Details about Peter Hördahl

Access statistics for papers by Peter Hördahl.

Last updated 2024-04-07. Update your information in the RePEc Author Service.

Short-id: phr25

Working Papers

2022

1. "Front-loading" monetary tightening: pros and cons
   BIS Bulletins, Bank for International Settlements
2. Emerging market bond flows and exchange rate returns
   BIS Working Papers, Bank for International Settlements View citations (1)

2021

3. Debt specialisation and diversification: International evidence
   BIS Working Papers, Bank for International Settlements
4. Sovereign credit and exchange rate risks: evidence from Asia-Pacific local currency bonds
   BIS Working Papers, Bank for International Settlements View citations (1)
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2020) View citations (10)
   NBER Working Papers, National Bureau of Economic Research, Inc (2020) View citations (10)
   See also Journal Article Sovereign credit and exchange rate risks: Evidence from Asia-Pacific local currency bonds, Journal of International Economics, Elsevier (2023) View citations (1) (2023)

2020

5. EME bond portfolio flows and long-term interest rates during the Covid-19 pandemic
   BIS Bulletins, Bank for International Settlements View citations (25)

2019

6. Modelling yields at the lower bound through regime shifts
   Working Paper Series, European Central Bank View citations (1)
   Also in BIS Working Papers, Bank for International Settlements (2019) View citations (1)

2017

7. Arbitrage costs and the persistent non-zero CDS-bond basis: Evidence from intraday euro area sovereign debt markets
   BIS Working Papers, Bank for International Settlements View citations (8)

2016

8. Low long-term interest rates as a global phenomenon
   BIS Working Papers, Bank for International Settlements View citations (16)

2015

9. Expectations and risk premia at 8:30am: Macroeconomic announcements and the yield curve
   BIS Working Papers, Bank for International Settlements View citations (6)

2013

10. Intraday dynamics of euro area sovereign CDS and bonds
    BIS Working Papers, Bank for International Settlements View citations (39)

2010

11. Inflation risk premia in the US and the euro area
    BIS Working Papers, Bank for International Settlements View citations (15)
    Also in Working Paper Series, European Central Bank (2010) View citations (11)

2007

12. Inflation risk premia in the term structure of interest rates
    BIS Working Papers, Bank for International Settlements View citations (27)
    Also in Working Paper Series, European Central Bank (2007) View citations (24)
    See also Journal Article INFLATION RISK PREMIA IN THE TERM STRUCTURE OF INTEREST RATES, Journal of the European Economic Association, European Economic Association (2012) View citations (50) (2012)
13. The yield curve and macroeconomic dynamics
    Working Paper Series, European Central Bank View citations (27)
    See also Journal Article The Yield Curve and Macroeconomic Dynamics, Economic Journal, Royal Economic Society (2008) View citations (7) (2008)

2006

14. The impact of the euro on financial markets
    Working Paper Series, European Central Bank View citations (37)
15. The term structure of inflation risk premia and macroeconomic dynamics
    Computing in Economics and Finance 2006, Society for Computational Economics View citations (1)

2004

16. A joint econometric model of macroeconomic and term structure dynamics
    Working Paper Series, European Central Bank View citations (24)
    Also in Econometric Society 2004 North American Summer Meetings, Econometric Society (2004) View citations (25)
    Money Macro and Finance (MMF) Research Group Conference 2003, Money Macro and Finance Research Group (2004) View citations (55)
    See also Journal Article A joint econometric model of macroeconomic and term-structure dynamics, Journal of Econometrics, Elsevier (2006) View citations (215) (2006)
17. Measuring financial integration in the euro area
    Occasional Paper Series, European Central Bank View citations (415)

2003

18. Interpreting implied risk-neutral densities: the role of risk premia
    Working Paper Series, European Central Bank View citations (2)
    See also Journal Article Interpreting Implied Risk-Neutral Densities: The Role of Risk Premia, Review of Finance, European Finance Association (2005) View citations (8) (2005)

2000

19. Estimating the Implied Distribution of the Future Short-Term Interest Rate Using the Longstaff-Schwartz Model
    Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) View citations (1)
    Also in Working Paper Series, European Central Bank (2000) View citations (4)

Journal Articles

2023

1. Sovereign credit and exchange rate risks: Evidence from Asia-Pacific local currency bonds
   Journal of International Economics, 2023, 140, (C) View citations (1)
   See also Working Paper Sovereign credit and exchange rate risks: evidence from Asia-Pacific local currency bonds, BIS Working Papers (2021) View citations (1) (2021)

2022

2. Under pressure: market conditions and stress
   BIS Quarterly Review, 2022 View citations (1)

2020

3. Expectations and Risk Premia at 8:30 a.m.: Deciphering the Responses of Bond Yields to Macroeconomic Announcements
   Journal of Business & Economic Statistics, 2020, 38, (1), 27-42 View citations (5)

2018

4. Price discovery in euro area sovereign credit markets and the ban on naked CDS
   Journal of Banking & Finance, 2018, 96, (C), 106-125 View citations (12)
5. Term premia: models and some stylised facts
   BIS Quarterly Review, 2018 View citations (27)

2014

6. Inflation Risk Premia in the Euro Area and the United States
   International Journal of Central Banking, 2014, 10, (3), 1-47 View citations (62)

2012

7. INFLATION RISK PREMIA IN THE TERM STRUCTURE OF INTEREST RATES
   Journal of the European Economic Association, 2012, 10, (3), 634-657 View citations (50)
   Also in BIS Quarterly Review, 2008 (2008) View citations (23)
   See also Working Paper Inflation risk premia in the term structure of interest rates, BIS Working Papers (2007) View citations (27) (2007)

2011

8. Inflation expectations and the great recession
   BIS Quarterly Review, 2011 View citations (15)

2008

9. Developments in repo markets during the financial turmoil
   BIS Quarterly Review, 2008 View citations (84)
10. The Yield Curve and Macroeconomic Dynamics
    Economic Journal, 2008, 118, (533), 1937-1970 View citations (7)
    Also in Economic Journal, 2008, 118, (533), 1937-1970 (2008) View citations (53)
    See also Working Paper The yield curve and macroeconomic dynamics, Working Paper Series (2007) View citations (27) (2007)

2006

11. A joint econometric model of macroeconomic and term-structure dynamics
    Journal of Econometrics, 2006, 131, (1-2), 405-444 View citations (215)
    See also Working Paper A joint econometric model of macroeconomic and term structure dynamics, Working Paper Series (2004) View citations (24) (2004)

2005

12. Economic determinants of risk premia in the term structure of interest rates
    Research Bulletin, 2005, 3, 2-5
13. Forecasting variance using stochastic volatility and GARCH
    The European Journal of Finance, 2005, 11, (1), 33-57 View citations (4)
14. Interpreting Implied Risk-Neutral Densities: The Role of Risk Premia
    Review of Finance, 2005, 9, (1), 97-137 View citations (8)
    Also in Review of Finance, 2005, 9, (1), 97-137 (2005) View citations (8)
    See also Working Paper Interpreting implied risk-neutral densities: the role of risk premia, Working Paper Series (2003) View citations (2) (2003)

2003

15. A joint econometric model of macroeconomic and term structure
    Proceedings, 2003, (Mar) View citations (62)

1998

16. Testing the conditional CAPM using multivariate GARCH-M
    Applied Financial Economics, 1998, 8, (4), 377-388 View citations (29)

1997

17. Changing Risk Premia: Evidence from a Small Open Economy
    Scandinavian Journal of Economics, 1997, 99, (2), 335-350 View citations (6)

Books

2007

1. Understanding asset prices: an overview
   BIS Papers, Bank for International Settlements View citations (15)

Chapters

2019

1. Corporate bond use in Asia and the United States
   A chapter in Asia-Pacific fixed income markets: evolving structure, participation and pricing, 2019, vol. 102, pp 97-107
2. Determinants of Asia-Pacific government bond yields
   A chapter in Asia-Pacific fixed income markets: evolving structure, participation and pricing, 2019, vol. 102, pp 29-39