽  
Investor Sentiment ◽  
Vix Futures ◽  
Equity Price ◽  
The Empirical Analysis ◽  
Practical Implications ◽  
Stock Market Timing

Our work relates to the literature supporting that the VIX also mirrors investor sentiment and, thus, contains useful information regarding future S&P500 returns. The objective of this empirical analysis is to verify if the shape of the volatility futures term structure has signaling effects regarding future equity price movements, as several investors believe. Our findings generally support the hypothesis that the VIX term structure can be employed as a contrarian market timing indicator. The empirical analysis of this study has important practical implications for financial market practitioners, as it shows that they can use the VIX futures term structure not only as a proxy of market expectations on forward volatility, but also as a stock market timing tool.

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