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Understanding the Impact of Monetary Policy Shocks on the Corporate Bond Market in Good and Bad Times: A Markov Switching Model
Alexei G. Orlov / Manuela Pedio / Massimo Guidolin
econometrics / fixed incomeResource overview

Understanding the Impact of Monetary Policy Shocks on the Corporate Bond Market in Good and Bad Times: A Markov Switching Model

Paper2014

by Alexei G. Orlov, Manuela Pedio, Massimo Guidolin

Tags
econometricsfixed incomeinterest ratestime series

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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

    Check whether a relationship can be estimated consistently over time.

  4. Linear Regression

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  1. Bootstrapping the Spot Curve from Market Instruments

    Build a consistent discount curve.

  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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