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The effects of macroeconomic, fiscal and monetary policy announcements on sovereign bond spreads: an event study from the EMU
António Afonso / João Tovar Jalles / Mina Kazemi
economic policy / fixed incomeResource overview

The effects of macroeconomic, fiscal and monetary policy announcements on sovereign bond spreads: an event study from the EMU

Paper2019

by António Afonso, João Tovar Jalles, Mina Kazemi

Tags
economic policyfixed incomeregression

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Suggested foundations for rates and fixed income and financial time series. Specialist prerequisites vary by paper.

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  1. The Bank Account, Short Rate, and the Fundamental Pricing Equation

    Understand discounting in a stochastic-rate model.

  2. DV01, Dollar Duration, and One-Factor Price Sensitivity

    Translate yield movements into first-order price risk.

  3. Stationarity and Unit Roots

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  4. Linear Regression

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  1. Bootstrapping the Spot Curve from Market Instruments

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  2. The Vasicek Model: Mean Reversion, Affine Bond Prices, and the Gaussian Distribution

    Study a tractable mean-reverting rate model.

  3. Cointegration and Error Correction

    Study long-run relationships without confusing them with correlation.

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