Preferred-Habitat and Demand Factors in the Term Structure: Evidence from the Chinese Bond Market

2012 ◽  
Author(s):  
Longzhen Fan ◽  
Canlin Li ◽  
Guofu Zhou
Keyword(s):  
Term Structure ◽  
Bond Market ◽  
Preferred Habitat

The Term Structure of Bond Market Liquidity

2008 ◽  
Author(s):  
Ruslan Goyenko ◽  
Avanidhar Subrahmanyam ◽  
Andrey Ukhov
Keyword(s):  
Term Structure ◽  
Bond Market ◽  
Market Liquidity

The Risk Factors Analysis of the Term Structure of Interest Rate in the Interbank Bond Market

2011 ◽  
pp. 71-76
Author(s):  
Yujun Yang ◽  
Hui Huang ◽  
Jing Pang
Keyword(s):  
Risk Factors ◽  
Interest Rate ◽  
Term Structure ◽  
Bond Market ◽  
Factors Analysis

BOND MARKET MODEL

2006 ◽  
Vol 09 (04) ◽  
pp. 577-596 ◽  
Author(s):  
ROBERTO BAVIERA
Keyword(s):  
Interest Rate ◽  
Term Structure ◽  
Bond Market ◽  
Market Model ◽  
Structure Model ◽  
Over The Counter ◽  
Term Structure Model ◽  
Libor Market Model ◽  
Bond Options ◽  
Interest Rate Term Structure

We describe the Bond Market Model, a multi-factor interest rate term structure model, where it is possible to price with Black-like formulas the three classes of over-the-counter plain vanilla options. We derive the prices of caps/floors, bond options and swaptions. A comparison with Libor Market Model and Swap Market Model is discussed in detail, underlining advantages and limits of the different approaches.

Is the Preferred-Habitat Model of the Term Structure Inconsistent with Financial Market Efficiency?

1980 ◽  
Vol 88 (2) ◽  
pp. 406-411 ◽  
Author(s):  
Frederic S. Mishkin
Keyword(s):  
Market Efficiency ◽  
Term Structure ◽  
Financial Market ◽  
Habitat Model ◽  
Preferred Habitat

scholarly journals How Important Are Inflation Expectations for the Nominal Yield Curve?

2020 ◽  
Author(s):  
Roberto Gomez-Cram ◽  
Amir Yaron
Keyword(s):  
Stochastic Volatility ◽  
Term Structure ◽  
Yield Curve ◽  
Bond Market ◽  
Inflation Expectations ◽  
Real Rate ◽  
Risk Premiums ◽  
Expected Inflation ◽  
Bond Yield ◽  
Bond Risk

Abstract Macrofinance term structure models rely too heavily on the volatility of expected inflation news as a source for variations in nominal bond yield shocks. We develop and estimate a model featuring inflation nonneutrality and preference shocks. The stochastic volatility of inflation and consumption govern bond risk premiums movements, whereas preference shocks generate fluctuations in real rates. The model accounts for key bond market features without resorting to an overly dominating expected inflation channel. The estimation shows that preference shocks are strongly negatively correlated with market distress factors and that real rate news is the dominant driver of nominal yield shocks.

Abstract: Exchange Rate Risk, Foreign-Pay Bond Issues and the Financial Behavior of Canadian Corporations

1977 ◽  
Vol 12 (4) ◽  
pp. 633-633
Author(s):  
Karl A. Stroetmann
Keyword(s):  
Interest Rates ◽  
Term Structure ◽  
Bond Market ◽  
Financial Behavior ◽  
Exchange Rate Risk ◽  
Closed Economy ◽  
Abstract Exchange ◽  
Bond Issues ◽  
Basic Ideas ◽  
Financial Transactions

Some basic ideas of a model of the international term structure of interest rates are outlined. Based on Roll's (1970) theory of equilibrium interest rates in an efficient bond market of a closed economy, we show that the term structure of interest rates in countries whose residents engage in international financial transactions is a function of domestic and foreign traders' expectations of future domestic and foreign spot interest rates, or their degree of risk aversion, and of differences in time preferences.

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