Suchergebnisse

I show how to rotate the factor structure of the well‐known Dynamic Nelson‐Siegel yield‐curve model to enable direct parametrization of the short rate process. This makes it easy to calculate model‐implied term premia and to integrate macroeconomic variables into the model in a Taylor‐rule‐type fashion.

This paper presents a new approach to recession prediction. The methodology relies on the shape of the yield curve alone and does not incorporate macroeconomic information or other explanatory variables. This makes the modelling framework less data intensive and more intuitive than other models that have the same goal. The workhorses of the approach are (i) data transformation of observed yields with the purpose of normalizing the yield spread, and (ii) a three‐state regime‐switching version of the Nelson–Siegel parametric model of the yield curves' shape and location. In an out‐of‐sample exercise the model predicts all US NBER recessions from 1973 to 2004 at least eight months in advance of their occurrences.

AbstractUsing a new empirical model, I estimate the probability of trades being generated by privately informed traders. Inference is drawn on a trade‐by‐trade basis using data samples from the New York Stock Exchange (NYSE). The modeling setup facilitates in‐depth analysis of the estimated probability of informed trading at the intraday level and for stocks with different levels of trading activity. The most important empirical results are: (a) the intradaily pattern of the inferred probability of informed trading is highly correlated with the intradaily pattern of observed quoted spreads, (b) differences in the magnitude of quoted spreads across volume categories are not exclusively related to differences in the level of informed trading, and (c) private information is incorporated faster in the quotes for high‐volume stocks than in the quotes for low‐volume stocks.

This paper develops a new methodology for simulating fixed-income return distributions. It is shown that a traditional factor risk model, when augmented with reference returns, is capable of generating visually consistent return distributions for a broad range of fixed income instruments such as government and nongovernment instruments in the US dollar and Japanese yen bond markets. The reference returns result from a regime-switching Nelson-Siegel yield curve model following Bernadell, Coche and Nyholm (2005). Empirical results are encouraging: simulated distributions exhibit most characteristics observed in the fixed income markets such as non-normal right-skewed distributions for short maturity instrument while instruments with longer maturity are closer to being normally distributed.

This is an edited collection of essential readings on Reserves Management and Sovereign Wealth Management, from the recent SAA conference organized by the Bank for International Settlements, the European Central Bank and the World Bank Treasury. It offers an exchange of views on technical and implemental issues of financial models.

This edited volume comprises some of the papers (those on the themes of reserves management and sovereign wealth fund management) which were presented at the November 2008 conference on Strategic Asset Allocation for Central Banks and Sovereign Wealth Managers, held jointly by the Bank for International Settlements, the European Central Bank and the World Bank. € The contributions€herein present state-of-the-art techniques for the implementation of strategic asset allocation approaches in public organizations.€ They are, €however, €not only limited to the traditional central banking world but have a much greater coverage and reach, exemplified by the contributions from leading institutions in the financial sector.€ Collectively, these papers present a first attempt to formulate an industry standard for methods and techniques relevant for public investors working in the areas of reserves management and asset modelling.€ Concrete and directly useful, this book belongs on the shelf of every financial analyst and modeller working in the public wealth-management arena.

This book is an edited collection of some of the papers from the November 2008 conference on Strategic Asset Allocation for Central Banks and Sovereign Wealth Managers, held jointly by the Bank for International Settlements, The European Central Bank and the World Bank. It presents practical and easily implementable, state-of-the-art methods and techniques for strategic asset allocation in public organisations, not only in central banking but also in the wider financial sector. Collectively, these papers present the current 'industry standard' and outline 'best practices' in the areas of: interest rate management and forecasting; public investor portfolio optimization methods; asset class modeling and quantitative techniques. The book closes the gap in the finance literature on how to implement and support long-term investment decisions. It belongs on the shelf of every financial analyst and modeller working in public wealth-management.