14
H index
19
i10 index
1309
Citations
Peter Hördahl : Citation Profile
Bank for International Settlements (BIS) | RESEARCH PRODUCTION: 20 Articles 26 Papers 1 Books 2 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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26 years (1997 - 2023). Relations with other researchers
Works with:
Authors registered in RePEc who have co-authored more than one work in the last five years with Peter Hördahl. | Is cited by:
| Cites to:
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Main data
Where Peter Hördahl has published?
| Journals with more than one article published | # docs |
|---|---|
| BIS Quarterly Review | 5 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| BIS Working Papers / Bank for International Settlements | 10 |
| Working Paper Series / European Central Bank | 8 |
Recent works citing Peter Hördahl (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2023 | Oil Price Shocks and Bond Risk Premia: Evidence from a Panel of 15 Countries. (2023). Nersisyan, Liana ; Lyrio, Marco ; Iania, Leonardo. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2023002. Full description at Econpapers || Download paper |
| 2023 | Macroeconomic drivers of Inflation Expectations and Inflation Risk Premia. (2023). Wauters, Joris ; Iania, Leonardo ; Boeckx, Jef. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2023003. Full description at Econpapers || Download paper |
| 2024 | Three Remarks On Asset Pricing. (2021). Olkhov, Victor. In: Papers. RePEc:arx:papers:2105.13903. Full description at Econpapers || Download paper |
| 2024 | Time-Varying Identification of Monetary Policy Shocks. (2023). Wo, Tomasz ; Camehl, Annika. In: Papers. RePEc:arx:papers:2311.05883. Full description at Econpapers || Download paper |
| 2024 | U.S. Macroeconomic News and Low-Frequency Changes in Small Open Economies’ Bond Yields. (2024). Sekkel, Rodrigo ; Feunou, Bruno ; Nongni-Donfack, Morvan ; Xing, Bingxin Ann. In: Staff Working Papers. RePEc:bca:bocawp:24-12. Full description at Econpapers || Download paper |
| 2023 | The Three Intelligible Factors of the Yield Curve in Mexico. (2023). Rocio, Elizondo. In: Working Papers. RePEc:bdm:wpaper:2023-13. Full description at Econpapers || Download paper |
| 2023 | . Full description at Econpapers || Download paper |
| 2023 | CP and CDs markets: a primer. (2023). Todorov, Karamfil ; Schrimpf, Andreas ; Aquilina, Matteo. In: BIS Quarterly Review. RePEc:bis:bisqtr:2309e. Full description at Econpapers || Download paper |
| 2024 | Quo vadis, r*? The natural rate of interest after the pandemic. (2024). Nuño Barrau, Galo ; Hofmann, Boris ; Benigno, Gianluca ; Sandri, Damiano. In: BIS Quarterly Review. RePEc:bis:bisqtr:2403b. Full description at Econpapers || Download paper |
| 2023 | Overcoming original sin: insights from a new dataset. (2023). Onen, Mert ; von Peter, Goetz ; Shin, Hyun Song. In: BIS Working Papers. RePEc:bis:biswps:1075. Full description at Econpapers || Download paper |
| 2023 | Bank intermediation activity in a lowâ€interestâ€rate environment. (2020). Gambacorta, Leonardo ; Brei, Michael ; Borio, Claudio. In: Economic Notes. RePEc:bla:ecnote:v:49:y:2020:i:2:n:e12164. Full description at Econpapers || Download paper |
| 2023 | Pricing Currency Risks. (2023). Chernov, Mikhail ; Lochstoer, Lars ; Dahlquist, Magnus. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:2:p:693-730. Full description at Econpapers || Download paper |
| 2023 | Market Volatility, Monetary Policy and the Term Premium. (2023). Zampolli, Fabrizio ; Mohanty, Madhusudan ; Mallick, Sushanta ; Kumar, Abhishek. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:85:y:2023:i:1:p:208-237. Full description at Econpapers || Download paper |
| 2023 | Identifying financial fragmentation: do sovereign spreads in the EMU reflect differences in fundamentals?. (2023). End, Jan Willem ; van den End, Jan Willem ; Kakes, Jan. In: Working Papers. RePEc:dnb:dnbwpp:778. Full description at Econpapers || Download paper |
| 2023 | A novel high?frequency indicator of financial integration for monitoring the impact of COVID-19. (2023). Zito, Alessandro ; Mongelli, Francesco Paolo ; Kochanska, Urszula ; Borgioli, Stefano. In: Statistics Paper Series. RePEc:ecb:ecbsps:202343. Full description at Econpapers || Download paper |
| 2024 | Monetary asmmetries without (and with) price stickiness. (2024). Jaccard, Ivan. In: Working Paper Series. RePEc:ecb:ecbwps:20242928. Full description at Econpapers || Download paper |
| 2023 | Wavelet Coherence and Continuous Wavelet Transform - Implementation and Application to the Relationship between Exchange Rate and Oil Price for Importing and Exporting Countries. (2023). Aladwani, Jassim. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2023-04-54. Full description at Econpapers || Download paper |
| 2024 | Determinants of CDS in core and peripheral European countries: A comparative study during crisis and calm periods. (2024). Haddou, Samira. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:71:y:2024:i:c:s1062940824000111. Full description at Econpapers || Download paper |
| 2023 | The global financial cycle and capital flows during the COVID-19 pandemic. (2023). Davis, Jonathan ; Zlate, Andrei. In: European Economic Review. RePEc:eee:eecrev:v:156:y:2023:i:c:s001429212300106x. Full description at Econpapers || Download paper |
| 2023 | Term premia and short rate expectations in the euro area. (2023). Berardi, Andrea. In: Journal of Empirical Finance. RePEc:eee:empfin:v:74:y:2023:i:c:s0927539823000919. Full description at Econpapers || Download paper |
| 2024 | Can inflation predict energy price volatility?. (2024). Batten, Jonathan ; Mo, DI ; Pourkhanali, Armin. In: Energy Economics. RePEc:eee:eneeco:v:129:y:2024:i:c:s0140988323006564. Full description at Econpapers || Download paper |
| 2023 | Do yield curve inversions predict recessions in the euro area?. (2023). Sahuc, Jean-Guillaume ; Sabes, David. In: Finance Research Letters. RePEc:eee:finlet:v:52:y:2023:i:c:s1544612322005931. Full description at Econpapers || Download paper |
| 2023 | Monetary policy spillover to small open economies: Is the transmission different under low interest rates?. (2023). Malovana, Simona ; Juelsrud, Ragnar ; Hodula, Martin ; Gric, Zuzana ; Gomez, Tomas ; Dinger, Valeriya ; Cao, Jin ; Terajima, Yaz ; Liaudinskas, Karolis ; Jara, Alejandro. In: Journal of Financial Stability. RePEc:eee:finsta:v:65:y:2023:i:c:s1572308923000165. Full description at Econpapers || Download paper |
| 2023 | Dynamic connectedness between credit and liquidity risks in euro area sovereign debt markets. (2023). Sosvilla-Rivero, Simon ; Pieterse-Bloem, Mary ; Gomez-Puig, Marta. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:68:y:2023:i:c:s1042444x23000191. Full description at Econpapers || Download paper |
| 2024 | Emergency liquidity injections. (2024). Garvin, Nicholas. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pa:p:1496-1513. Full description at Econpapers || Download paper |
| 2024 | Quantitative Easing, Bond Risk Premia and the Exchange Rate in a Small Open Economy. (2024). Zhang, Xin ; Christensen, Jens. In: Working Paper Series. RePEc:fip:fedfwp:98075. Full description at Econpapers || Download paper |
| 2024 | Quantitative Easing, Bond Risk Premia and the Exchange Rate in a Small Open Economy. (2024). Zhang, Xin ; Christensen, Jens. In: Working Paper Series. RePEc:fip:fedfwp:98076. Full description at Econpapers || Download paper |
| 2023 | Sovereign bond and CDS market contagion: A story from the Eurozone crisis. (2023). Panagiotidis, Theodore ; Politsidis, Panagiotis ; Bampinas, Georgios. In: Post-Print. RePEc:hal:journl:hal-04164277. Full description at Econpapers || Download paper |
| 2024 | Quantitative Easing, Bond Risk Premia and the Exchange Rate in a Small Open Economy. (2024). Zhang, Xin. In: Working Paper Series. RePEc:hhs:rbnkwp:0434. Full description at Econpapers || Download paper |
| 2023 | Sovereign Risk and Economic Complexity: Machine Learning Insights on Causality and Prediction. (2023). Valencia, Oscar ; Uribe, Jorge ; Gomez-Gonzalez, Jose. In: IREA Working Papers. RePEc:ira:wpaper:202315. Full description at Econpapers || Download paper |
| 2024 | Navigating by Falling Stars:Monetary Policy with Fiscally Driven Natural Rates. (2024). Nuño Barrau, Galo ; Fernandez-Villaverde, Jesus ; Campos, Rodolfo ; Paz, Peter ; Nuno, Galo. In: PIER Working Paper Archive. RePEc:pen:papers:24-007. Full description at Econpapers || Download paper |
| 2024 | Encumbered Security? Conceptualising Vertical and Horizontal Repos in the Euro Area. (2024). Giordano, Matteo ; Goghie, Alexandru-Stefan ; Murau, Steffen. In: Working Papers. RePEc:soa:wpaper:262. Full description at Econpapers || Download paper |
| 2023 | Sovereign default network and currency risk premia. (2023). Yang, Lu ; Cui, Xue. In: Financial Innovation. RePEc:spr:fininn:v:9:y:2023:i:1:d:10.1186_s40854-023-00485-3. Full description at Econpapers || Download paper |
| 2023 | Pricing the Bund term structure with linear regressions – without an observable short rate. (2023). Speck, Christian. In: Discussion Papers. RePEc:zbw:bubdps:082023. Full description at Econpapers || Download paper |
Works by Peter Hördahl:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2020 | EME bond portfolio flows and long-term interest rates during the Covid-19 pandemic In: BIS Bulletins. [Full Text][Citation analysis] | paper | 24 |
| 2019 | Determinants of Asia-Pacific government bond yields In: BIS Papers chapters. [Full Text][Citation analysis] | chapter | 0 |
| 2019 | Corporate bond use in Asia and the United States In: BIS Papers chapters. [Full Text][Citation analysis] | chapter | 0 |
| 2007 | Understanding asset prices: an overview In: BIS Papers. [Full Text][Citation analysis] | book | 15 |
| 2008 | The inflation risk premium in the term structure of interest rates In: BIS Quarterly Review. [Full Text][Citation analysis] | article | 91 |
| 2007 | Inflation risk premia in the term structure of interest rates.(2007) In: BIS Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 91 | paper | |
| 2012 | INFLATION RISK PREMIA IN THE TERM STRUCTURE OF INTEREST RATES.(2012) In: Journal of the European Economic Association. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 91 | article | |
| 2007 | Inflation risk premia in the term structure of interest rates.(2007) In: Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 91 | paper | |
| 2008 | Developments in repo markets during the financial turmoil In: BIS Quarterly Review. [Full Text][Citation analysis] | article | 84 |
| 2011 | Inflation expectations and the great recession In: BIS Quarterly Review. [Full Text][Citation analysis] | article | 15 |
| 2018 | Term premia: models and some stylised facts In: BIS Quarterly Review. [Full Text][Citation analysis] | article | 27 |
| 2022 | Under pressure: market conditions and stress In: BIS Quarterly Review. [Full Text][Citation analysis] | article | 1 |
| 2022 | Emerging market bond flows and exchange rate returns In: BIS Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2010 | Inflation risk premia in the US and the euro area In: BIS Working Papers. [Full Text][Citation analysis] | paper | 14 |
| 2010 | Inflation risk premia in the US and the euro area.(2010) In: Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | paper | |
| 2013 | Intraday dynamics of euro area sovereign CDS and bonds In: BIS Working Papers. [Full Text][Citation analysis] | paper | 36 |
| 2015 | Expectations and risk premia at 8:30am: Macroeconomic announcements and the yield curve In: BIS Working Papers. [Full Text][Citation analysis] | paper | 6 |
| 2016 | Low long-term interest rates as a global phenomenon In: BIS Working Papers. [Full Text][Citation analysis] | paper | 14 |
| 2017 | Arbitrage costs and the persistent non-zero CDS-bond basis: Evidence from intraday euro area sovereign debt markets In: BIS Working Papers. [Full Text][Citation analysis] | paper | 7 |
| 2019 | Modelling yields at the lower bound through regime shifts In: BIS Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2019 | Modelling yields at the lower bound through regime shifts.(2019) In: Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2021 | Sovereign credit and exchange rate risks: evidence from Asia-Pacific local currency bonds In: BIS Working Papers. [Full Text][Citation analysis] | paper | 10 |
| 2020 | Sovereign credit and exchange rate risks: Evidence from Asia-Pacific local currency bonds.(2020) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | paper | |
| 2023 | Sovereign credit and exchange rate risks: Evidence from Asia-Pacific local currency bonds.(2023) In: Journal of International Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | article | |
| 2020 | Sovereign Credit and Exchange Rate Risks: Evidence from Asia-Pacific Local Currency Bonds.(2020) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | paper | |
| 2021 | Debt specialisation and diversification: International evidence In: BIS Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 1997 | Changing Risk Premia: Evidence from a Small Open Economy In: Scandinavian Journal of Economics. [Full Text][Citation analysis] | article | 5 |
| 2004 | Measuring financial integration in the euro area In: Occasional Paper Series. [Full Text][Citation analysis] | paper | 412 |
| 2005 | Economic determinants of risk premia in the term structure of interest rates In: Research Bulletin. [Full Text][Citation analysis] | article | 0 |
| 2000 | Estimating the implied distribution of the future short term interest rate using the Longstaff-Schwartz model In: Working Paper Series. [Full Text][Citation analysis] | paper | 4 |
| 2000 | Estimating the Implied Distribution of the Future Short-Term Interest Rate Using the Longstaff-Schwartz Model.(2000) In: Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
| 2003 | Interpreting implied risk-neutral densities: the role of risk premia In: Working Paper Series. [Full Text][Citation analysis] | paper | 10 |
| 2005 | Interpreting Implied Risk-Neutral Densities: The Role of Risk Premia.(2005) In: Review of Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | article | |
| 2005 | Interpreting Implied Risk-Neutral Densities: The Role of Risk Premia.(2005) In: Review of Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | article | |
| 2004 | A joint econometric model of macroeconomic and term structure dynamics In: Working Paper Series. [Full Text][Citation analysis] | paper | 261 |
| 2004 | A joint econometric model of macroeconomic and term structure dynamics.(2004) In: Econometric Society 2004 North American Summer Meetings. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 261 | paper | |
| 2006 | A joint econometric model of macroeconomic and term-structure dynamics.(2006) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 261 | article | |
| 2004 | A joint econometric model of macroeconomic and term structure dynamics.(2004) In: Money Macro and Finance (MMF) Research Group Conference 2003. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 261 | paper | |
| 2006 | The impact of the euro on financial markets In: Working Paper Series. [Full Text][Citation analysis] | paper | 37 |
| 2007 | The yield curve and macroeconomic dynamics In: Working Paper Series. [Full Text][Citation analysis] | paper | 66 |
| 2008 | The Yield Curve and Macroeconomic Dynamics.(2008) In: Economic Journal. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 66 | article | |
| 2008 | The Yield Curve and Macroeconomic Dynamics.(2008) In: Economic Journal. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 66 | article | |
| 2018 | Price discovery in euro area sovereign credit markets and the ban on naked CDS In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 12 |
| 2003 | A joint econometric model of macroeconomic and term structure In: Proceedings. [Full Text][Citation analysis] | article | 60 |
| 2014 | Inflation Risk Premia in the Euro Area and the United States In: International Journal of Central Banking. [Full Text][Citation analysis] | article | 58 |
| 2006 | The term structure of inflation risk premia and macroeconomic dynamics In: Computing in Economics and Finance 2006. [Full Text][Citation analysis] | paper | 1 |
| 1998 | Testing the conditional CAPM using multivariate GARCH-M In: Applied Financial Economics. [Full Text][Citation analysis] | article | 29 |
| 2005 | Forecasting variance using stochastic volatility and GARCH In: The European Journal of Finance. [Full Text][Citation analysis] | article | 4 |
| 2020 | Expectations and Risk Premia at 8:30 a.m.: Deciphering the Responses of Bond Yields to Macroeconomic Announcements In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 4 |
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