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14 records from EconBiz based on author Name
1. The nonlinear dynamics of corporate bond spreads : regime-dependent effects of their determinants
abstractThis paper studies the behavior of corporate bond spreads during different market regimes between 2004 and 2016. Applying a Markov-switching vector autoregressive (MS-VAR) model, we document that the dynamic impact of spread determinants varies substantially with market conditions. In periods of high volatility, systematic credit risk - rather than interest rate movements - contributes to driving up spreads. Moreover, while market-wide liquidity risk is not priced when volatility is low, it becomes a crucial factor during stress periods. Our results challenge the notion that spreads predominantly capture credit risk and suggest it must be reassessed during periods of financial distress.
Fischer, Henning; Stolper, Oscar;2019
Type: Graue Literatur; Non-commercial literature; Arbeitspapier; Working Paper;
Availability: Link
2. The Nonlinear Dynamics of Corporate Bond Spreads : Regime-Dependent Effects of their Determinants
abstractThis paper studies the behavior of corporate bond spreads during different market regimes between 2004 and 2016. Applying a Markov-switching vector autoregressive (MS-VAR) model, we document that the dynamic impact of spread determinants varies substantially with market conditions. In periods of high volatility, systematic credit risk—rather than interest rate movements— contributes to driving up spreads. Moreover, while market-wide liquidity risk is not priced when volatility is low, it becomes a crucial factor during stress periods. Our results challenge the notion that spreads predominantly capture credit risk and suggest it must be reassessed during periods of financial distress
Fischer, Henning; Stolper, Oscar;2021
Availability: Link
3. The nonlinear dynamics of corporate bond spreads : regime-dependent effects of their determinants
Fischer, Henning; Stolper, Oscar;2021
Type: Aufsatz in Zeitschrift; Article in journal;
Availability: Link Link
Research Data:
4. The nonlinear dynamics of corporate bond spreads: Regime-dependent effects of their determinants
Fischer, Henning; Stolper, Oscar;2019
Type: Working Paper;
Availability:
5. The Nonlinear Dynamics of Corporate Bond Spreads : Regime-Dependent Effects of Their Determinants
abstractThis paper studies the behavior of corporate bond spreads during different market regimes between 2004 and 2016. Applying a Markov-switching vector autoregressive (MS-VAR) model, we document that the dynamic impact of spread determinants varies substantially with market conditions. In periods of high volatility, systematic credit risk - rather than interest rate movements - contributes to driving up spreads. Moreover, while market-wide liquidity risk is not priced when volatility is low, it becomes a crucial factor during stress periods. Our results challenge the notion that spreads predominantly capture credit risk and suggest it must be reassessed during periods of financial distress
Fischer, Henning; Stolper, Oscar;2019
Availability: Link Link
6. Evaluating FOMC forecast ranges : an interval data approach
abstractThe Federal Open Market Committee (FOMC) of the U.S. Federal Reserve publishes the range of members' forecasts for key macroeconomic variables, but not the distribution of forecasts within this range. To evaluate these projections, previous papers compare the midpoint of the ranges with the realized outcome. This paper proposes a new approach to forecast evaluation that takes account of the interval nature of projections. It is shown that using the conventional Mincer-Zarnowitz approach to evaluate FOMC forecasts misses important information contained in the width of the forecast interval. This additional information plays a minor role at short forecast horizons but turns out to be of crucial importance for inflation and unemployment forecasts 18 months into the future. At long horizons the variation of members' projections contains information which is more relevant for explaining future inflation than information embodied in the midpoint. -- Forecast evaluation ; interval data ; Federal Reserve ; monetary policy
Fischer, Henning; García-Bárzana, Marta; Tillmann, Peter; Winker, Peter;2012
Type: Arbeitspapier; Working Paper; Graue Literatur; Non-commercial literature;
Availability:
Link 7. Predicting stock return volatility : can we benefit from regression models for return intervals?
Fischer, Henning; Blanco-Fernández, Ángela; Winker, Peter;2016
Type: Aufsatz in Zeitschrift; Article in journal;
Availability: Link
Citations: 7 (based on OpenCitations)
8. Evaluating FOMC forecast ranges : an interval data approach
Fischer, Henning; García-Bárzana, Marta; Tillmann, Peter; Winker, Peter;2014
Type: Aufsatz in Zeitschrift; Article in journal;
9. Evaluating FOMC forecast ranges: an interval data approach
Fischer, Henning; García-Bárzana, Marta; Tillmann, Peter; Winker, Peter;2012
Type: Working Paper;
Availability:
10. Evaluating FOMC forecast ranges: an interval data approach
Fischer, Henning; García-Bárzana, Marta; Tillmann, Peter; Winker, Peter;2012
Availability: