151.
Credit Shock Propagation Along Supply Chains: Evidence from the CDS Market
Georgetown McDonough School of Business Research Paper No. 3078752
Number of pages: 61
Posted: 04 Dec 2017
Last Revised: 02 Mar 2020
Working Paper Series
George Washington University - School of Business, Department of Finance, McDonough School of Business, Georgetown University, University of Chicago - Booth School of Business and The Chinese University of Hong Kong (CUHK) - CUHK Business School
Downloads
853
152.
Definition of Price Stability, Range and Point Inflation Targets: The Anchoring of Long-Term Inflation Expectations
Number of pages: 52
Posted: 22 Jan 2004
Working Paper Series
University of Melbourne - Department of Economics, European Central Bank (ECB) and European Central Bank (ECB)
Downloads
853
153.
Retail Bank Interest Rate Pass-Through: New Evidence at the Euro Area Level
Number of pages: 43
Posted: 20 Jan 2003
Working Paper Series
European Central Bank (ECB)
Downloads
853
154.
Properties of Foreign Exchange Risk Premiums
Journal of Financial Economics (JFE), Forthcoming
Number of pages: 86
Posted: 24 Aug 2009
Last Revised: 27 Apr 2016
Accepted Paper Series
University of Cambridge - Judge Business School, University of Lugano - Institute of Finance and WU Vienna University of Economics and Business
There are 2 versions of this paper
Properties of Foreign Exchange Risk Premiums
Journal of Financial Economics (JFE), Forthcoming
Number of pages: 86
Posted: 24 Aug 2009
Last Revised: 27 Apr 2016
Downloads
847
Properties of Foreign Exchange Risk Premiums
CEPR Discussion Paper No. DP8503
Number of pages: 89
Posted: 12 Aug 2011
Downloads
4
Downloads
847
155.
Quantitative Easing and Proposals for Reform of Monetary Policy Operations
Bard College Levy Economics Institute Working Paper No. 645
Number of pages: 35
Posted: 24 Dec 2010
Working Paper Series
Wartburg College and University of Missouri at Kansas City
Downloads
847
156.
Multiple-Curve Valuation with One-Factor Hull-White Model
Number of pages: 7
Posted: 01 May 2012
Last Revised: 15 Mar 2014
Working Paper Series
FINCAD
Downloads
844
157.
The Term Structure of Interest-Rate Futures Prices
EFA 2001 Barcelona Meetings
Number of pages: 68
Posted: 13 Dec 1999
Working Paper Series
University of Strathclyde - Department of Accounting and Finance and New York University (NYU) - Department of Finance
There are 3 versions of this paper
The Term Structure of Interest-Rate Futures Prices
EFA 2001 Barcelona Meetings
Number of pages: 68
Posted: 13 Dec 1999
Downloads
841
The Term Structure of Interest-Rate Futures Prices.
NYU Working Paper No. S-DRP-01-11
Number of pages: 45
Posted: 07 Nov 2008
Downloads
54
The Term Structure of Interest-Rate Futures Prices
NYU Working Paper No. FIN-01-040
Number of pages: 45
Posted: 03 Nov 2008
Downloads
48
Downloads
841
158.
Modeling of Interest Rate Term Structures Under Collateralization and its Implications
Number of pages: 19
Posted: 25 Sep 2010
Working Paper Series
University of Tokyo - Faculty of Economics, Shinsei Bank, Ltd and University of Tokyo - Faculty of Economics
Downloads
837
159.
The Central Tendency: A Second Factor in Bond Yields
Number of pages: 26
Posted: 26 Oct 1995
Working Paper Series
Goldman Sachs Group, Inc. - Quantitative Strategy Group, Boston College - Carroll School of Management and Santa Clara University - Leavey School of Business
There are 6 versions of this paper
The Central Tendency: A Second Factor in Bond Yields
Number of pages: 26
Posted: 26 Oct 1995
Downloads
836
The Central Tendency: A Second Factor in Bond Yields
NBER Working Paper No. w6325
Number of pages: 28
Posted: 27 Jun 2000
Last Revised: 04 Apr 2008
Downloads
38
The Central Tendency: A Second Factor in Bond Yields
NYU Working Paper No. FIN-94-009
Number of pages: 14
Posted: 11 Nov 2008
Downloads
38
The Central Tendency: A Second Factor in Bond Yields
NYU Working Paper No. FIN-96-012
Number of pages: 29
Posted: 07 Nov 2008
Downloads
27
The Central Tendency: A Second Factor in Bond Yields
NYU Working Paper No. FIN-95-007
Number of pages: 23
Posted: 11 Nov 2008
Downloads
22
The Central Tendency: A Second Factor in Bond Yields
Review of Economics and Statistics, Vol. 80, No. 1, 1998
Posted: 09 Mar 2011
Last Revised: 14 Mar 2011
Downloads
836
160.
CMS Spread Options and Similar Options in Multi-Factor HJM Framework
Number of pages: 16
Posted: 14 May 2010
Working Paper Series
BNP Paribas Fortis and muRisQ Advisory
Downloads
828
161.
Forecasting Spot Interest Rate Volatility
Number of pages: 54
Posted: 27 Mar 2000
Working Paper Series
Nova School of Business and Economics
Downloads
817
162.
Downloads
816
163.
The Discretization Filter: A Simple Way to Estimate Nonlinear State Space Models
Number of pages: 71
Posted: 17 May 2016
Last Revised: 29 Apr 2020
Working Paper Series
University of Virginia
Downloads
814
164.
International Capital Flows and U.S. Interest Rates
FRB International Finance Discussion Paper No. 840, IIIS Discussion Paper No. 103
Number of pages: 45
Posted: 05 Oct 2005
Working Paper Series
University of Virginia - Darden Business School and Darden Business School
There are 2 versions of this paper
International Capital Flows and U.S. Interest Rates
FRB International Finance Discussion Paper No. 840, IIIS Discussion Paper No. 103
Number of pages: 45
Posted: 05 Oct 2005
Downloads
807
International Capital Flows and U.S. Interest Rates
NBER Working Paper No. w12560
Number of pages: 46
Posted: 08 Oct 2006
Last Revised: 06 Feb 2021
Downloads
71
Downloads
807
165.
Correlating Market Models
Number of pages: 10
Posted: 24 May 2003
Working Paper Series
Commonwealth Bank of Australia, ANZ Investment Bank and University of Technology Sydney (UTS), Quantitative Finance Research Centre
Downloads
803
166.
Maximum Likelihood Estimation of Non-Linear Continuous-Time Term-Structure Models
Number of pages: 39
Posted: 21 Aug 1996
Working Paper Series
Danske Bank - Danske Markets
Downloads
802
167.
A General Stochastic Volatility Model for the Pricing of Interest Rate Derivatives
Review of Financial Studies, vol. 22, no. 5, p. 2007-2057, 2009
Number of pages: 66
Posted: 06 Mar 2007
Last Revised: 11 Feb 2016
Accepted Paper Series
Copenhagen Business School - Department of Finance and Simon Fraser University (SFU)
There are 2 versions of this paper
A General Stochastic Volatility Model for the Pricing of Interest Rate Derivatives
Review of Financial Studies, vol. 22, no. 5, p. 2007-2057, 2009
Number of pages: 66
Posted: 06 Mar 2007
Last Revised: 11 Feb 2016
Downloads
800
A General Stochastic Volatility Model for the Pricing of Interest Rate Derivatives
Review of Financial Studies, vol. 22, no. 5, p. 2007-2057, 2009
Posted: 13 Apr 2009
Last Revised: 11 Feb 2016
Downloads
800
168.
Generalizing the Affine Framework to HJM and Random Field Models
Number of pages: 51
Posted: 23 Jun 2003
Working Paper Series
Ecole Polytechnique Fédérale de Lausanne and University of Minnesota - Twin Cities - Carlson School of Management
Downloads
800
169.
Bond Portfolio Optimization Using Dynamic Factor Models
Number of pages: 49
Posted: 07 Jun 2012
Last Revised: 23 Nov 2015
Working Paper Series
Universidade Federal do Rio Grande do Sul (UFRGS), Universidade Federal de Santa Catarina (UFSC) - Department of Economics and Universidade Federal de Santa Catarina (UFSC) - Department of Economics
Downloads
797
170.
A No-Arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables
Number of pages: 44
Posted: 22 Nov 1999
Working Paper Series
BlackRock, Inc and University of Chicago - Booth School of Business
There are 2 versions of this paper
A No-Arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables
Number of pages: 44
Posted: 22 Nov 1999
Downloads
794
A No-Arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables
NBER Working Paper No. w8363
Number of pages: 51
Posted: 28 Jun 2001
Last Revised: 20 Aug 2001
Downloads
279
Downloads
794
171.
A Multicurrency Extension of the Lognormal Interest Rate Market Models
Number of pages: 13
Posted: 01 Aug 1999
Working Paper Series
University of Technology Sydney (UTS), Quantitative Finance Research Centre
Downloads
783
172.
CMS Swaps and Caps in One-Factor Gaussian Models
Number of pages: 9
Posted: 14 May 2007
Last Revised: 12 Feb 2008
Working Paper Series
muRisQ Advisory
Downloads
777
173.
Deriving Inflation Expectations from Nominal and Inflation-Indexed Treasury Yields
Number of pages: 24
Posted: 21 Aug 2000
Working Paper Series
Board of Governors of the Federal Reserve - Monetary and Financial Market Analysis Section
Downloads
763
174.
Credit Spreads and Real Activity
EFA 2008 Athens Meetings Paper
Number of pages: 72
Posted: 24 Mar 2008
Last Revised: 15 Mar 2011
Working Paper Series
Warwick Business School Finance Group
Downloads
761
175.
GPU Pricing of Exotic Cross-Currency Interest Rate Derivatives with a Foreign Exchange Volatility Skew Model
Number of pages: 16
Posted: 08 Feb 2010
Last Revised: 26 Feb 2011
Working Paper Series
University of Queensland - School of Mathematics and Physics, University of Toronto - Department of Computer Science and University of Toronto - Department of Computer Science
Downloads
757
176.
A No-Arbitrage Analysis of Economic Determinants of the Credit Spread Term Structure
FEDS Discussion Paper No. 2005-59, Management Science, Forthcoming
Number of pages: 33
Posted: 21 Mar 2005
Last Revised: 15 Jun 2008
Accepted Paper Series
City University of New York, CUNY Baruch College - Zicklin School of Business and Morgan Stanley
Downloads
756
177.
Corporate Governance in Banks – A View Through the LIBOR Lens
Journal of Banking Regulation (2013)
Number of pages: 14
Posted: 27 May 2013
Last Revised: 11 Aug 2013
Accepted Paper Series
University of Ottawa - Common Law Section and University of Ottawa - Faculty of Law
Downloads
750
178.
Common Factors in International Bond Returns
Number of pages: 34
Posted: 11 Apr 2000
Working Paper Series
Tilburg University - Tilburg University School of Economics and Management, Tilburg University - Tilburg University School of Economics and Management and Tilburg University - Center for Economic Research (CentER)
Downloads
746
179.
The Solow Model in an Open Economy
Journal of Management and Financial Sciences, Vol. 1, No. 1, October 2008
Number of pages: 23
Posted: 15 Oct 2009
Last Revised: 09 Jun 2013
Accepted Paper Series
Warsaw School of Economics (SGH)
Downloads
746
180.
The Evolution and Determinants of Emerging Market Credit Spreads in the 1990s
Number of pages: 48
Posted: 12 Jul 2000
Working Paper Series
Board of Governors of the Federal Reserve System and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads
744
181.
The Time Value of a Digital Currency: Bitcoin Interest Rates Dynamics
Number of pages: 5
Posted: 07 May 2014
Working Paper Series
Mazars Actuariat
Downloads
740
182.
Real Interest Rate and Growth Rate: Theory and Empirical Evidence
Frontiers in Finance and Economics, Vol. 8, No. 2, pp.136-152, 2011
Number of pages: 17
Posted: 29 Feb 2012
Accepted Paper Series
Université Paris II - Panthéon-Assas
Downloads
738
183.
Risk Premia and Volatilities in a Nonlinear Term Structure Model
Review of Finance, Forthcoming, Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 74
Posted: 01 Apr 2013
Last Revised: 02 Sep 2020
Accepted Paper Series
Copenhagen Business School, Indiana University - Kelley School of Business - Department of Finance and Texas A&M University - Mays Business School - Finance Department
Downloads
734
184.
Monetary Policy Surprises and the Yield Curve
Bank of England Working Paper No. 106
Number of pages: 41
Posted: 16 Nov 2000
Working Paper Series
Bank of England and Bank of England
Downloads
731
185.
An Efficient Numerical PDE Approach for Pricing Foreign Exchange Interest Rate Hybrid Derivatives
Number of pages: 38
Posted: 26 Mar 2012
Last Revised: 05 May 2013
Working Paper Series
University of Queensland - School of Mathematics and Physics, University of Toronto - Department of Computer Science, University of Toronto - Department of Computer Science and Algorithmics Inc.
Downloads
723
186.
An Introduction to Microcredit: Why Money is Flowing from the Rich to the Poor
Cahiers du CEREN Working Paper No. 21
Number of pages: 13
Posted: 04 Feb 2008
Last Revised: 02 Nov 2013
Working Paper Series
CEREN EA 7477 Burgundy School of Business - Université Bourgogne Franche-Comté
Downloads
719
187.
Macroeconomic Consequences of Accounting: The Effect of Accounting Conservatism on Macroeconomic Indicators and the Money Supply
Accounting Review, Forthcoming, Kelley School of Business Research Paper No. 2015-02
Number of pages: 45
Posted: 11 May 2011
Last Revised: 20 Jan 2019
Accepted Paper Series
University of Arkansas
Downloads
714
188.
PV and XVA Greeks for Callable Exotics by Algorithmic Differentiation
Number of pages: 35
Posted: 09 Dec 2016
Last Revised: 27 Feb 2017
Working Paper Series
Danske Bank - Danske Markets, Numerix, Numerix, Numerix and Numerix
Downloads
709
189.
Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models
AFA 2007 Chicago Meetings Paper, FRB of Chicago Working Paper No. 2006-15
Number of pages: 61
Posted: 15 Mar 2006
Last Revised: 25 Jun 2008
Working Paper Series
Northwestern University - Kellogg School of Management and Federal Reserve Bank of Chicago - Research Department
There are 2 versions of this paper
Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models
AFA 2007 Chicago Meetings Paper, FRB of Chicago Working Paper No. 2006-15
Number of pages: 61
Posted: 15 Mar 2006
Last Revised: 25 Jun 2008
Downloads
707
Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models
NBER Working Paper No. w12962
Number of pages: 59
Posted: 15 Mar 2007
Last Revised: 03 Sep 2010
Downloads
35
Downloads
707
190.
Learning From Disagreement in the U.S. Treasury Bond Market
Stanford University Graduate School of Business Research Paper No. 15-45, Journal of Finance, Forthcoming
Number of pages: 48
Posted: 26 Jul 2015
Last Revised: 12 May 2020
Accepted Paper Series
Marshall School of Business, AQR Capital Management, LLC and Stanford University - Graduate School of Business
Downloads
703
191.
Financial Market Failure as a Crisis in the Rule of Law: From Market Fundamentalism to a New Keynesian Regulatory Model
Harvard Law & Policy Review, Vol. 3, 2009
, Chapman University Law Research Paper No. 09-39
Number of pages: 29
Posted: 17 Oct 2009
Last Revised: 13 Mar 2011
Accepted Paper Series
Nova Southeastern University Shepard Broad Law Center
Downloads
702
192.
Household Interest Rate Risk Management
AFA 2007 Chicago Meetings Paper, EFA 2006 Zurich Meetings
Number of pages: 55
Posted: 15 Mar 2006
Last Revised: 23 Feb 2009
Working Paper Series
Man AHL
There are 2 versions of this paper
Household Interest Rate Risk Management
AFA 2007 Chicago Meetings Paper, EFA 2006 Zurich Meetings
Number of pages: 55
Posted: 15 Mar 2006
Last Revised: 23 Feb 2009
Downloads
698
Household Interest Rate Risk Management
Real Estate Economics, Vol. 38, No. 3, pp. 467-505, Fall 2010
Number of pages: 39
Posted: 18 Aug 2010
Downloads
2
Downloads
698
193.
Interest Rate Liberalization: Some Lessons from Africa
IMF Working Paper No. 91/121
Number of pages: 46
Posted: 15 Feb 2006
Working Paper Series
Deutsche Bank, London
Downloads
698
194.
The Missing Risk Premium in Exchange Rates
Swedish House of Finance Research Paper No. 17-18
Number of pages: 71
Posted: 14 Dec 2016
Last Revised: 14 Apr 2021
Working Paper Series
Stockholm School of Economics and University of Luxembourg
Downloads
698
195.
Recession Prediction Using Yield Curve and Stock Market Liquidity Deviation Measures
The Review of Finance, Volume 19, Number 1, March 2015
Number of pages: 21
Posted: 18 Apr 2013
Last Revised: 18 Dec 2016
Accepted Paper Series
Piri Reis University, Fordham University Business School and Istanbul Bilgi University
Downloads
695
196.
The Expectations Theory of the Term Structure of Interest Rates and Monetary Policy
Number of pages: 28
Posted: 16 Jul 2000
Working Paper Series
University of Murcia and University of Castilla-La Mancha
Downloads
694
197.
A Three-Factor Yield Curve Model: Non-Affine Structure, Systematic Risk Sources, and Generalized Duration
PIER Working Paper No. 06-017
Number of pages: 44
Posted: 21 Jun 2006
Working Paper Series
University of Pennsylvania - Department of Economics, University of Pennsylvania - Department of Economics and University of California, Riverside (UCR) - A. Gary Anderson Graduate School of Management
Downloads
692
198.
Measuring the Natural Rate of Interest
Number of pages: 27
Posted: 17 Dec 2001
Working Paper Series
Board of Governors of the Federal Reserve System and Federal Reserve Bank of New York
Downloads
689
199.
Affine Diffusion Processes: Theory and Applications
Number of pages: 30
Posted: 22 Feb 2009
Last Revised: 22 Feb 2009
Working Paper Series
Ecole Polytechnique Fédérale de Lausanne and University of Limerick - Department of Mathematics and Statistics
Downloads
686
200.
Cointegration and Threshold Adjustment
Number of pages: 24
Posted: 24 Feb 1998
Working Paper Series
Wilfrid Laurier University - School of Business & Economics and University of Alabama - Department of Economics, Finance and Legal Studies
There are 2 versions of this paper
Downloads
682
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