Peter Hördahl : Citation Profile

Are you Peter Hördahl?

Bank for International Settlements (BIS)

11

H index

13

i10 index

949

Citations

RESEARCH PRODUCTION:

17

Articles

21

Papers

2

Chapters

RESEARCH ACTIVITY:

   23 years (1997 - 2020). See details.
   Cites by year: 41
   Journals where Peter Hördahl has often published
   Relations with other researchers
   Recent citing documents: 50.    Total self citations: 11 (1.15 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/phr25
   Updated: 2020-09-14    RAS profile: 2020-08-17    
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Relations with other researchers

Works with:

Tristani, Oreste (2)

Gyntelberg, Jacob (2)

Remolona, Eli (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Peter Hördahl.

Is cited by:

Rudebusch, Glenn (24)

Balli, Faruk (14)

Swanson, Eric (13)

Dewachter, Hans (12)

Favero, Carlo (11)

BORIO, Claudio (11)

Moessner, Richhild (10)

Balli, Hatice (9)

Andreasen, Martin (9)

Lyrio, Marco (9)

Lane, Philip (9)

Cites to:

Singleton, Kenneth (17)

Rudebusch, Glenn (13)

Piazzesi, Monika (12)

Tristani, Oreste (10)

Diebold, Francis (9)

Ang, Andrew (8)

Reinhart, Carmen (7)

Duffie, Darrell (7)

Bekaert, Geert (6)

Gertler, Mark (6)

Mayordomo, Sergio (6)

Main data

Where Peter Hördahl has published?

Journals with more than one article published# docs
BIS Quarterly Review4

Working Papers Series with more than one paper published# docs
Working Paper Series / European Central Bank8
BIS Working Papers / Bank for International Settlements7

Recent works citing Peter Hördahl (2020 and 2019)

YearTitle of citing document
2019Quantitative Easing and the Term Premium as a Monetary Policy Instrument. (2019). Vaccaro-Grange, Etienne. In: AMSE Working Papers. RePEc:aim:wpaimx:1932.

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2020Government Bond Market Integration in ASEAN Countries. (2020). Zhuo, Juanjuan ; Kumamoto, Masao. In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2020:p:289-312.

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2019Forecasting and Trading Monetary Policy Switching Nelson-Siegel Models. (2019). Guidolin, Massimo ; Pedio, Manuela. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp19106.

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2019An assessment of recent trends in market-based expected iflation in the euro area. (2019). Pericoli, Marcello. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_542_19.

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2019Evaluating the macroeconomic effects of the ECB’s unconventional monetary policies. (2019). Sahuc, Jean-Guillaume ; Mouabbi, Sarah. In: Working papers. RePEc:bfr:banfra:708.

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2020The fiscal response to the Covid-19 crisis in advanced and emerging market economies. (2020). Moessner, Richhild ; Cheng, Gong ; Arslan, Yavuz ; Alberola-Ila, Enrique. In: BIS Bulletins. RePEc:bis:bisblt:23.

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2020International dimensions of EME corporate debt. (2020). von Peter, Goetz ; McGuire, Patrick ; Avdjiev, Stefan. In: BIS Quarterly Review. RePEc:bis:bisqtr:2006b.

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2019Interest rate spillovers from the United States: expectations, term premia and macro-financial vulnerabilities. (2019). Moessner, Richhild ; Mehrotra, Aaron ; Author, Chang Shu. In: BIS Working Papers. RePEc:bis:biswps:814.

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2019Fragmentation in global financial markets: good or bad for financial stability?. (2019). Claessens, Stijn. In: BIS Working Papers. RePEc:bis:biswps:815.

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2020Bank intermediation activity in a low‐interest‐rate environment. (2020). Gambacorta, Leonardo ; Brei, Michael ; Borio, Claudio. In: Economic Notes. RePEc:bla:ecnote:v:49:y:2020:i:2:n:e12164.

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2019Interest rate spillovers from the United States : expectations, term premia and macro-financial vulnerabilities. (2019). Moessner, Richhild ; Mehrotra, Aaron ; Shu, Chang. In: BOFIT Discussion Papers. RePEc:bof:bofitp:2019_020.

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2019Crisis management for euro-area banks in central Europe. (2019). Lehmann, Alexander. In: Policy Contributions. RePEc:bre:polcon:33343.

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2019Interest Rate Spillovers from the United States: Expectations, Term Premia and Macro-Financial Vulnerabilities. (2019). Moessner, Richhild ; Mehrotra, Aaron ; Shu, Chang. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7896.

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2019Global Dimensions of U.S. Monetary Policy. (2019). Obstfeld, Maurice. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13887.

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2019Evaluating the Macroeconomic Effects of the ECBs Unconventional Monetary Policies. (2019). Sahuc, Jean-Guillaume ; Mouabbi, Sarah. In: EconomiX Working Papers. RePEc:drm:wpaper:2019-2.

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2019Financial integration in Europe through the lens of composite indicators. (2019). Kremer, Manfred ; Zaharia, Sonia ; Hoffmann, Peter. In: Working Paper Series. RePEc:ecb:ecbwps:20192319.

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2020On the inflation risks embedded in sovereign bond yields. (2020). Camba-Mendez, Gonzalo. In: Working Paper Series. RePEc:ecb:ecbwps:20202423.

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2019A dynamic Nelson–Siegel model with forward-looking macroeconomic factors for the yield curve in the US. (2019). Fernandes, Marcelo ; Vieira, Fausto. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:106:y:2019:i:c:4.

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2019Forecasting and trading monetary policy effects on the riskless yield curve with regime switching Nelson–Siegel models. (2019). Guidolin, Massimo ; Pedio, Manuela. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:107:y:2019:i:c:1.

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2020Holidays, weekends and range-based volatility. (2020). Pardo, Angel ; Diaz-Mendoza, Ana-Carmen. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940819303110.

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2019Inflation risk premia and risk-adjusted expectations of inflation. (2019). Miccoli, Marcello ; Casiraghi, Marco. In: Economics Letters. RePEc:eee:ecolet:v:175:y:2019:i:c:p:36-39.

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2020Oil price shocks and EMU sovereign yield spreads. (2020). Filis, George ; Filippidis, Michail ; Kizys, Renatas. In: Energy Economics. RePEc:eee:eneeco:v:86:y:2020:i:c:s0140988319304530.

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2019Global and regional stock market integration in Asia: A panel convergence approach. (2019). Caporale, Guglielmo Maria ; Chen, Lei ; You, Kefei. In: International Review of Financial Analysis. RePEc:eee:finana:v:65:y:2019:i:c:s1057521918306665.

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2019Financial sector bailouts, sovereign bailouts, and the transfer of credit risk. (2019). Nguyen, Viet Hoang ; Huang, Jingong ; Greenwood-Nimmo, Matthew. In: Journal of Financial Markets. RePEc:eee:finmar:v:42:y:2019:i:c:p:121-142.

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2020Estimating unknown arbitrage costs: Evidence from a 3-regime threshold vector error correction model. (2020). Urban, Jorg ; Ters, Kristyna. In: Journal of Financial Markets. RePEc:eee:finmar:v:47:y:2020:i:c:s1386418119300084.

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2020Systemic risk and financial stability dynamics during the Eurozone debt crisis. (2020). Kouretas, Georgios ; Bratis, Theodoros ; Laopodis, Nikiforos T. In: Journal of Financial Stability. RePEc:eee:finsta:v:47:y:2020:i:c:s1572308920300012.

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2019Measuring connectedness of euro area sovereign risk. (2019). Schienle, Melanie ; Buse, Rebekka. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:1:p:25-44.

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2020How connected is the global sovereign credit risk network?. (2020). Yilmaz, Kamil ; Bostanci, Gorkem. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:113:y:2020:i:c:s0378426620300285.

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2019A Calibration of the Term Premia to the Euro Area. (2019). McCoy, Eric. In: European Economy - Discussion Papers 2015 -. RePEc:euf:dispap:110.

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2020Risk Premia at the ZLB: A Macroeconomic Interpretation. (2020). Gourio, Francois ; Ngo, Phuong. In: Working Paper Series. RePEc:fip:fedhwp:87504.

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2019Quantitative Easing and the Term Premium as a Monetary Policy Instrument. (2019). Vaccaro-Grange, Etienne. In: Working Papers. RePEc:hal:wpaper:halshs-02359503.

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2019Testing for breaks in the cointegrating relationship: On the stability of government bond markets equilibrium. (2019). Sibbertsen, Philipp ; Rodrigues, Paulo ; Voges, Michelle. In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-656.

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2019Forecasting and Trading Monetary Policy Effects on the Riskless Yield Curve with Regime Switching Nelson‐Siegel Models. (2019). Guidolin, Massimo ; Pedio, Manuela. In: Working Papers. RePEc:igi:igierp:639.

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2019Globalization or Regionalization of Stock Markets? the Case of Central and Eastern European Countries. (2019). Stanek, Piotr ; Beck, Krzysztof. In: Eastern European Economics. RePEc:mes:eaeuec:v:57:y:2019:i:4:p:317-330.

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2019Is a recession imminent? The signal of the yield curve. (2019). van Nieuwenhuyze, CH ; Deroose, M ; de Backer, B. In: Economic Review. RePEc:nbb:ecrart:y:2019:m:june:i:i:p:69-93.

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2019Global Dimensions of U.S. Monetary Policy. (2019). Obstfeld, Maurice. In: NBER Working Papers. RePEc:nbr:nberwo:26039.

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2019Monetary and Exchange Rate Policies for Sustained Growth in Asia. (2019). Turner, Philip ; Gagnon, Joseph E. In: National Institute of Economic and Social Research (NIESR) Discussion Papers. RePEc:nsr:niesrd:497.

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2020.

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2019Assessing the Macroeconomic Impact of the ECB’s Asset Purchase Programme in a Dynamic Nelson–Siegel Modelling Framework. (2019). Zhou, Siwen. In: MPRA Paper. RePEc:pra:mprapa:92530.

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2019Emergency Liquidity Injections. (2019). Garvin, Nicholas. In: RBA Research Discussion Papers. RePEc:rba:rbardp:rdp2019-10.

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2020Term premium and rate expectation estimates from the South African yield curve. (2020). Steenkamp, Daan ; Soobyah, Luchelle. In: Working Papers. RePEc:rbz:wpaper:9998.

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2019Monetary Policy and the Limits to Arbitrage: Insights from a New Keynesian Preferred Habitat Model. (2019). Ray, Walker. In: 2019 Meeting Papers. RePEc:red:sed019:692.

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2020Financial Market and Capital Flow Dynamics During the COVID-19 Pandemic. (2020). Beirne, John ; Volz, Ulrich ; Sugandi, Eric Alexander ; Renzhi, Nuobu. In: ADBI Working Papers. RePEc:ris:adbiwp:1158.

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2020Bank Monitoring and Liquidity in the Business Cycle. (2020). Minetti, Raoul ; Kokas, Sotirios ; di Pietro, Marco ; Cal, Qingqing. In: Working Papers. RePEc:ris:msuecw:2020_003.

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2019A macro–financial analysis of the corporate bond market. (2019). Dewachter, Hans ; Lemke, Wolfgang ; Iania, Leonardo ; Lyrio, Marco. In: Empirical Economics. RePEc:spr:empeco:v:57:y:2019:i:6:d:10.1007_s00181-018-1530-8.

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2019Effectiveness of policy and regulation in European sovereign credit risk markets: a network analysis. (2019). Schienle, Melanie ; Urban, Jorg ; Buse, Rebekka. In: ESRB Working Paper Series. RePEc:srk:srkwps:201990.

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2019Measuring Inflation Anchoring and Uncertainty: A U.S. and Euro Area Comparison. (2019). Renne, Jean-Paul ; Mouabbi, Sarah ; Grishchenko, Olesya. In: Journal of Money, Credit and Banking. RePEc:wly:jmoncb:v:51:y:2019:i:5:p:1053-1096.

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2019Predicting Long‐Term Financial Returns: VAR versus DSGE Model—A Horse Race. (2019). Jondeau, Eric ; Rockinger, Michael. In: Journal of Money, Credit and Banking. RePEc:wly:jmoncb:v:51:y:2019:i:8:p:2239-2291.

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2020The (ir)relevance of the nominal lower bound for real yield curve analysis. (2020). Schupp, Fabian. In: Discussion Papers. RePEc:zbw:bubdps:322020.

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2019(Un)expected monetary policy shocks and term premia. (2019). Meyer-Gohde, Alexander ; Kliem, Martin. In: IMFS Working Paper Series. RePEc:zbw:imfswp:137.

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Works by Peter Hördahl:

YearTitleTypeCited
2020EME bond portfolio flows and long-term interest rates during the Covid-19 pandemic In: BIS Bulletins.
[Full Text][Citation analysis]		paper4
2019Determinants of Asia-Pacific government bond yields In: BIS Papers chapters.
[Full Text][Citation analysis]		chapter0
2019Corporate bond use in Asia and the United States In: BIS Papers chapters.
[Full Text][Citation analysis]		chapter0
2008The inflation risk premium in the term structure of interest rates In: BIS Quarterly Review.
[Full Text][Citation analysis]		article57
2007Inflation risk premia in the term structure of interest rates.(2007) In: BIS Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 57		paper
2012INFLATION RISK PREMIA IN THE TERM STRUCTURE OF INTEREST RATES.(2012) In: Journal of the European Economic Association.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 57		article
2007Inflation risk premia in the term structure of interest rates.(2007) In: Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 57		paper
2008Developments in repo markets during the financial turmoil In: BIS Quarterly Review.
[Full Text][Citation analysis]		article65
2011Inflation expectations and the great recession In: BIS Quarterly Review.
[Full Text][Citation analysis]		article13
2018Term premia: models and some stylised facts In: BIS Quarterly Review.
[Full Text][Citation analysis]		article10
2010Inflation risk premia in the US and the euro area In: BIS Working Papers.
[Full Text][Citation analysis]		paper10
2010Inflation risk premia in the US and the euro area.(2010) In: Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 10		paper
2013Intraday dynamics of euro area sovereign CDS and bonds In: BIS Working Papers.
[Full Text][Citation analysis]		paper20
2015Expectations and risk premia at 8:30am: Macroeconomic announcements and the yield curve In: BIS Working Papers.
[Full Text][Citation analysis]		paper5
2016Low long-term interest rates as a global phenomenon In: BIS Working Papers.
[Full Text][Citation analysis]		paper5
2017Arbitrage 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]		paper2
2019Modelling yields at the lower bound through regime shifts In: BIS Working Papers.
[Full Text][Citation analysis]		paper0
2019Modelling yields at the lower bound through regime shifts.(2019) In: Working Paper Series.
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This paper has another version. Agregated cites: 0		paper
1997Changing Risk Premia: Evidence from a Small Open Economy In: Scandinavian Journal of Economics.
[Full Text][Citation analysis]		article0
2004Measuring financial integration in the euro area In: Occasional Paper Series.
[Full Text][Citation analysis]		paper310
2005Economic determinants of risk premia in the term structure of interest rates In: Research Bulletin.
[Full Text][Citation analysis]		article0
2000Estimating the implied distribution of the future short term interest rate using the Longstaff-Schwartz model In: Working Paper Series.
[Full Text][Citation analysis]		paper2
2000Estimating the Implied Distribution of the Future Short-Term Interest Rate Using the Longstaff-Schwartz Model.(2000) In: Working Paper Series.
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This paper has another version. Agregated cites: 2		paper
2003Interpreting implied risk-neutral densities: the role of risk premia In: Working Paper Series.
[Full Text][Citation analysis]		paper8
2005Interpreting Implied Risk-Neutral Densities: The Role of Risk Premia.(2005) In: Review of Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8		article
2005Interpreting Implied Risk-Neutral Densities: The Role of Risk Premia.(2005) In: Review of Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8		article
2004A joint econometric model of macroeconomic and term structure dynamics In: Working Paper Series.
[Full Text][Citation analysis]		paper226
2004A joint econometric model of macroeconomic and term structure dynamics.(2004) In: Econometric Society 2004 North American Summer Meetings.
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This paper has another version. Agregated cites: 226		paper
2006A joint econometric model of macroeconomic and term-structure dynamics.(2006) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 226		article
2004A 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 another version. Agregated cites: 226		paper
2006The impact of the euro on financial markets In: Working Paper Series.
[Full Text][Citation analysis]		paper35
2007The yield curve and macroeconomic dynamics In: Working Paper Series.
[Full Text][Citation analysis]		paper55
2008The Yield Curve and Macroeconomic Dynamics.(2008) In: Economic Journal.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 55		article
2018Price discovery in euro area sovereign credit markets and the ban on naked CDS In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article2
2003A joint econometric model of macroeconomic and term structure In: Proceedings.
[Full Text][Citation analysis]		article60
2014Inflation Risk Premia in the Euro Area and the United States In: International Journal of Central Banking.
[Full Text][Citation analysis]		article30
2020Sovereign Credit and Exchange Rate Risks: Evidence from Asia-Pacific Local Currency Bonds In: NBER Working Papers.
[Full Text][Citation analysis]		paper0
1998Testing the conditional CAPM using multivariate GARCH-M In: Applied Financial Economics.
[Full Text][Citation analysis]		article26
2005Forecasting variance using stochastic volatility and GARCH In: The European Journal of Finance.
[Full Text][Citation analysis]		article4
2020Expectations 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]		article0

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