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An Empirical Decomposition of Risk and Liquidity in Nominal and Inflation-Indexed Government Bonds
16 references·4 citing·46 second hop
An Empirical Decomposition of Risk and Liquidity in Nominal and Inflation-Indexed Government Bonds (2011)An Empirical Decomposition of Risk and Li…Bond Supply and Excess Bond Returns (2014)Bond Supply and Excess Bond R…The Aggregate Demand for Treasury Debt (2012)The Aggregate Demand for Trea…The Effectiveness of Alternative Monetary Policy Tools in a Zero Lower Bound Environment (2011)The Effectiveness of Alternat…Price Pressure in the Government Bond Market (2010)Price Pressure in the Governm…A Preferred-Habitat Model of the Term Structure of Interest Rates (2009)A Preferred-Habitat Model of …Valuation in Over-the-Counter Markets (2006)Valuation in Over-the-Counter…Liquidity and Asset Prices (2006)Liquidity and Asset PricesAsset pricing with liquidity risk (2005)Asset pricing with liquidity …Over-the-Counter Markets (2004)Over-the-Counter MarketsLiquidity Risk and Expected Stock Returns (2003)Liquidity Risk and Expected S…The Flight-to-Liquidity Premium in U.S. Treasury Bond Prices (2002)The Flight-to-Liquidity Premi…The bond/old-bond spread (2002)The bond/old-bond spreadWho Should Buy Long-Term Bonds? (2001)Who Should Buy Long-Term Bond…Yield Spreads and Interest Rate Movements: A Bird's Eye View (1991)Yield Spreads and Interest Ra…The Information in Long-Maturity Forward Rates (1987)The Information in Long-Matur…Understanding spurious regressions in econometrics (1986)Understanding spurious regres…How Important Are Inflation Expectations for the Nominal Yield Curve? (2020)How Important Are Inflation E…Predictions of corporate bond excess returns (2014)Predictions of corporate bond…Key currency status: An exorbitant privilege and an extraordinary risk (2013)Key currency status: An exorb…Threat of fiscal dominance?Threat of fiscal dominance?Trends and random walks in macroeconomic time series (1988)Business conditions and expected returns on stocks and bonds (1989)Dynamic Asset Pricing Theory. (1993)Investor Psychology and Asset Pricing (2001)It's Baaack: Japan's Slump and the Return of the Liquidity Trap (1998)The Zero Bound on Interest Rates and Optimal Monetary Policy (2003)Zero Bound on Interest Rates and Optimal Monetary Policy (2003)Flow and stock effects of large-scale treasury purchases: Evidence on the importance of local supply (2012)The Financial Market Effects of the Federal Reserve's Large-Scale Asset Purchases (2012)Are Government Bonds Net Wealth? (1974)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Modeling Term Structures of Defaultable Bonds (1999)A Macroprudential Approach to Financial Regulation (2011)Monetary Policy as Financial Stability Regulation (2012)The Deposits Channel of Monetary Policy* (2017)Time Series Analysis, Forecasting and Control. (1971)Time Series Analysis: Forecasting and Control (1977)Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data (1993)Forecasting Economic Time Series (2000)Tourism as a long-run economic growth factor: the Spanish case (2002)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)The Bargaining Problem (1950)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Continuous Auctions and Insider Trading (1985)Corporate bond liquidity before and after the onset of the subprime crisis (2011)The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response (2013)Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis (1980)Cointegration and Tests of Present Value Models (1987)Term Premia and Interest Rate Forecasts in Affine Models (2002)A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables (2003)Bond Risk Premia (2005)The Market for "Lemons": Quality Uncertainty and the Market Mechanism (1970)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Valuation in Over-the-Counter Markets (2007)Does Earnings Quality Affect Information Asymmetry? Evidence from Trading Costs* (2012)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)Market Liquidity and Funding Liquidity (2008)A five-factor asset pricing model (2014)A General Equilibrium Approach To Monetary Theory (1969)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)Deviations from Covered Interest Rate Parity (2018)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Liquidity and leverage (2008)
this work references cited by second hop

References

  • 2003Liquidity Risk and Expected Stock Returns5,362 cited
  • 2005Asset pricing with liquidity risk2,816 cited
  • 1986Understanding spurious regressions in econometrics1,782 cited
  • 1991Yield Spreads and Interest Rate Movements: A Bird's Eye View1,780 cited
  • 2012The Aggregate Demand for Treasury Debt1,591 cited
  • 1987The Information in Long-Maturity Forward Rates1,552 cited
  • 2004Over-the-Counter Markets1,199 cited
  • 2006Liquidity and Asset Prices821 cited
  • 2009A Preferred-Habitat Model of the Term Structure of Interest Rates737 cited
  • 2011The Effectiveness of Alternative Monetary Policy Tools in a Zero Lower Bound Environment671 cited
  • 2001Who Should Buy Long-Term Bonds?624 cited
  • 2014Bond Supply and Excess Bond Returns517 cited
  • 2002The bond/old-bond spread514 cited
  • 2006Valuation in Over-the-Counter Markets338 cited
  • 2002The Flight-to-Liquidity Premium in U.S. Treasury Bond Prices319 cited
  • 2010Price Pressure in the Government Bond Market311 cited

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Cited by

  • 2014Predictions of corporate bond excess returns39 cited
  • 2013Key currency status: An exorbitant privilege and an extraordinary risk39 cited
  • 2020How Important Are Inflation Expectations for the Nominal Yield Curve?34 cited
  • n.d.Threat of fiscal dominance?18 cited