Search CORE

28 research outputs found

Impact of Macroeconomic Surprises on Carry Trade Activity

Author: A Beber
A Jain
C Burnside
C Engel
E Farhi
E Farhi
F Black
G Galati
G Galati
G Galati
H Ichiue
J Aijo
J E Gagnon
J Gyntelberg
L P Hansen
M B Garman
M D Evans
M Hattori
M Hochradl
M K Brunnermeier
Michael M. Hutchison
P Carr
P Disyatat
R Fatum
S G Cecchetti
T G Andersen
Vladyslav Sushko
Y Hashimoto
Y.-L Chen
Z Darvas
Publication venue: 'Elsevier BV'
Publication date: 01/01/2011
Field of study

Market Beliefs About the UK Monetary Policy Lift-Off Horizon: A No-Arbitrage Shadow Rate Term Structure Model Approach

Author: A Ang
A Doucet
Andrew Meldrum
D Du� E
D H Kim
D H Kim
F Black
G D Rudebusch
G De Rossi
G R Du�ee
G R Du�ee
H Ichiue
H Ichiue
J Christensen
J Christensen
J Y Campbell
L C G Rogers
L Krippner
M A Priebsch
M D Bauer
M M Andreasen
M M Andreasen
M M Andreasen
Martin M. Andreasen
N Anderson
P Hordahl
Q Dai
S Joslin
S Malik
T Adrian
W Lemke
Publication venue: 'Elsevier BV'
Publication date: 01/01/2015
Field of study

What Effect Did the Credit Crisis of 2008 Have on European Exchange Rates?

Author: A. Drazen
E. Fama
G. Calvo
H. Ichiue
I. Andreou
M. Brunnermeier
M. Eichenbaum
M. Evans
M. Fratzscher
M. Obstfeld
Mark David Witte
P. Isard
R. Dornbusch
Publication venue: 'M. E. Sharpe Inc.'
Publication date
Field of study

Modifying Gaussian Term Structure Models When Interest Rates are Near the Zero Lower Bound

Author: A Berardi
A Berardi
C Nelson
D Du� E
D Filipovi�cfilipovi�c
D Heath
D Kim
E Haug
F Black
F Diebold
G Chaplin
G Du�ee
G Rudebusch
H Ichiue
H Ichiue
J Christensen
J Christensen
J Cox
J Cox
J Hamilton
J James
J Vincente
K Sharp
K Singleton
Leo Krippner
M Piazzesi
O Vasicek
Q Dai
Q Dai
R Chen
R G�rkaynak
S Joslin
S Nelson
T Langetieg
V Gorovoi
Y Ueno
Publication venue: 'Elsevier BV'
Publication date: 01/01/2011
Field of study

Developing a Practical Yield Curve Model: An Odyssey

Author: &amp
&amp
D H Kim &amp
Elena Medova
H Ichiue
J D Hamilton
J D Hamilton &amp
J James
J K E A Medova
J M Mulvey &amp
Jack L. Evans
Jong F De
M Piazzesi
M. A. H. Dempster
O Vasicek
R Rebonato
S Joslin
S K Nawalkha &amp
Y Ueno
Publication venue: 'Elsevier BV'
Publication date: 01/01/2012
Field of study

Currency Carry Trades and Funding Risk

Author: A Lewis
A Shleifer
C Burnside
D Du� E
D Gromb
E Fama
G Bekaert
G Galati
H Hau
H Ichiue
H Lustig
J Jurek
L Menkho�
M Brunnermeier
M Brunnermeier
M Hattori
M Lettau
Matti Suominen
P Barroso
P Jylh�
P Mcguire
P Santa-Clara
R Korajczyk
Sara Ferreira Filipe
T Adrian
T Adrian
Publication venue: 'Elsevier BV'
Publication date: 01/01/2012
Field of study

Regime Changes and Financial Markets

Author: Albert JH
Allan Timmermann
Andrew Ang
Backus DK
Bikbov R
Cecchetti SG
Cenesizoglu T
Dueker MJ
Durland JM
Engel C
Filardo AJ
Garcia R
Gu L
Ichiue H
Johannes M
Kim C-J
Merton RC
Plantin G
Rossi A
Publication venue: 'Annual Reviews'
Publication date
Field of study

Econometric Analysis of Currency Carry Trade

Author: C Burnside
C Burnside
C Christiansen
C Engel
C Kim
C Kim
EF Fama
Engel
H Ichiue
JD Hamilton
JH Albert
KA Froot
L Menkhoff
L Sarno
MK Brunnermerier
N Metropolis
R Clarida
R Meese
R Neil
RT Baillie
Publication venue: 'Springer Science and Business Media LLC'
Publication date
Field of study

Tracking the Yen Carry Trade: Evidence from a Regime Switching Approach

Author: C Burnside
C Burnside
C C P Wolff
C Engel
C Engel
C Engel
C Engel
E F Fama
F B�ranger
G Bekaert
G Galati
H Dewachter
H Ichiue
H Nishigaki
International Monetary Fund
J D Hamilton
J Gagnon
M Cavallo
M D Chinn
N P B Bollen
P Mcguire
R De Rato
R Flood
Roberta Colavecchio
Y-W Cheung
Publication venue: 'Elsevier BV'
Publication date: 01/01/2008
Field of study

Term Structure Models and the Zero Bound: An Empirical Investigation of Japanese Yields

Author: A Ang
D Ahn
D Duffie
D Duffie
D Duffy
D Nelson
D Nelson
D Nelson
De Jong
Don H. Kim
F Black
F Longstaff
G Duffee
H Ichiue
H Li
J Cochrane
J Cox
K Jacobs
Kenneth J. Singleton
M Leippold
M Leippold
P Collin-Dufresne
P Collin-Dufresne
P Feldhutter
Q Dai
R Chen
R Cheridito
R Miyao
R Stanton
S Joslin
V Corradi
V Gorovoi
Y Ueno
Y Wang
Publication venue: 'Elsevier BV'
Publication date: 01/01/2010
Field of study

core

core