Peter Hördahl : Citation Profile


Are you Peter Hördahl?

Bank for International Settlements (BIS)

12

H index

13

i10 index

975

Citations

RESEARCH PRODUCTION:

17

Articles

21

Papers

2

Chapters

RESEARCH ACTIVITY:

   23 years (1997 - 2020). See details.
   Cites by year: 42
   Journals where Peter Hördahl has often published
   Relations with other researchers
   Recent citing documents: 34.    Total self citations: 11 (1.12 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/phr25
   Updated: 2021-03-01    RAS profile: 2020-08-17    
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Relations with other researchers


Works with:

Tristani, Oreste (2)

Gyntelberg, Jacob (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 (25)

Balli, Faruk (14)

Swanson, Eric (13)

Dewachter, Hans (12)

BORIO, Claudio (11)

Favero, Carlo (11)

Moessner, Richhild (10)

Andreasen, Martin (9)

Lane, Philip (9)

Balli, Hatice (9)

Lyrio, Marco (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)

Sims, Christopher (6)

Galí, Jordi (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 (2021 and 2020)


YearTitle of citing document
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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2021A Non-Knotty Inflation Risk Premium Model. (2021). Machado, Jose Valentim. In: Working Papers Series. RePEc:bcb:wpaper:543.

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2020Break-even inflation rates: the Italian case. (2020). Fanari, Marco ; di Iorio, Alberto. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_578_20.

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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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2020What share for gold? On the interaction of gold and foreign exchange reserve returns. (2020). Zulaica, Omar. In: BIS Working Papers. RePEc:bis:biswps:906.

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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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2020The Single Supervisory Mechanism and its implications for the profitability of European Banks. (2020). Louri, Helen ; Dendramis, Yiannis ; Avgeri, Ioanna. In: Working Papers. RePEc:bog:wpaper:284.

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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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2020The (ir)relevance of the nominal lower bound for real yield curve analysis. (2020). Schupp, Fabian. In: Working Paper Series. RePEc:ecb:ecbwps:20202476.

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2021Equity premium and monetary policy in a model with limited asset market participation. (2021). Maršál, Aleš ; Kaszab, Lorant ; Horvath, Roman ; Marsal, Ales. In: Economic Modelling. RePEc:eee:ecmode:v:95:y:2021:i:c:p:430-440.

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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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2020Financial integration in Europe through the lens of composite indicators. (2020). Kremer, Manfred ; Zaharia, Sonia ; Hoffmann, Peter. In: Economics Letters. RePEc:eee:ecolet:v:194:y:2020:i:c:s0165176520302226.

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2020Close encounters of the European kind: Economic integration, sectoral heterogeneity and structural reforms. (2020). Sturm, Jan-Egbert ; Campos, Nauro ; Eichenauer, Vera Z. In: European Economic Review. RePEc:eee:eecrev:v:129:y:2020:i:c:s0014292120301422.

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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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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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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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2020The (un)intended effects of government bailouts: The impact of TARP on the interbank market and bank risk-taking. (2020). Wang, Weichao ; Behr, Patrick. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:116:y:2020:i:c:s037842662030087x.

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2020The central banks’ ability to control variability of money market interest rates: The case of inflation targeting countries. (2020). Brůna, Karel ; van Tran, Quang ; Bruna, Karel . In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:176:y:2020:i:c:p:384-402.

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2021The reinvestment risk premium in the valuation of British and Russian government bonds. (2021). Rodina, Victoria A ; Teplova, Tamara V. In: Research in International Business and Finance. RePEc:eee:riibaf:v:55:y:2021:i:c:s0275531919307718.

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2020.

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2020Are Shadow Rate Models of the Treasury Yield Curve Structurally Stable?. (2020). Priebsch, Marcel A ; Kim, Don H. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2020-61.

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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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2020How Economic Crises Affect Inflation Beliefs: Evidence from the COVID-19 Pandemic. (2020). van der Klaauw, Wilbert ; topa, giorgio ; Pomerantz, Rachel ; armantier, olivier ; Smith, Kyle ; Skandalis, Daphne ; Koar, Gizem. In: Staff Reports. RePEc:fip:fednsr:89120.

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2021Real and Nominal Equilibrium Yield Curves. (2021). Rica, E ; Hsu, Alex ; Palomino, Francisco. In: Management Science. RePEc:inm:ormnsc:v:67:y:2021:i:2:p:1138-1158.

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2020Euro Area Monetary Communications: Excess Sensitivity and Perception Shocks. (2020). Mikaliunaite, Ieva ; Jouvanceau, Valentin. In: Bank of Lithuania Working Paper Series. RePEc:lie:wpaper:79.

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2020.

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2020Sovereign bond and CDS market contagion: A story from the Eurozone crisis.. (2020). Politsidis, Panagiotis ; Panagiotidis, Theodore ; Bampinas, Georgios. In: MPRA Paper. RePEc:pra:mprapa:102846.

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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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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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2020.

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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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Works by Peter Hördahl:


YearTitleTypeCited
2020EME bond portfolio flows and long-term interest rates during the Covid-19 pandemic In: BIS Bulletins.
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paper4
2019Determinants of Asia-Pacific government bond yields In: BIS Papers chapters.
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chapter0
2019Corporate bond use in Asia and the United States In: BIS Papers chapters.
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chapter0
2008The inflation risk premium in the term structure of interest rates In: BIS Quarterly Review.
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article60
2007Inflation risk premia in the term structure of interest rates.(2007) In: BIS Working Papers.
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This paper has another version. Agregated cites: 60
paper
2012INFLATION RISK PREMIA IN THE TERM STRUCTURE OF INTEREST RATES.(2012) In: Journal of the European Economic Association.
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This paper has another version. Agregated cites: 60
article
2007Inflation risk premia in the term structure of interest rates.(2007) In: Working Paper Series.
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This paper has another version. Agregated cites: 60
paper
2008Developments in repo markets during the financial turmoil In: BIS Quarterly Review.
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article66
2011Inflation expectations and the great recession In: BIS Quarterly Review.
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article14
2018Term premia: models and some stylised facts In: BIS Quarterly Review.
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article12
2010Inflation risk premia in the US and the euro area In: BIS Working Papers.
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paper10
2010Inflation risk premia in the US and the euro area.(2010) In: Working Paper Series.
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This paper has another version. Agregated cites: 10
paper
2013Intraday dynamics of euro area sovereign CDS and bonds In: BIS Working Papers.
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paper20
2015Expectations and risk premia at 8:30am: Macroeconomic announcements and the yield curve In: BIS Working Papers.
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paper5
2016Low long-term interest rates as a global phenomenon In: BIS Working Papers.
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paper6
2017Arbitrage costs and the persistent non-zero CDS-bond basis: Evidence from intraday euro area sovereign debt markets In: BIS Working Papers.
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paper3
2019Modelling yields at the lower bound through regime shifts In: BIS Working Papers.
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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.
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article0
2004Measuring financial integration in the euro area In: Occasional Paper Series.
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paper314
2005Economic determinants of risk premia in the term structure of interest rates In: Research Bulletin.
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article0
2000Estimating the implied distribution of the future short term interest rate using the Longstaff-Schwartz model In: Working Paper Series.
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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.
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paper8
2005Interpreting Implied Risk-Neutral Densities: The Role of Risk Premia.(2005) In: Review of Finance.
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This paper has another version. Agregated cites: 8
article
2005Interpreting Implied Risk-Neutral Densities: The Role of Risk Premia.(2005) In: Review of Finance.
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This paper has another version. Agregated cites: 8
article
2004A joint econometric model of macroeconomic and term structure dynamics In: Working Paper Series.
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paper232
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: 232
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: 232
article
2004A joint econometric model of macroeconomic and term structure dynamics.(2004) In: Money Macro and Finance (MMF) Research Group Conference 2003.
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This paper has another version. Agregated cites: 232
paper
2006The impact of the euro on financial markets In: Working Paper Series.
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paper35
2007The yield curve and macroeconomic dynamics In: Working Paper Series.
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paper57
2008The Yield Curve and Macroeconomic Dynamics.(2008) In: Economic Journal.
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This paper has another version. Agregated cites: 57
article
2018Price discovery in euro area sovereign credit markets and the ban on naked CDS In: Journal of Banking & Finance.
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article3
2003A joint econometric model of macroeconomic and term structure In: Proceedings.
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article60
2014Inflation Risk Premia in the Euro Area and the United States In: International Journal of Central Banking.
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article33
2020Sovereign Credit and Exchange Rate Risks: Evidence from Asia-Pacific Local Currency Bonds In: NBER Working Papers.
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paper0
1998Testing the conditional CAPM using multivariate GARCH-M In: Applied Financial Economics.
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article27
2005Forecasting variance using stochastic volatility and GARCH In: The European Journal of Finance.
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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.
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article0

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