Details about Steffen Sorensen

Access statistics for papers by Steffen Sorensen.

Last updated 2013-04-05. Update your information in the RePEc Author Service.

Short-id: pso117

Working Papers

2009

1. Extracting inflation expectations and inflation risk premia from the term structure: a joint model of the UK nominal and real yield curves
   Bank of England working papers, Bank of England View citations (15)
   See also Journal Article Extracting inflation expectations and inflation risk premia from the term structure: A joint model of the UK nominal and real yield curves, Journal of Banking & Finance, Elsevier (2010) View citations (97) (2010)
2. The Equity Premium and the Business Cycle: the Role of Demand and Supply Shocks
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (1)
   See also Journal Article The equity premium and the business cycle: the role of demand and supply shocks, International Journal of Finance & Economics, John Wiley & Sons, Ltd. (2010) View citations (7) (2010)

2008

3. Measuring monetary policy expectations from financial market instruments
   Bank of England working papers, Bank of England View citations (25)
4. The integrated impact of credit and interest rate risk on banks: an economic value and capital adequacy perspective
   Bank of England working papers, Bank of England View citations (33)

2007

5. Integrating credit and interest rate risk: A theoretical framework and an application to banks' balance sheets
   Money Macro and Finance (MMF) Research Group Conference 2006, Money Macro and Finance Research Group View citations (6)
6. The Asymmetric Effect of the Business Cycle on the Equity Premium (This is an extensively revised version of earlier paper No. 06/04)
   Discussion Papers, Department of Economics, University of York

2006

7. THE ASYMMETRIC EFFECT OF THE BUSINESS CYCLE ON THE RELATION BETWEEN STOCK MARKET RETURNS AND THEIR VOLATILITY
   CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University View citations (1)
   Also in Money Macro and Finance (MMF) Research Group Conference 2005, Money Macro and Finance Research Group (2005) View citations (1)
   Discussion Papers, Department of Economics, University of York (2006) View citations (1)

2005

8. Stress tests of UK banks using a VAR approach
   Bank of England working papers, Bank of England View citations (84)

2004

9. Business Cycle Variability, Stock Market Variability, Asymmetries and the Risk Premium
   Money Macro and Finance (MMF) Research Group Conference 2004, Money Macro and Finance Research Group

Undated

10. An Asset Market Integration Test Based on Observable Macroeconomic Stochastic Discount Factors
    Discussion Papers, Department of Economics, University of York View citations (4)
11. Macroeconomic Sources of Equity Risk
    Discussion Papers, Department of Economics, University of York View citations (10)

Journal Articles

2010

1. Extracting inflation expectations and inflation risk premia from the term structure: A joint model of the UK nominal and real yield curves
   Journal of Banking & Finance, 2010, 34, (2), 281-294 View citations (97)
   See also Working Paper Extracting inflation expectations and inflation risk premia from the term structure: a joint model of the UK nominal and real yield curves, Bank of England working papers (2009) View citations (15) (2009)
2. The equity premium and the business cycle: the role of demand and supply shocks
   International Journal of Finance & Economics, 2010, 15, (2), 134-152 View citations (7)
   See also Working Paper The Equity Premium and the Business Cycle: the Role of Demand and Supply Shocks, CEPR Discussion Papers (2009) View citations (1) (2009)
3. The integrated impact of credit and interest rate risk on banks: A dynamic framework and stress testing application
   Journal of Banking & Finance, 2010, 34, (4), 713-729 View citations (73)

2009

4. El impacto integrado del riesgo de crédito y de tasa de interés bancarios: una perspectiva del valor económico y suficiencia de capital
   Monetaria, 2009, XXXII, (1), 63-115