Jun Yang
Personal Details
First Name: | Jun |
Middle Name: | |
Last Name: | Yang |
Suffix: | |
RePEc Short-ID: | pya437 |
[This author has chosen not to make the email address public] | |
Terminal Degree: | 2003 Department of Economics; University of Toronto (from RePEc Genealogy) |
Affiliation
Bank of Canada
Ottawa, Canadahttp://www.bank-banque-canada.ca/
RePEc:edi:bocgvca (more details at EDIRC)
Research output
Jump to: Working papersWorking papers
- Rohan Arora & Guillaume Ouellet Leblanc & Jabir Sandhu & Jun Yang, 2019. "Using Exchange-Traded Funds to Measure Liquidity in the Canadian Corporate Bond Market," Staff Analytical Notes 2019-25, Bank of Canada.
- Bo Young Chang & Jun Yang & Parker Liu, 2018. "The Cost of the Government Bond Buyback and Switch Programs in Canada," Staff Analytical Notes 2018-41, Bank of Canada.
- Chen Fan & Sermin Gungor & Guillaume Nolin & Jun Yang, 2018. "Have Liquidity and Trading Activity in the Canadian Provincial Bond Market Deteriorated?," Staff Analytical Notes 2018-30, Bank of Canada.
- Chen Fan & Sermin Gungor & Guillaume Nolin & Jun Yang, 2018. "Have Liquidity and Trading Activity in the Canadian Corporate Bond Market Deteriorated?," Staff Analytical Notes 2018-31, Bank of Canada.
- Sermin Gungor & Jun Yang, 2017. "Has Liquidity in Canadian Government Bond Markets Deteriorated?," Staff Analytical Notes 17-10, Bank of Canada.
- Teodora Paligorova & Jun Yang, 2014. "Corporate Governance, Product Market Competition and Debt Financing," Staff Working Papers 14-5, Bank of Canada.
- Hui Chen & Yu Xu & Jun Yang, 2012.
"Systematic Risk, Debt Maturity and the Term Structure of Credit Spreads,"
Staff Working Papers
12-27, Bank of Canada.
- Hui Chen & Yu Xu & Jun Yang, 2012. "Systematic Risk, Debt Maturity, and the Term Structure of Credit Spreads," NBER Working Papers 18367, National Bureau of Economic Research, Inc.
- Fousseni Chabi-Yo & Jun Yang, 2010. "Idiosyncratic Coskewness and Equity Return Anomalies," Staff Working Papers 10-11, Bank of Canada.
- Chabi-Yo, Fousseni & Yang, Jun, 2009. "Default Risk, Idiosyncratic Coskewness and Equity Returns," Working Paper Series 2009-18, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
- Stuart Turnbull & Jun Yang, 2008. "Default Dependence: The Equity Default Relationship," Staff Working Papers 08-1, Bank of Canada.
- Fousseni Chabi-Yo & Jun Yang, 2007. "A No-Arbitrage Analysis of Macroeconomic Determinants of Term Structures and the Exchange Rate," Staff Working Papers 07-21, Bank of Canada.
Citations
Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.Working papers
- Chen Fan & Sermin Gungor & Guillaume Nolin & Jun Yang, 2018.
"Have Liquidity and Trading Activity in the Canadian Provincial Bond Market Deteriorated?,"
Staff Analytical Notes
2018-30, Bank of Canada.
Cited by:
- Jean-Sébastien Fontaine & Corey Garriott & Jesse Johal & Jessica Lee & Andreas Uthemann, 2021. "COVID-19 Crisis: Lessons Learned for Future Policy Research," Discussion Papers 2021-2, Bank of Canada.
- Jessica Lee & Jabir Sandhu & Adrian Walton, 2019. "Borrowing Costs for Government of Canada Treasury Bills," Staff Analytical Notes 2019-28, Bank of Canada.
- Rohan Arora & Guillaume Bédard-Pagé & Guillaume Ouellet Leblanc & Ryan Shotlander, 2019. "Bond Funds and Fixed-Income Market Liquidity: A Stress-Testing Approach," Technical Reports 115, Bank of Canada.
- Chen Fan & Sermin Gungor & Guillaume Nolin & Jun Yang, 2018. "Have Liquidity and Trading Activity in the Canadian Corporate Bond Market Deteriorated?," Staff Analytical Notes 2018-31, Bank of Canada.
- Rohan Arora & Guillaume Ouellet Leblanc & Jabir Sandhu & Jun Yang, 2019. "Using Exchange-Traded Funds to Measure Liquidity in the Canadian Corporate Bond Market," Staff Analytical Notes 2019-25, Bank of Canada.
- Chen Fan & Sermin Gungor & Guillaume Nolin & Jun Yang, 2018.
"Have Liquidity and Trading Activity in the Canadian Corporate Bond Market Deteriorated?,"
Staff Analytical Notes
2018-31, Bank of Canada.
Cited by:
- Jean-Sébastien Fontaine & Corey Garriott & Jesse Johal & Jessica Lee & Andreas Uthemann, 2021. "COVID-19 Crisis: Lessons Learned for Future Policy Research," Discussion Papers 2021-2, Bank of Canada.
- Jessica Lee & Jabir Sandhu & Adrian Walton, 2019. "Borrowing Costs for Government of Canada Treasury Bills," Staff Analytical Notes 2019-28, Bank of Canada.
- Rohan Arora & Guillaume Bédard-Pagé & Guillaume Ouellet Leblanc & Ryan Shotlander, 2019. "Bond Funds and Fixed-Income Market Liquidity: A Stress-Testing Approach," Technical Reports 115, Bank of Canada.
- Rohan Arora & Guillaume Ouellet Leblanc & Jabir Sandhu & Jun Yang, 2019. "Using Exchange-Traded Funds to Measure Liquidity in the Canadian Corporate Bond Market," Staff Analytical Notes 2019-25, Bank of Canada.
- Sermin Gungor & Jun Yang, 2017.
"Has Liquidity in Canadian Government Bond Markets Deteriorated?,"
Staff Analytical Notes
17-10, Bank of Canada.
Cited by:
- Jean-Sébastien Fontaine & Corey Garriott & Jesse Johal & Jessica Lee & Andreas Uthemann, 2021. "COVID-19 Crisis: Lessons Learned for Future Policy Research," Discussion Papers 2021-2, Bank of Canada.
- Adam Albogatchiev & Jean-Sébastien Fontaine & Jabir Sandhu & Reginald Xie, 2018. "The Impact of Surprising Monetary Policy Announcements on Exchange Rate Volatility," Staff Analytical Notes 2018-39, Bank of Canada.
- Jean-Sébastien Fontaine & Jabir Sandhu & Adrian Walton, 2019. "Relative Value of Government of Canada Bonds," Staff Analytical Notes 2019-23, Bank of Canada.
- Corey Garriott & Sophie Lefebvre & Guillaume Nolin & Francisco Rivadeneyra & Adrian Walton, 2020.
"Alternative futures for Government of Canada debt management,"
Journal of Financial Economic Policy, Emerald Group Publishing Limited, vol. 12(4), pages 659-685, January.
- Corey Garriott & Sophie Lefebvre & Guillaume Nolin & Francisco Rivadeneyra & Adrian Walton, 2018. "Alternative Futures for Government of Canada Debt Management," Discussion Papers 18-15, Bank of Canada.
- Chen Fan & Sermin Gungor & Guillaume Nolin & Jun Yang, 2018. "Have Liquidity and Trading Activity in the Canadian Provincial Bond Market Deteriorated?," Staff Analytical Notes 2018-30, Bank of Canada.
- Léanne Berger-Soucy & Corey Garriott & André Usche, 2018. "Government of Canada Fixed-Income Market Ecology," Discussion Papers 18-10, Bank of Canada.
- Jessica Lee & Jabir Sandhu & Adrian Walton, 2019. "Borrowing Costs for Government of Canada Treasury Bills," Staff Analytical Notes 2019-28, Bank of Canada.
- Jean-Sébastien Fontaine & Jeffrey Gao & Jabir Sandhu & Kobe Wu, 2017. "Do Liquidity Proxies Measure Liquidity in Canadian Bond Markets?," Staff Analytical Notes 17-23, Bank of Canada.
- Rohan Arora & Guillaume Bédard-Pagé & Guillaume Ouellet Leblanc & Ryan Shotlander, 2019. "Bond Funds and Fixed-Income Market Liquidity: A Stress-Testing Approach," Technical Reports 115, Bank of Canada.
- Chen Fan & Sermin Gungor & Guillaume Nolin & Jun Yang, 2018. "Have Liquidity and Trading Activity in the Canadian Corporate Bond Market Deteriorated?," Staff Analytical Notes 2018-31, Bank of Canada.
- Rohan Arora & Guillaume Ouellet Leblanc & Jabir Sandhu & Jun Yang, 2019. "Using Exchange-Traded Funds to Measure Liquidity in the Canadian Corporate Bond Market," Staff Analytical Notes 2019-25, Bank of Canada.
- Narayan Bulusu & Sermin Gungor, 2021. "The life cycle of trading activity and liquidity of Government of Canada bonds: Evidence from cash, repo and securities lending markets," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 54(2), pages 557-581, May.
- Teodora Paligorova & Jun Yang, 2014.
"Corporate Governance, Product Market Competition and Debt Financing,"
Staff Working Papers
14-5, Bank of Canada.
Cited by:
- Sandvik, Jason, 2020. "Board monitoring, director connections, and credit quality☆," Journal of Corporate Finance, Elsevier, vol. 65(C).
- Debasis Pahi & Inder Sekhar Yadav, 2022. "Product market competition, agency cost and dividend payouts: new evidence from emerging market," Journal of Management & Governance, Springer;Accademia Italiana di Economia Aziendale (AIDEA), vol. 26(3), pages 925-956, September.
- Hui Chen & Yu Xu & Jun Yang, 2012.
"Systematic Risk, Debt Maturity and the Term Structure of Credit Spreads,"
Staff Working Papers
12-27, Bank of Canada.
- Hui Chen & Yu Xu & Jun Yang, 2012. "Systematic Risk, Debt Maturity, and the Term Structure of Credit Spreads," NBER Working Papers 18367, National Bureau of Economic Research, Inc.
Cited by:
- Wan-Chien Chiu & Chih-Wei Wang & Wei-Ning Wu & Chuan-Ju Lin, 2017. "Impact of Rollover Risk and Corporate Policy on Extreme Risk in the Taiwanese Manufacturing Industry," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 20(03), pages 1-20, September.
- Balli, Faruk & Chowdhury, Md Iftekhar Hasan & de Bruin, Anne, 2022. "Transition to Islamic equities: Systematic risk and Shari'ah compliance," Global Finance Journal, Elsevier, vol. 51(C).
- Max Bruche & Anatoli Segura, 2013.
"Debt Maturity and the Liquidity of Secondary Debt Markets,"
Working Papers
wp2013_1303, CEMFI.
- Bruche, Max & Segura, Anatoli, 2013. "Debt maturity and the liquidity of secondary debt markets," LSE Research Online Documents on Economics 55404, London School of Economics and Political Science, LSE Library.
- Max Bruche & Anatoli Segura, 2013. "Debt Maturity and the Liquidity of Secondary Debt Markets," FMG Discussion Papers dp726, Financial Markets Group.
- Bruche, Max & Segura, Anatoli, 2017. "Debt maturity and the liquidity of secondary debt markets," Journal of Financial Economics, Elsevier, vol. 124(3), pages 599-613.
- Max Bruche & Anatoli Segura, 2016. "Debt maturity and the liquidity of secondary debt markets," Temi di discussione (Economic working papers) 1049, Bank of Italy, Economic Research and International Relations Area.
- Cortina Lorente,Juan Jose & Didier Brandao,Tatiana & Schmukler,Sergio L., 2020.
"Global Corporate Debt during Crises : Implications of Switching Borrowing across Markets,"
Policy Research Working Paper Series
9142, The World Bank.
- Cortina, Juan J. & Didier, Tatiana & Schmukler, Sergio L., 2021. "Global corporate debt during crises: Implications of switching borrowing across markets," Journal of International Economics, Elsevier, vol. 131(C).
- Wang, Chih-Wei & Chiu, Wan-Chien & Peña, Juan Ignacio, 2017. "Effect of rollover risk on default risk: Evidence from bank financing," International Review of Financial Analysis, Elsevier, vol. 54(C), pages 130-143.
- Mohammed Benlemlih, 2017. "Corporate Social Responsibility and Firm Debt Maturity," Journal of Business Ethics, Springer, vol. 144(3), pages 491-517, September.
- Julian Kozlowski, 2021.
"Long-Term Finance and Investment with Frictional Asset Markets,"
American Economic Journal: Macroeconomics, American Economic Association, vol. 13(4), pages 411-448, October.
- Julian Kozlowski, 2017. "Long-Term Finance and Investment with Frictional Asset Markets," Working Papers 2018-12, Federal Reserve Bank of St. Louis.
- Choi, Jaewon & Hackbarth, Dirk & Zechner, Josef, 2021.
"Granularity of Corporate Debt,"
Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 56(4), pages 1127-1162, June.
- Choi, Jaewon & Hackbarth, Dirk & Zechner, Josef, 2013. "Granularity of corporate debt," CFS Working Paper Series 2013/26, Center for Financial Studies (CFS).
- Choi, Jaewon & Hackbarth, Dirk & Zechner, Josef, 2018.
"Corporate debt maturity profiles,"
Journal of Financial Economics, Elsevier, vol. 130(3), pages 484-502.
- Zechner, Josef & Choi, Jaewon & Hackbarth, Dirk, 2017. "Corporate Debt Maturity Profiles," CEPR Discussion Papers 12289, C.E.P.R. Discussion Papers.
- Wang, Chih-Wei & Chiu, Wan-Chien & King, Tao-Hsien Dolly, 2020. "Debt maturity and the cost of bank loans," Journal of Banking & Finance, Elsevier, vol. 112(C).
- Xue-Zhong He & Eva Lütkebohmert & Yajun Xiao, 2017. "Rollover risk and credit risk under time-varying margin," Quantitative Finance, Taylor & Francis Journals, vol. 17(3), pages 455-469, March.
- Saki Bigio & Galo Nuño & Juan Passadore, 2019.
"A Framework for Debt-Maturity Management,"
Working Papers
143, Peruvian Economic Association.
- Saki Bigio & Galo Nuño & Juan Passadore, 2019. "A framework for debt-maturity management," Working Papers 1919, Banco de España.
- Luca Benzoni & Lorenzo Garlappi & Robert S. Goldstein & Julien Hugonnier & Chao Ying, 2020. "Optimal Debt Dynamics, Issuance Costs, and Commitment," Working Paper Series WP-2020-20, Federal Reserve Bank of Chicago.
- Chang, Xin & Chen, Yunling & Dasgupta, Sudipto, 2019. "Macroeconomic conditions, financial constraints, and firms’ financing decisions," Journal of Banking & Finance, Elsevier, vol. 101(C), pages 242-255.
- João F. Gomes & Lukas Schmid, 2021. "Equilibrium Asset Pricing with Leverage and Default," Journal of Finance, American Finance Association, vol. 76(2), pages 977-1018, April.
- Wang, Chih-Wei & Chiu, Wan-Chien, 2019. "Effect of short-term debt on default risk: Evidence from Pacific Basin countries," Pacific-Basin Finance Journal, Elsevier, vol. 57(C).
- Lotfaliei, Babak, 2018. "The variance risk premium and capital structure," ESRB Working Paper Series 70, European Systemic Risk Board.
- Ansgar Walther, 2016. "Jointly Optimal Regulation of Bank Capital and Liquidity," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 48(2-3), pages 415-448, March.
- Zhiguo He & Konstantin Milbradt, 2016.
"Dynamic Debt Maturity,"
NBER Working Papers
21919, National Bureau of Economic Research, Inc.
- Zhiguo He & Konstantin Milbradt, 2016. "Dynamic Debt Maturity," The Review of Financial Studies, Society for Financial Studies, vol. 29(10), pages 2677-2736.
- Tedeschi, Gabriele & Vidal-Tomás, David & Delli-Gatti, Domenico & Gallegati, Mauro, 2021. "The macroeconomic effects of default and debt restructuring: An agent based exploration," International Review of Economics & Finance, Elsevier, vol. 76(C), pages 1146-1163.
- Ram Yamarthy, 2019. "Corporate Debt Maturity and the Real Economy," 2019 Meeting Papers 627, Society for Economic Dynamics.
- Hui Chen & Rui Cui & Zhiguo He & Konstantin Milbradt, 2014.
"Quantifying Liquidity and Default Risks of Corporate Bonds over the Business Cycle,"
NBER Working Papers
20638, National Bureau of Economic Research, Inc.
- Hui Chen & Rui Cui & Zhiguo He & Konstantin Milbradt, 2018. "Quantifying Liquidity and Default Risks of Corporate Bonds over the Business Cycle," The Review of Financial Studies, Society for Financial Studies, vol. 31(3), pages 852-897.
- Dorsaf Ben Aissia & Narjess Skhiri Hellara, 2019. "Systematic risk, the tradeoff of leverage and IPO first-day returns," Review of Quantitative Finance and Accounting, Springer, vol. 53(1), pages 239-256, July.
- Julian Kozlowski, 2017. "Long-Term Finance and Economic Development: The Role of Liquidity in Corporate Debt Markets," 2017 Meeting Papers 699, Society for Economic Dynamics.
- Spohr, Jonas & Wikström, Kim & Ronikonmäki, Niko-Matti & Lepech, Michael & In, Soh Young, 2024. "Are private investors overcompensated in infrastructure projects?," Transport Policy, Elsevier, vol. 152(C), pages 1-8.
- Galya Taseva, 2020. "Determinants of Short-term Liabilities of Financially Distressed SME-s," Business Management, D. A. Tsenov Academy of Economics, Svishtov, Bulgaria, issue 1 Year 20, pages 5-24.
- Saki Bigio & Galo Nuño & Juan Passadore, 2019.
"Debt-Maturity Management with Liquidity Costs,"
NBER Working Papers
25808, National Bureau of Economic Research, Inc.
- Saki Bigio & Galo Nuño & Juan Passadore, 2023. "Debt-Maturity Management with Liquidity Costs," Journal of Political Economy Macroeconomics, University of Chicago Press, vol. 1(1), pages 119-190.
- Li, Shouwei & Liu, Yifu & Wu, Chaoqun, 2020. "Systemic risk in bank-firm multiplex networks," Finance Research Letters, Elsevier, vol. 33(C).
- Andy - & S. H. Hengky, 2021. "Contraction of Capital Investment in Retail Trade Sub-Sector Companies on the Indonesia Stock Exchange," Business and Economic Research, Macrothink Institute, vol. 11(3), pages 19-34, December.
- Konstantin Milbradt & Martin Oehmke, 2014. "Maturity Rationing and Collective Short-Termism," NBER Working Papers 19946, National Bureau of Economic Research, Inc.
- Ansgar Walther, 2014. "Jointly optimal regulation of bank capital and maturity structure," Economics Series Working Papers 725, University of Oxford, Department of Economics.
- Juan Sanchez & Rodolfo Manuelli, 2016.
"Endogenous Debt Maturity: Liquidity Risk vs. Default Risk,"
2016 Meeting Papers
1435, Society for Economic Dynamics.
- Rodolfo Manuelli & Juan Sanchez, 2019. "Endogenous Debt Maturity: Liquidity Risk vs. Default Risk," 2019 Meeting Papers 1103, Society for Economic Dynamics.
- Rodolfo E. Manuelli & Juan M. Sanchez, 2018. "Endogenous Debt Maturity: Liquidity Risk vs. Default Risk," Working Papers 2018-34, Federal Reserve Bank of St. Louis.
- Faiza Sajjad & Muhammad Zakaria, 2018. "Credit Ratings and Liquidity Risk for the Optimization of Debt Maturity Structure," JRFM, MDPI, vol. 11(2), pages 1-16, May.
- Cortina Lorente,Juan Jose & Didier Brandao,Tatiana & Schmukler,Sergio L. & Cortina Lorente,Juan Jose & Didier Brandao,Tatiana & Schmukler,Sergio L., 2016.
"Corporate borrowing and debt maturity : the effects of market access and crises,"
Policy Research Working Paper Series
7815, The World Bank.
- Juan J. Cortina & Tatiana Didier & Sergio L. Schmukler, 2018. "Corporate Borrowing and Debt Maturity: The Effects of Market Access and Crises," Mo.Fi.R. Working Papers 149, Money and Finance Research group (Mo.Fi.R.) - Univ. Politecnica Marche - Dept. Economic and Social Sciences.
- Schmukler, Sergio & Cortina Lorente, Juan & Didier, Tatiana, 2018. "Corporate Borrowing and Debt Maturity: The Effects of Market Access and Crises," CEPR Discussion Papers 13008, C.E.P.R. Discussion Papers.
- Philipp König & David Pothier, 2014. "Asymmetric Information and Roll-over Risk," Discussion Papers of DIW Berlin 1364, DIW Berlin, German Institute for Economic Research.
- Faiza Sajjad & Muhammad Zakaria, 2018. "Credit Rating as a Mechanism for Capital Structure Optimization: Empirical Evidence from Panel Data Analysis," IJFS, MDPI, vol. 6(1), pages 1-14, January.
- Milbradt, Konstantin & Oehmke, Martin, 2015. "Maturity rationing and collective short-termism," Journal of Financial Economics, Elsevier, vol. 118(3), pages 553-570.
- Matt Darst & Ehraz Refayet, 2017.
"A Model of Endogenous Debt Maturity with Heterogeneous Beliefs,"
Finance and Economics Discussion Series
2017-057, Board of Governors of the Federal Reserve System (U.S.).
- Matthew Darst & Ehraz Refayet, 2018. "A Model of Endogenous Debt Maturity with Heterogeneous Beliefs," 2018 Meeting Papers 1004, Society for Economic Dynamics.
- Milbradt, Konstantin & Oehmke, Martin, 2015. "Maturity rationing and collective short-termism," LSE Research Online Documents on Economics 84513, London School of Economics and Political Science, LSE Library.
- el Alaoui, AbdelKader Ouatik & Bacha, Obiyathulla Ismath & Masih, Mansur & Asutay, Mehmet, 2016. "Shari’ah screening, market risk and contagion: A multi-country analysis," Journal of Economic Behavior & Organization, Elsevier, vol. 132(S), pages 93-112.
- Fousseni Chabi-Yo & Jun Yang, 2010.
"Idiosyncratic Coskewness and Equity Return Anomalies,"
Staff Working Papers
10-11, Bank of Canada.
Cited by:
- Chen, Linda H. & Jiang, George J. & Xu, Danielle D. & Yao, Tong, 2020. "Dissecting the idiosyncratic volatility anomaly," Journal of Empirical Finance, Elsevier, vol. 59(C), pages 193-209.
- Chabi-Yo, Fousseni & Yang, Jun, 2009.
"Default Risk, Idiosyncratic Coskewness and Equity Returns,"
Working Paper Series
2009-18, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
Cited by:
- Gong, Yuting & He, Zhongzhi & Xue, Wenjun, 2022. "EPU spillovers and stock return predictability: A cross-country study," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 78(C).
- Hou, Kewei & Loh, Roger K., 2016. "Have we solved the idiosyncratic volatility puzzle?," Journal of Financial Economics, Elsevier, vol. 121(1), pages 167-194.
- He, Zhongzhi & Xue, Wenjun, 2022. "Idiosyncratic volatility puzzle exists at the country level," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
- Fousseni Chabi-Yo & Jun Yang, 2007.
"A No-Arbitrage Analysis of Macroeconomic Determinants of Term Structures and the Exchange Rate,"
Staff Working Papers
07-21, Bank of Canada.
Cited by:
- Taboga, Marco & Pericoli, Marcello, 2008.
"Bond risk premia, macroeconomic fundamentals and the exchange rate,"
MPRA Paper
9523, University Library of Munich, Germany.
- Marcello Pericoli & Marco Taboga, 2009. "Bond risk premia, macroeconomic fundamentals and the exchange rate," Temi di discussione (Economic working papers) 699, Bank of Italy, Economic Research and International Relations Area.
- Pericoli, Marcello & Taboga, Marco, 2012. "Bond risk premia, macroeconomic fundamentals and the exchange rate," International Review of Economics & Finance, Elsevier, vol. 22(1), pages 42-65.
- Marcello Pericoli & Marco Taboga, 2008.
"Canonical Term-Structure Models with Observable Factors and the Dynamics of Bond Risk Premia,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(7), pages 1471-1488, October.
- Marcello Pericoli & Marco Taboga, 2008. "Canonical Term‐Structure Models with Observable Factors and the Dynamics of Bond Risk Premia," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(7), pages 1471-1488, October.
- Marcello Pericoli & Marco Taboga, 2006. "Canonical term-structure models with observable factors and the dynamics of bond risk premiums," Temi di discussione (Economic working papers) 580, Bank of Italy, Economic Research and International Relations Area.
- Marcello, Pericoli & Marco, Taboga, 2005. "A specification analysis of discrete-time no-arbitrage term structure models with observable and unobservable factors," MPRA Paper 4969, University Library of Munich, Germany, revised Sep 2007.
- Gregory Bauer & Antonio Diez de los Rios, 2012. "An International Dynamic Term Structure Model with Economic Restrictions and Unspanned Risks," Staff Working Papers 12-5, Bank of Canada.
- Yung, Julieta, 2021.
"Can interest rate factors explain exchange rate fluctuations?,"
Journal of Empirical Finance, Elsevier, vol. 61(C), pages 34-56.
- Julieta Yung, 2014. "Can interest rate factors explain exchange rate fluctuations?," Globalization Institute Working Papers 207, Federal Reserve Bank of Dallas.
- Taboga, Marco & Pericoli, Marcello, 2008.
"Bond risk premia, macroeconomic fundamentals and the exchange rate,"
MPRA Paper
9523, University Library of Munich, Germany.
More information
Research fields, statistics, top rankings, if available.Statistics
Access and download statistics for all items
Co-authorship network on CollEc
NEP Fields
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 5 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.- NEP-RMG: Risk Management (3) 2008-02-09 2012-09-16 2012-09-22
- NEP-BAN: Banking (2) 2012-09-16 2012-09-22
- NEP-CFN: Corporate Finance (2) 2008-02-09 2012-09-22
- NEP-MAC: Macroeconomics (2) 2007-04-09 2012-09-16
- NEP-BEC: Business Economics (1) 2014-05-09
- NEP-COM: Industrial Competition (1) 2014-05-09
- NEP-FMK: Financial Markets (1) 2007-04-09
- NEP-IFN: International Finance (1) 2007-04-09
- NEP-MON: Monetary Economics (1) 2007-04-09
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