Central Bank Research Hub - JEL classification G12: Asset Pricing; Trading volume; Bond Interest Rates

Title Author(s)

Contagion: An Empirical Test

Board of Governors of the Federal Reserve System International Financial Discussion Papers [View] (Paper: 0775, 01.10.2003)

JEL: F30, G12, G14, G15

"Interest Rates as Options": Assessing the Markets' View of the Liquidity Trap

Board of Governors of the Federal Reserve System FEDS series [View] (Paper: 2003-45, 05.09.2003)

JEL: E30, E43, G12

Volatility Puzzles: A Unified Framework for Gauging Return-Volatility Regressions

Board of Governors of the Federal Reserve System FEDS series [View] (Paper: 2003-40, 27.08.2003)

JEL: C22, C51, G12

Itô Conditional Moment Generator and the Estimation of Short Rate Processes

Board of Governors of the Federal Reserve System FEDS series [View] (Paper: 2003-32, 22.08.2003)

JEL: C51, C52, G12

Exchange rates and fundamentals

European Central Bank Working papers [View] (Paper: 0248, 15.08.2003)

JEL: F31, F37, G12, G15

Monetary Policy and the Yield Curve

Board of Governors of the Federal Reserve System FEDS series [View] (Paper: 2003-15, 06.06.2003)

JEL: E43, G12

Counterparty Credit Risk in Interest Rate Swaps during Times of Market Stress

Board of Governors of the Federal Reserve System FEDS series [View] (Paper: 2003-9, 06.06.2003)

JEL: G12, G13

Equity and bond market signals as leading indicators of bank fragility

European Central Bank Working papers [View] (Paper: 0150, 02.04.2003)

JEL: G12, G21

The functional form of yield curves

European Central Bank Working papers [View] (Paper: 0148, 02.04.2003)

JEL: G10, G12, G13

Dynamic Strategies, Asset Pricing Models, and the Out-of-Sample Performance of the Tangency Portfolio

Atlanta Fed Working papers [View] (Paper: 2003-6, 21.02.2003)

JEL: G11, G12, G15

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