Common Factors in International Bond Returns and a Joint ATSM to Match Them
نویسنده
چکیده
The existence of common factors in international bond markets is an important cause for modelling different term structures of interest rates jointly. This paper investigates the common factors of US and UK treasury yields in the period of 1983 to 2012. A principal component analysis motivates the type of joint ATSM for modelling the yield curves of two distinct economies. In sum, two common factors explain 85% of the yield variation and the model factors have a solid economic intuition.
منابع مشابه
Joint affine term structure models: Conditioning information in international bond portfolios
In this paper, we propose a simple model for international bond investment. The investor can optimize a government bond portfolio in a discrete time horizon conditional on the common and local factors in international bond returns. The variation in the cross section and time series of treasury yields is captured by a joint affine term structure model (ATSM). Easy closed form solutions for the r...
متن کاملEstimating Returns to Scale in the Presence of Undesirable Factors in Data Envelopment Analysis
This research identifies returns to scale (RTS) of efficient decision making units (DMUs) with desirable (good) and undesirable (bad) inputs and outputs by presenting a new DEA (data envelopment analysis) approach. In this study, we first introduce a new input-output oriented model to determine efficient DMUs in the presence of undesirable factors and then, returns to scale of these DMUs are es...
متن کاملExplaining bond returns in heterogeneous agent models: The importance of higher-order moments
This paper examines the higher-order moments and nonlinear dynamic properties of discount bond returns in an equilibrium heterogeneous agent economy with incomplete markets and borrowing constraints. We "nd that while it is possible for the economic model to match the mean and variance of the observed bond returns by choosing the parameters such that the borrowing constraint is binding su$cient...
متن کاملAnalyzing the Impact of Credit Ratings on Firm Performance and Stock Returns: Evidence from Taiwan
The respective study covers three aspects; factors determining credit rating, credit rating impact on performance of entities and the relation between stock returns and credit rating. The study focuses on the firms listed in Taiwan Stock Exchange (TSE) of Taiwan. The empirical analysis uses the data of 50 firms rated by Taiwan Ratings Corporation (TRC) for the period 2010-2015. Two estimation t...
متن کاملA new approach to predict of mechanical properties at the interface of Aluminium/Copper explosive cladding by explosive scarf welding
Abstract: The purpose of this study is to produce scarf joint through explosive welding process (EXW). The scarf weld is a process in which the final bond interface is oblique. With applying the explosive welding technique, this joint can create a metallic bond between similar or dissimilar metals. In this study, chamfered end of aluminum and copper plates were joined explosively and named scar...
متن کامل