Essays about: "slope of the yield curve"

Showing result 1 - 5 of 16 essays containing the words slope of the yield curve.

  1. 1. Exploring the Factors Contributing to Bond Yield Spreads : A Garch Approach

    University essay from Linnéuniversitetet/Institutionen för nationalekonomi och statistik (NS)

    Author : Joakim Mårs; Tobias Stark; [2023]
    Keywords : ;

    Abstract : The goal of this study is to explore which factors contribute to bond yield spreads. To achieve this goal, this study utilizes a variety of GARCH models to find the best-fitting models to describe our data samples of callable, and non-callable bonds. READ MORE

  3. 2. Macroeconomic Factors and Stock Returns: Evidence from the Swedish Stock Market

    University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Author : Sebastian Nordenberg; Sebastian Shaqiri Johansson; [2020-02-18]
    Keywords : ;

    Abstract : This study investigates the relationship between stock returns and macroeconomic factors in a small, open economy by utilizing a vector autoregression (VAR) approach on Swedish large-cap, mid-cap, and small-cap data from 2003 to 2019. To determine the relationship between the macroeconomic factors and stock market return, Granger causality tests are run on each of the markets. READ MORE

  4. 3. Constructing the term structure of the U.S. corporate credit spread components - is there a relationship with the real economy?

    University essay from Handelshögskolan i Stockholm/Institutionen för nationalekonomi

    Author : Diana Iovanel; [2020]
    Keywords : Macro-finance; Term structure; Level factor; Slope factor; Business cycles;

    Abstract : This paper decomposes the credit spread of U.S. corporate bonds into a component driven by issuer default-risk and a component common to all bonds in the market. It then uses these components to develop a procedure for constructing their term structure. READ MORE

  5. 4. Bank Stock Returns and Monetary Policy Surprises: Before and After the Financial Crisis

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi; Handelshögskolan i Stockholm/Institutionen för nationalekonomi

    Author : Jean-Philippe Chakbazof; Ludvig Sviberg; [2020]
    Keywords : Monetary Policy; FOMC Announcements; Interest Rate Surprises; Maturity Mismatch;

    Abstract : Using daily bank stock data and quarterly balance sheet data, we estimate the reaction of bank stock returns and maturity mismatches to surprise changes in the federal funds rate and the slope of the yield curve on FOMC dates, before and after the financial crisis of 2008. We find that the reaction of U.S. READ MORE

  6. 5. A study of the determinant factors of the Swedish interest rate swap spread

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Christina Hu; [2019]
    Keywords : Interest rate swap contracts; SEK swap spread; slope of the yield curve; credit spread; treasury supply;

    Abstract : This study aims to find the driving determinant factors of the Swedish swap spread by identifying the potential determinants based on previous theoretical and empirical studies. The determinant factors studied in this paper are the slope of the yield curve, volatility, the credit spread, the treasury supply, the business cycle, and the Euro spread. READ MORE