Peter Hördahl : Citation Profile


Are you Peter Hördahl?

Bank for International Settlements (BIS)

14

H index

18

i10 index

1298

Citations

RESEARCH PRODUCTION:

20

Articles

26

Papers

1

Books

2

Chapters

RESEARCH ACTIVITY:

   26 years (1997 - 2023). See details.
   Cites by year: 49
   Journals where Peter Hördahl has often published
   Relations with other researchers
   Recent citing documents: 44.    Total self citations: 14 (1.07 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/phr25
   Updated: 2024-07-05    RAS profile: 2024-04-07    
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Relations with other researchers


Works with:

Chernov, Mikhail (4)

Creal, Drew (4)

Tristani, Oreste (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 (28)

Balli, Faruk (17)

Dewachter, Hans (13)

Moessner, Richhild (13)

BORIO, Claudio (13)

Swanson, Eric (13)

Taboga, Marco (12)

Favero, Carlo (11)

Meyer-Gohde, Alexander (10)

Pericoli, Marcello (10)

Kliem, Martin (10)

Cites to:

Singleton, Kenneth (19)

Rudebusch, Glenn (18)

Tristani, Oreste (17)

Piazzesi, Monika (15)

Ang, Andrew (14)

Diebold, Francis (13)

Bekaert, Geert (11)

Söderlind, Paul (10)

Vestin, David (9)

Galí, Jordi (9)

Dewachter, Hans (9)

Main data


Where Peter Hördahl has published?


Journals with more than one article published# docs
BIS Quarterly Review5

Working Papers Series with more than one paper published# docs
BIS Working Papers / Bank for International Settlements10
Working Paper Series / European Central Bank8

Recent works citing Peter Hördahl (2024 and 2023)


YearTitle of citing document
2023Oil 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.

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2023Macroeconomic drivers of Inflation Expectations and Inflation Risk Premia. (2023). Wauters, Joris ; Iania, Leonardo ; Boeckx, Jef. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2023003.

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2024Three Remarks On Asset Pricing. (2021). Olkhov, Victor. In: Papers. RePEc:arx:papers:2105.13903.

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2024Time-Varying Identification of Monetary Policy Shocks. (2023). Wo, Tomasz ; Camehl, Annika. In: Papers. RePEc:arx:papers:2311.05883.

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2024U.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.

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2023The Three Intelligible Factors of the Yield Curve in Mexico. (2023). Rocio, Elizondo. In: Working Papers. RePEc:bdm:wpaper:2023-13.

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2023.

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2023CP and CDs markets: a primer. (2023). Todorov, Karamfil ; Schrimpf, Andreas ; Aquilina, Matteo. In: BIS Quarterly Review. RePEc:bis:bisqtr:2309e.

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2024Quo 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.

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2023Overcoming original sin: insights from a new dataset. (2023). Onen, Mert ; von Peter, Goetz ; Shin, Hyun Song. In: BIS Working Papers. RePEc:bis:biswps:1075.

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2023Pricing 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.

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2023Market 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.

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2023Identifying 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.

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2023A 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.

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2024Monetary asmmetries without (and with) price stickiness. (2024). Jaccard, Ivan. In: Working Paper Series. RePEc:ecb:ecbwps:20242928.

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2023Wavelet 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.

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2023The 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.

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2023Term 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.

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2024Can 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.

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2023Do 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.

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2023Monetary 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.

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2023Dynamic 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.

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2024Emergency liquidity injections. (2024). Garvin, Nicholas. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pa:p:1496-1513.

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2024Quantitative 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.

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2024Quantitative 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.

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2023Sovereign 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.

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2024Quantitative Easing, Bond Risk Premia and the Exchange Rate in a Small Open Economy. (2024). Zhang, Xin. In: Working Paper Series. RePEc:hhs:rbnkwp:0434.

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2023Sovereign 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.

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2024Navigating 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.

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2024Encumbered 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.

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2023Sovereign 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.

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2023.

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2023Pricing the Bund term structure with linear regressions – without an observable short rate. (2023). Speck, Christian. In: Discussion Papers. RePEc:zbw:bubdps:082023.

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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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paper24
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
2007Understanding asset prices: an overview In: BIS Papers.
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book15
2008The inflation risk premium in the term structure of interest rates In: BIS Quarterly Review.
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article91
2007Inflation 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
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 nother version. Agregated cites: 91
article
2007Inflation risk premia in the term structure of interest rates.(2007) In: Working Paper Series.
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This paper has nother version. Agregated cites: 91
paper
2008Developments in repo markets during the financial turmoil In: BIS Quarterly Review.
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article84
2011Inflation expectations and the great recession In: BIS Quarterly Review.
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article15
2018Term premia: models and some stylised facts In: BIS Quarterly Review.
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article26
2022Under pressure: market conditions and stress In: BIS Quarterly Review.
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article1
2022Emerging market bond flows and exchange rate returns In: BIS Working Papers.
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paper1
2010Inflation risk premia in the US and the euro area In: BIS Working Papers.
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paper14
2010Inflation risk premia in the US and the euro area.(2010) In: Working Paper Series.
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This paper has nother version. Agregated cites: 14
paper
2013Intraday dynamics of euro area sovereign CDS and bonds In: BIS Working Papers.
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paper36
2015Expectations and risk premia at 8:30am: Macroeconomic announcements and the yield curve In: BIS Working Papers.
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paper6
2016Low long-term interest rates as a global phenomenon In: BIS Working Papers.
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paper14
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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paper7
2019Modelling yields at the lower bound through regime shifts In: BIS Working Papers.
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paper1
2019Modelling yields at the lower bound through regime shifts.(2019) In: Working Paper Series.
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This paper has nother version. Agregated cites: 1
paper
2021Sovereign credit and exchange rate risks: evidence from Asia-Pacific local currency bonds In: BIS Working Papers.
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paper9
2020Sovereign credit and exchange rate risks: Evidence from Asia-Pacific local currency bonds.(2020) In: CEPR Discussion Papers.
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This paper has nother version. Agregated cites: 9
paper
2023Sovereign credit and exchange rate risks: Evidence from Asia-Pacific local currency bonds.(2023) In: Journal of International Economics.
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This paper has nother version. Agregated cites: 9
article
2020Sovereign Credit and Exchange Rate Risks: Evidence from Asia-Pacific Local Currency Bonds.(2020) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 9
paper
2021Debt specialisation and diversification: International evidence In: BIS Working Papers.
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paper0
1997Changing Risk Premia: Evidence from a Small Open Economy In: Scandinavian Journal of Economics.
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article5
2004Measuring financial integration in the euro area In: Occasional Paper Series.
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paper412
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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paper4
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 nother version. Agregated cites: 4
paper
2003Interpreting implied risk-neutral densities: the role of risk premia In: Working Paper Series.
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paper10
2005Interpreting Implied Risk-Neutral Densities: The Role of Risk Premia.(2005) In: Review of Finance.
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This paper has nother version. Agregated cites: 10
article
2005Interpreting Implied Risk-Neutral Densities: The Role of Risk Premia.(2005) In: Review of Finance.
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This paper has nother version. Agregated cites: 10
article
2004A joint econometric model of macroeconomic and term structure dynamics In: Working Paper Series.
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paper259
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 nother version. Agregated cites: 259
paper
2006A joint econometric model of macroeconomic and term-structure dynamics.(2006) In: Journal of Econometrics.
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This paper has nother version. Agregated cites: 259
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 nother version. Agregated cites: 259
paper
2006The impact of the euro on financial markets In: Working Paper Series.
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paper37
2007The yield curve and macroeconomic dynamics In: Working Paper Series.
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paper66
2008The Yield Curve and Macroeconomic Dynamics.(2008) In: Economic Journal.
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This paper has nother version. Agregated cites: 66
article
2008The Yield Curve and Macroeconomic Dynamics.(2008) In: Economic Journal.
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This paper has nother version. Agregated cites: 66
article
2018Price discovery in euro area sovereign credit markets and the ban on naked CDS In: Journal of Banking & Finance.
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article11
2003A joint econometric model of macroeconomic and term structure In: Proceedings.
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article57
2014Inflation Risk Premia in the Euro Area and the United States In: International Journal of Central Banking.
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article55
2006The term structure of inflation risk premia and macroeconomic dynamics In: Computing in Economics and Finance 2006.
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paper1
1998Testing the conditional CAPM using multivariate GARCH-M In: Applied Financial Economics.
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article29
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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article4

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