Peter Hördahl

Peter Hördahl

Senior Economist
Monetary and Economic Department, Financial Markets

Peter Hördahl is a senior economist in the Financial Markets group of the Monetary and Economic Department. He joined the BIS in 2006, after seven years at the European Central Bank, where he worked two years in the Capital Markets Division of the Directorate Monetary Policy and thereafter five years in the Directorate General Research. Prior to this, he worked two years at the Swedish Riksbank. He received a PhD in Economics from Lund University in 1997. His research agenda is focused on the term structure of interest rates, in particular how macroeconomic fundamentals determine the dynamics of bond yields and term premia. Other research interests include credit risk in sovereign bonds and the extraction of information on market expectations from asset prices.


Fields of interest

  • Financial markets

Selected Publications

  • "Inflation risk premia in the term structure of interest rates," with Oreste Tristani, Journal of the European Economic Association, forthcoming, 2011.
  • "The yield curve and macroeconomic dynamics," with Oreste Tristani and David Vestin, Economic Journal, no 118, pp. 1937-1970, 2008.
  • "A joint econometric model of macroeconomic and term structure dynamics," with Oreste Tristani and David Vestin, Journal of Econometrics, 131, pp. 405-444, 2006.
  • "Interpreting implied risk-neutral densities: The role of risk premia," with David Vestin, Review of Finance, 9, pp. 97-137, 2005.
  • "Forecasting variance using stochastic volatility and GARCH," with Björn Hansson, European Journal of Finance, 11, pp. 33-57, 2005.

BIS Research papers

Date Research papers
Sep 2013

Intraday dynamics of euro area sovereign CDS and bonds

Working Papers No 423

Other authors: Jacob Gyntelberg, Kristyna Ters and Jörg Urban

Mar 2011

Inflation expectations and the great recession

BIS Quarterly Review March 2011

Other authors: Petra Gerlach-Kristen and Richhild Moessner

Nov 2010

Inflation risk premia in the US and the euro area

Working Papers No 325

Other authors: Oreste Tristani

Dec 2008

Developments in repo markets during the financial turmoil

BIS Quarterly Review December 2008

Other authors: Michael R King

Sep 2008

The inflation risk premium in the term structure of interest rates

BIS Quarterly Review September 2008

May 2007

Inflation risk premia in the term structure of interest rates

Working Papers No 228

Other authors: Oreste Tristani