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Details about Peter Hördahl

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Workplace:Bank for International Settlements (BIS), (more information at EDIRC)

Access statistics for papers by Peter Hördahl.

Last updated 2019-05-20. Update your information in the RePEc Author Service.

Short-id: phr25


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Working Papers

2017

  1. 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 Downloads View citations (1)

2016

  1. Low long-term interest rates as a global phenomenon
    BIS Working Papers, Bank for International Settlements Downloads View citations (5)

2015

  1. Expectations and risk premia at 8:30am: Macroeconomic announcements and the yield curve
    BIS Working Papers, Bank for International Settlements Downloads View citations (3)

2013

  1. Intraday dynamics of euro area sovereign CDS and bonds
    BIS Working Papers, Bank for International Settlements Downloads View citations (17)

2010

  1. Inflation risk premia in the US and the euro area
    Working Paper Series, European Central Bank Downloads View citations (6)
    Also in BIS Working Papers, Bank for International Settlements (2010) Downloads View citations (10)

2007

  1. Inflation risk premia in the term structure of interest rates
    BIS Working Papers, Bank for International Settlements Downloads View citations (23)
    Also in Working Paper Series, European Central Bank (2007) Downloads View citations (21)

    See also Journal Article in Journal of the European Economic Association (2012)
  2. The yield curve and macroeconomic dynamics
    Working Paper Series, European Central Bank Downloads View citations (27)
    See also Journal Article in Economic Journal (2008)

2006

  1. The impact of the euro on financial markets
    Working Paper Series, European Central Bank Downloads View citations (35)

2004

  1. A joint econometric model of macroeconomic and term structure dynamics
    Working Paper Series, European Central Bank Downloads View citations (18)
    Also in Money Macro and Finance (MMF) Research Group Conference 2003, Money Macro and Finance Research Group (2004) Downloads View citations (45)
    Econometric Society 2004 North American Summer Meetings, Econometric Society (2004) Downloads View citations (19)

    See also Journal Article in Journal of Econometrics (2006)
  2. Measuring financial integration in the euro area
    Occasional Paper Series, European Central Bank Downloads View citations (302)

2003

  1. Interpreting implied risk-neutral densities: the role of risk premia
    Working Paper Series, European Central Bank Downloads View citations (3)
    See also Journal Article in Review of Finance (2005)

2000

  1. 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) Downloads
    Also in Working Paper Series, European Central Bank (2000) Downloads

Journal Articles

2018

  1. Price discovery in euro area sovereign credit markets and the ban on naked CDS
    Journal of Banking & Finance, 2018, 96, (C), 106-125 Downloads View citations (1)
  2. Term premia: models and some stylised facts
    BIS Quarterly Review, 2018 Downloads View citations (2)

2014

  1. Inflation Risk Premia in the Euro Area and the United States
    International Journal of Central Banking, 2014, 10, (3), 1-47 Downloads View citations (23)

2012

  1. INFLATION RISK PREMIA IN THE TERM STRUCTURE OF INTEREST RATES
    Journal of the European Economic Association, 2012, 10, (3), 634-657 Downloads View citations (25)
    Also in BIS Quarterly Review, 2008 (2008) Downloads View citations (9)

    See also Working Paper (2007)

2011

  1. Inflation expectations and the great recession
    BIS Quarterly Review, 2011 Downloads View citations (13)

2008

  1. Developments in repo markets during the financial turmoil
    BIS Quarterly Review, 2008 Downloads View citations (60)
  2. The Yield Curve and Macroeconomic Dynamics
    Economic Journal, 2008, 118, (533), 1937-1970 Downloads View citations (31)
    See also Working Paper (2007)

2006

  1. A joint econometric model of macroeconomic and term-structure dynamics
    Journal of Econometrics, 2006, 131, (1-2), 405-444 Downloads View citations (180)
    See also Working Paper (2004)

2005

  1. Economic determinants of risk premia in the term structure of interest rates
    Research Bulletin, 2005, 3, 2-5 Downloads
  2. Forecasting variance using stochastic volatility and GARCH
    The European Journal of Finance, 2005, 11, (1), 33-57 Downloads View citations (3)
  3. Interpreting Implied Risk-Neutral Densities: The Role of Risk Premia
    Review of Finance, 2005, 9, (1), 97-137 Downloads View citations (3)
    Also in Review of Finance, 2005, 9, (1), 97-137 (2005) Downloads View citations (5)

    See also Working Paper (2003)

2003

  1. A joint econometric model of macroeconomic and term structure
    Proceedings, 2003, (Mar) Downloads View citations (58)

1998

  1. Testing the conditional CAPM using multivariate GARCH-M
    Applied Financial Economics, 1998, 8, (4), 377-388 Downloads View citations (26)

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 Downloads
  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 Downloads
 
Page updated 2019-11-11