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Leonardo Iania

Personal Details

First Name:Leonardo
Middle Name:
Last Name:Iania
Suffix:
RePEc Short-ID:pia23
[This author has chosen not to make the email address public]

Affiliation

Louvain Finance
Louvain Institute of Data Analysis and Modelling in Economics and Statistics (LIDAM)
Université Catholique de Louvain

Louvain-la-Neuve, Belgium
https://uclouvain.be/en/research-institutes/lidam/lfin
RePEc:edi:lfuclbe (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Allard, Anne-Florence & Iania, Leonardo & Smedts, Kristien, 2020. "Stock-bond return correlations: Moving away from "one-frequency-fits-all" by extending the DCC-MIDAS approach," LIDAM Reprints LFIN 2020005, Université catholique de Louvain, Louvain Finance (LFIN).
  2. Iania, Leonardo & Lyrio, Marco & Moura, Rubens, 2020. "Bond Risk Premia in Emerging Markets: Evidence from Brazil, China, Mexico, and Russia," LIDAM Discussion Papers LFIN 2020010, Université catholique de Louvain, Louvain Finance (LFIN).
  3. Dewacther, Hans & Iania, Leonardo & Lemke, Wolfgang & Lyrio, Marco, 2019. "A Macro-Financial Analysis of the Corporate Bond Market," LIDAM Reprints LFIN 2019008, Université catholique de Louvain, Louvain Finance (LFIN).
  4. Eric Ghysels & Leonardo Iania & Jonas Striaukas, 2018. "Quantile-based Inflation Risk Models," Working Paper Research 349, National Bank of Belgium.
  5. Hans Dewachter & Leonardo Iania & Jean-Charles Wijnandts, 2016. "The response of euro area sovereign spreads to the ECB unconventional monetary policies," Working Paper Research 309, National Bank of Belgium.
  6. Dewachter, Hans & Iania, Leonardo & Lyrio, Marco & Perea, Maite de Sola, 2015. "A macro-financial analysis of the euro area sovereign bond market," LIDAM Reprints LFIN 2015009, Université catholique de Louvain, Louvain Finance (LFIN).
  7. Dewachter, Hans & Iania, Leonardo & Lyrio, Marco, 2014. "Information in the yield curve: A macro-finance approach," LIDAM Reprints LFIN 2014007, Université catholique de Louvain, Louvain Finance (LFIN).
  8. Liu, Qiang & Vekemans, Katrien & Iania, Leonardo & Komuta, Mina & Parkkinen, Jaakko & Heedfeld, Veerle & Wylin, Tine, 2014. "Assessing warm ischemic injury of pig livers at hypothermic machine perfusion," LIDAM Reprints LFIN 2014009, Université catholique de Louvain, Louvain Finance (LFIN).
  9. Dewachter, Hans & Iania, Leonardo, 2012. "An Extended Macro-Finance Model with Financial Factors," LIDAM Reprints LFIN 2012001, Université catholique de Louvain, Louvain Finance (LFIN).
  10. Dewachter, Hans & Iania, Leonardo & Lyrio, Marco, 2011. "A New-Keynesian Model of the Yield Curve with Learning Dynamics: A Bayesian Evaluation," Insper Working Papers wpe_250, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.

Articles

  1. Allard, Anne-Florence & Iania, Leonardo & Smedts, Kristien, 2020. "Stock-bond return correlations: Moving away from “one-frequency-fits-all” by extending the DCC-MIDAS approach," International Review of Financial Analysis, Elsevier, vol. 71(C).
  2. Hans Dewachter & Leonardo Iania & Wolfgang Lemke & Marco Lyrio, 2019. "A macro–financial analysis of the corporate bond market," Empirical Economics, Springer, vol. 57(6), pages 1911-1933, December.
  3. Dewachter, Hans & Iania, Leonardo & Lyrio, Marco & de Sola Perea, Maite, 2015. "A macro-financial analysis of the euro area sovereign bond market," Journal of Banking & Finance, Elsevier, vol. 50(C), pages 308-325.
  4. Hans Dewachter & Leonardo Iania & Marco Lyrio, 2014. "Information In The Yield Curve: A Macro‐Finance Approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 29(1), pages 42-64, January.
  5. Dewachter, Hans & Iania, Leonardo, 2011. "An Extended Macro-Finance Model with Financial Factors," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 46(6), pages 1893-1916, December.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Allard, Anne-Florence & Iania, Leonardo & Smedts, Kristien, 2020. "Stock-bond return correlations: Moving away from "one-frequency-fits-all" by extending the DCC-MIDAS approach," LIDAM Reprints LFIN 2020005, Université catholique de Louvain, Louvain Finance (LFIN).

    Cited by:

    1. Pan, Beier, 2023. "The asymmetric dynamics of stock–bond liquidity correlation in China: The role of macro-financial determinants," Economic Modelling, Elsevier, vol. 124(C).
    2. Guo, Yaoqi & Deng, Yiwen & Zhang, Hongwei, 2023. "How do composite and categorical economic policy uncertainties affect the long-term correlation between China's stock and conventional/green bond markets?," Finance Research Letters, Elsevier, vol. 57(C).
    3. Pineda, Julián & Cortés, Lina M. & Perote, Javier, 2022. "Financial contagion drivers during recent global crises," Economic Modelling, Elsevier, vol. 117(C).
    4. Jian Ni & Yue Xu, 2023. "Forecasting the Dynamic Correlation of Stock Indices Based on Deep Learning Method," Computational Economics, Springer;Society for Computational Economics, vol. 61(1), pages 35-55, January.
    5. Wang, Xiong & Li, Jingyao & Ren, Xiaohang & Bu, Ruijun & Jawadi, Fredj, 2023. "Economic policy uncertainty and dynamic correlations in energy markets: Assessment and solutions," Energy Economics, Elsevier, vol. 117(C).
    6. Su, Xianfang & Guo, Dawei & Dai, Liang, 2023. "Do green bond and green stock markets boom and bust together? Evidence from China," International Review of Financial Analysis, Elsevier, vol. 89(C).
    7. Wang, Xiong & Li, Jingyao & Ren, Xiaohang, 2022. "Asymmetric causality of economic policy uncertainty and oil volatility index on time-varying nexus of the clean energy, carbon and green bond," International Review of Financial Analysis, Elsevier, vol. 83(C).

  2. Iania, Leonardo & Lyrio, Marco & Moura, Rubens, 2020. "Bond Risk Premia in Emerging Markets: Evidence from Brazil, China, Mexico, and Russia," LIDAM Discussion Papers LFIN 2020010, Université catholique de Louvain, Louvain Finance (LFIN).

    Cited by:

    1. Candelon, Bertrand & Moura, Rubens, 2021. "A Multicountry Model of the Term Structures of Interest Rates with a GVAR," LIDAM Discussion Papers LFIN 2021007, Université catholique de Louvain, Louvain Finance (LFIN).
    2. Candelon, Bertrand & Moura, Rubens, 2023. "Sovereign yield curves and the COVID-19 in emerging markets," LIDAM Reprints LFIN 2023010, Université catholique de Louvain, Louvain Finance (LFIN).

  3. Dewacther, Hans & Iania, Leonardo & Lemke, Wolfgang & Lyrio, Marco, 2019. "A Macro-Financial Analysis of the Corporate Bond Market," LIDAM Reprints LFIN 2019008, Université catholique de Louvain, Louvain Finance (LFIN).

    Cited by:

    1. De Backer, Bruno & Dewachter, Hans & Iania, Leonardo, 2021. "Macrofinancial information on the post-COVID-19 economic recovery: Will it be V, U or L-shaped?," LIDAM Reprints LFIN 2021007, Université catholique de Louvain, Louvain Finance (LFIN).
    2. Alena Audzeyeva & Xu Wang, 2023. "Fundamentals, real-time uncertainty and CDS index spreads," Review of Quantitative Finance and Accounting, Springer, vol. 61(1), pages 1-33, July.

  4. Eric Ghysels & Leonardo Iania & Jonas Striaukas, 2018. "Quantile-based Inflation Risk Models," Working Paper Research 349, National Bank of Belgium.

    Cited by:

    1. Michael Pfarrhofer, 2021. "Modeling tail risks of inflation using unobserved component quantile regressions," Papers 2103.03632, arXiv.org, revised Oct 2021.
    2. Todd E. Clark & Florian Huber & Gary Koop & Massimiliano Marcellino & Michael Pfarrhofer, 2021. "Tail Forecasting with Multivariate Bayesian Additive Regression Trees," Working Papers 21-08R, Federal Reserve Bank of Cleveland, revised 12 Jul 2022.
    3. Nina Boyarchenko & Domenico Giannone & Anna Kovner, 2020. "Bank Capital and Real GDP Growth," Staff Reports 950, Federal Reserve Bank of New York.

  5. Hans Dewachter & Leonardo Iania & Jean-Charles Wijnandts, 2016. "The response of euro area sovereign spreads to the ECB unconventional monetary policies," Working Paper Research 309, National Bank of Belgium.

    Cited by:

    1. Richhild Moessner, 2018. "Effects of asset purchases and financial stability measures on term premia in the euro area," National Institute of Economic and Social Research (NIESR) Discussion Papers 489, National Institute of Economic and Social Research.
    2. B. De Backer & M. Deroose & Ch. Van Nieuwenhuyze, 2019. "Is a recession imminent? The signal of the yield curve," Economic Review, National Bank of Belgium, issue i, pages 69-93, June.
    3. Vedolin, Andrea & Leombroni, Matteo & , & Whelan, Paul, 2018. "Central Bank Communication and the Yield Curve," CEPR Discussion Papers 12970, C.E.P.R. Discussion Papers.
    4. J. Boeckx & M. de Sola Perea & M. Deroose & G. de Walque & Th. Lejeune & Ch. Van Nieuwenhuyse, 2018. "What will happen when interest rates go up?," Economic Review, National Bank of Belgium, issue iii, pages 35-56, september.
    5. van Holle, Frederiek, 2017. "Essays in empirical finance and monetary policy," Other publications TiSEM 30d11a4b-7bc9-4c81-ad24-5, Tilburg University, School of Economics and Management.
    6. Fanelli, Luca & Marsi, Antonio, 2022. "Sovereign spreads and unconventional monetary policy in the Euro area: A tale of three shocks," European Economic Review, Elsevier, vol. 150(C).
    7. Lemke, Wolfgang & Werner, Thomas, 2017. "Dissecting long-term Bund yields in the run-up to the ECB's Public Sector Purchase Programme," Working Paper Series 2106, European Central Bank.
    8. Coroneo, Laura & Pastorello, Sergio, 2020. "European spreads at the interest rate lower bound," Journal of Economic Dynamics and Control, Elsevier, vol. 119(C).
    9. Luca Fanelli & Antonio Marsi, 2021. "Unconventional Monetary Policy in the Euro Area: A Tale of Three Shocks," Working Papers wp1164, Dipartimento Scienze Economiche, Universita' di Bologna.
    10. R. Wouters, 2016. "The transmission mechanism of new and traditional instruments of monetary and macroprudential policy," Economic Review, National Bank of Belgium, issue iii, pages 105-117, December.

  6. Dewachter, Hans & Iania, Leonardo & Lyrio, Marco & Perea, Maite de Sola, 2015. "A macro-financial analysis of the euro area sovereign bond market," LIDAM Reprints LFIN 2015009, Université catholique de Louvain, Louvain Finance (LFIN).

    Cited by:

    1. De Santis, Roberto A., 2020. "Impact of the Asset Purchase Programme on euro area government bond yields using market news," Economic Modelling, Elsevier, vol. 86(C), pages 192-209.
    2. Valerio Filoso & Carlo Panico & Erasmo Papagni & Francesco Purificato & Marta Vázquez Suarez, 2017. "Causes and timing of the European debt crisis: An econometric evaluation," EERI Research Paper Series EERI RP 2017/03, Economics and Econometrics Research Institute (EERI), Brussels.
    3. Stelios Bekiros & Shawkat Hammoudeh & Rania Jammazi & Duc Khuong Nguyen, 2018. "Sovereign bond market dependencies and crisis transmission around the eurozone debt crisis: a dynamic copula approach," Applied Economics, Taylor & Francis Journals, vol. 50(47), pages 5031-5049, October.
    4. Afonso, A & Arghyrou, MG & Gadea, MD & Kontonikas, A, 2017. ""Whatever it takes" to resolve the European sovereign debt crisis? Bond pricing regime switches and monetary policy effects," Essex Finance Centre Working Papers 20417, University of Essex, Essex Business School.
    5. Andrea Zaghini, 2017. "The CSPP at work: yield heterogeneity and the portfolio rebalancing channel," Temi di discussione (Economic working papers) 1157, Bank of Italy, Economic Research and International Relations Area.
    6. De Backer, Bruno & Dewachter, Hans & Iania, Leonardo, 2021. "Macrofinancial information on the post-COVID-19 economic recovery: Will it be V, U or L-shaped?," LIDAM Reprints LFIN 2021007, Université catholique de Louvain, Louvain Finance (LFIN).
    7. Christina Erlwein-Sayer, 2018. "Macroeconomic News Sentiment: Enhanced Risk Assessment for Sovereign Bonds," Risks, MDPI, vol. 6(4), pages 1-27, December.
    8. Hong, Zhiwu & Niu, Linlin & Zhang, Chen, 2022. "Affine arbitrage-free yield net models with application to the euro debt crisis," Journal of Econometrics, Elsevier, vol. 230(1), pages 201-220.
    9. Zaghini, Andrea, 2016. "Fragmentation and heterogeneity in the euro-area corporate bond market: Back to normal?," Journal of Financial Stability, Elsevier, vol. 23(C), pages 51-61.
    10. G. Horny & M. Manganelli & B. Mojon, 2016. "Measuring Financial Fragmentation in the Euro Area Corporate Bond Market," Working papers 582, Banque de France.
    11. M. de Sola Perea & Ch. Van Nieuwenhuyze, 2014. "Financial integration and fragmentation in the euro area," Economic Review, National Bank of Belgium, issue i, pages 99-125, June.
    12. Theobald, Thomas & Tober, Silke, 2020. "Euro area sovereign yield spreads as determinants of private sector borrowing costs," Economic Modelling, Elsevier, vol. 84(C), pages 27-37.
    13. B. De Backer, 2015. "Decomposition of the dynamics of sovereign yield spreads in the euro area," Economic Review, National Bank of Belgium, issue i, pages 54-75, June.
    14. Garcí­a, Juan Angel & Werner, Sebastian E. V., 2016. "Bond risk premia, macroeconomic factors and financial crisis in the euro area," Working Paper Series 1938, European Central Bank.
    15. Filipa Fernandes & Charalampos Stasinakis & Zivile Zekaite, 2019. "Forecasting government bond spreads with heuristic models: evidence from the Eurozone periphery," Annals of Operations Research, Springer, vol. 282(1), pages 87-118, November.
    16. Yelkesen, OÄŸuzhan, 2022. "The Dynamic Link between Bond Spreads and Fiscal Indicators: An Empirical Investigation of Turkey," Asian Journal of Applied Economics, Kasetsart University, Center for Applied Economics Research, vol. 29(2).
    17. Bańkowski, Krzysztof & Bouabdallah, Othman & Domingues Semeano, João & Dorrucci, Ettore & Freier, Maximilian & Jacquinot, Pascal & Modery, Wolfgang & Rodríguez-Vives, Marta & Valenta, Vilém & Zorell, , 2022. "The economic impact of Next Generation EU: a euro area perspective," Occasional Paper Series 291, European Central Bank.
    18. Sanjay Kumar Rout & Hrushikesh Mallick, 2022. "Sovereign Bond Market Shock Spillover Over Different Maturities: A Journey from Normal to Covid-19 Period," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 29(4), pages 697-734, December.
    19. Dewacther, Hans & Iania, Leonardo & Lemke, Wolfgang & Lyrio, Marco, 2019. "A Macro-Financial Analysis of the Corporate Bond Market," LIDAM Reprints LFIN 2019008, Université catholique de Louvain, Louvain Finance (LFIN).
    20. Motto, Roberto & Özen, Kadir, 2022. "Market-stabilization QE," Working Paper Series 2640, European Central Bank.
    21. Sören Radde & Cristina Checherita-Westphal & Wei Cui, 2015. "Government Bond Liquidity and Sovereign-Bank Interlinkages," SFB 649 Discussion Papers SFB649DP2015-032, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    22. Moisă Altăr & Alexandru-Adrian Cramer & Adam-Nelu Altăr-Samuel, 2015. "Sovereign Financial Asset Market Linkages across Europe During the Euro Zone Debt Crisis," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 29-49, December.
    23. Jens Klose, 2019. "Measuring Redenomination Risks in the Euro Area - New Evidence from Survey Data," MAGKS Papers on Economics 201903, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
    24. Andrea Zaghini, 2017. "A tale of fragmentation: corporate funding in the euro-area bond market," Temi di discussione (Economic working papers) 1104, Bank of Italy, Economic Research and International Relations Area.
    25. Liu, Feng & Kalotay, Egon & Trück, Stefan, 2018. "Assessing sovereign default risk: A bottom-up approach," Economic Modelling, Elsevier, vol. 70(C), pages 525-542.
    26. Donato Ceci & Marcello Pericoli, 2022. "Sovereign spreads and economic fundamentals: an econometric analysis," Questioni di Economia e Finanza (Occasional Papers) 713, Bank of Italy, Economic Research and International Relations Area.
    27. De Santis, Roberto A., 2015. "A measure of redenomination risk," Working Paper Series 1785, European Central Bank.
    28. Ahmet Sensoy & Duc Khuong Nguyen & Erk Hacihasanoglu & Ahmed Rostom, 2018. "Dynamic Integration and Network Structure of the EMU Sovereign Bond Markets," Working Papers 2018-009, Department of Research, Ipag Business School.
    29. António Afonso & Frederico Silva Leal, 2017. "Sovereign yield spreads in the EMU: crisis and structural determinants," Working Papers Department of Economics 2017/09, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa.
    30. Iván Kataryniuk & Víctor Mora-Bajén & Javier J. Pérez, 2021. "EMU deepening and sovereign debt spreads: using political space to achieve policy space," Working Papers 2103, Banco de España.
    31. Giuseppe Ambrosini & Francesco Menoncin, 2018. "Optimal Portfolios with Credit Default Swaps," Journal of Financial Services Research, Springer;Western Finance Association, vol. 54(1), pages 81-109, August.
    32. Clancy, Daragh & Dunne, Peter G. & Filiani, Pasquale, 2019. "Liquidity and tail-risk interdependencies in the euro area sovereign bond market," Research Technical Papers 11/RT/19, Central Bank of Ireland.
    33. Filippidis, Michail & Filis, George & Kizys, Renatas, 2020. "Oil price shocks and EMU sovereign yield spreads," Energy Economics, Elsevier, vol. 86(C).

  7. Dewachter, Hans & Iania, Leonardo & Lyrio, Marco, 2014. "Information in the yield curve: A macro-finance approach," LIDAM Reprints LFIN 2014007, Université catholique de Louvain, Louvain Finance (LFIN).

    Cited by:

    1. Yunus Aksoy & Henriqu S Basso, 2012. "Liquidity, Term Spreads and Monetary Policy," Birkbeck Working Papers in Economics and Finance 1211, Birkbeck, Department of Economics, Mathematics & Statistics.
    2. B. De Backer & M. Deroose & Ch. Van Nieuwenhuyze, 2019. "Is a recession imminent? The signal of the yield curve," Economic Review, National Bank of Belgium, issue i, pages 69-93, June.
    3. Davide Pettenuzzo & Antonio Gargano & Allan Timmermann, 2014. "Bond Return Predictability: Economic Value and Links to the Macroeconomy," Working Papers 75, Brandeis University, Department of Economics and International Business School.
    4. Plakandaras, Vasilios & Gogas, Periklis & Papadimitriou, Theophilos & Gupta, Rangan, 2019. "A re-evaluation of the term spread as a leading indicator," International Review of Economics & Finance, Elsevier, vol. 64(C), pages 476-492.
    5. Joseph P. Byrne & Shuo Cao. & Dimitris Korobilis., 2015. "Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty," Working Papers 2015_08, Business School - Economics, University of Glasgow.
    6. Vasilios Plakandaras & Periklis Gogas & Theophilos Papadimitriou & Rangan Gupta, 2016. "The Term Premium as a Leading Macroeconomic Indicator," Working Papers 201613, University of Pretoria, Department of Economics.
    7. Ireland, Peter N., 2015. "Monetary policy, bond risk premia, and the economy," Journal of Monetary Economics, Elsevier, vol. 76(C), pages 124-140.
    8. Etienne Vaccaro-Grange, 2019. "Quantitative Easing and the Term Premium as a Monetary Policy Instrument," Working Papers halshs-02359503, HAL.
    9. Rangan Gupta & Hylton Hollander & Rudi Steinbach, 2015. "Forecasting Output Growth using a DSGE-Based Decomposition of the South African Yield Curve," Working Papers 201567, University of Pretoria, Department of Economics.
    10. Yun, Jaeho, 2019. "Bond risk premia in a small open economy with volatile capital flows: The case of Korea," Journal of International Money and Finance, Elsevier, vol. 93(C), pages 223-243.
    11. Ethan Struby, 2018. "Macroeconomic Disagreement in Treasury Yields," Working Papers 2018-04, Carleton College, Department of Economics.
    12. Brand, Claus & Goy, Gavin & Lemke, Wolfgang, 2021. "Natural rate chimera and bond pricing reality," Working Paper Series 2612, European Central Bank.
    13. Argyropoulos, Efthymios & Tzavalis, Elias, 2016. "Forecasting economic activity from yield curve factors," The North American Journal of Economics and Finance, Elsevier, vol. 36(C), pages 293-311.
    14. Konstantinos Bisiotis & Stelios Psarakis & Athanasios N. Yannacopoulos, 2022. "Affine Term Structure Models: Applications in Portfolio Optimization and Change Point Detection," Mathematics, MDPI, vol. 10(21), pages 1-33, November.
    15. Ronald Ravinesh Kumar & Peter Josef Stauvermann & Hang Thi Thu Vu, 2021. "The Relationship between Yield Curve and Economic Activity: An Analysis of G7 Countries," JRFM, MDPI, vol. 14(2), pages 1-23, February.
    16. Tosapol Apaitan, 2015. "Extracting Market Inflation Expectations: A Semi-structural Macro-finance Term Structure Model," PIER Discussion Papers 4, Puey Ungphakorn Institute for Economic Research.
    17. Elie Bouri & Riza Demirer & Rangan Gupta & Mark E. Wohar, 2019. "Gold, Platinum and the Predictability of Bond Risk Premia," Working Papers 201967, University of Pretoria, Department of Economics.
    18. Christos Ioannidis & Kook Ka, 2021. "Economic Policy Uncertainty and Bond Risk Premia," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 53(6), pages 1479-1522, September.
    19. Morell, Joseph, 2018. "The decline in the predictive power of the US term spread: A structural interpretation," Journal of Macroeconomics, Elsevier, vol. 55(C), pages 314-331.
    20. DINGA Emil, 2018. "On An Increasingly Yield Curve Of Knowledge," Studies in Business and Economics, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 13(3), pages 13-25, December.
    21. Jing Yuan & Yan Peng & Zongwu Cai & Zhengyi Zhang, 2022. "A Quantitative Evaluation of Interest Rate Liberalization Reform in China," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202214, University of Kansas, Department of Economics.
    22. Lin-Yee Hin & Nikolai Dokuchaev, 2016. "Short Rate Forecasting Based On The Inference From The Cir Model For Multiple Yield Curve Dynamics," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 11(01), pages 1-33, March.
    23. Byrne, Joseph P. & Cao, Shuo & Korobilis, Dimitris, 2017. "Forecasting the term structure of government bond yields in unstable environments," Journal of Empirical Finance, Elsevier, vol. 44(C), pages 209-225.

  8. Dewachter, Hans & Iania, Leonardo, 2012. "An Extended Macro-Finance Model with Financial Factors," LIDAM Reprints LFIN 2012001, Université catholique de Louvain, Louvain Finance (LFIN).

    Cited by:

    1. Hans Dewachter & Leonardo Iania & Marco Lyrio, 2014. "Information in the yield curve: A Macro-Finance approach," Working Paper Research 254, National Bank of Belgium.
    2. Joseph P. Byrne & Shuo Cao. & Dimitris Korobilis., 2015. "Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty," Working Papers 2015_08, Business School - Economics, University of Glasgow.
    3. Ireland, Peter N., 2015. "Monetary policy, bond risk premia, and the economy," Journal of Monetary Economics, Elsevier, vol. 76(C), pages 124-140.
    4. Michael D. Bauer & Glenn D. Rudebusch, 2019. "Interest Rates Under Falling Stars," Working Paper Series 2017-16, Federal Reserve Bank of San Francisco.
    5. Massimo Guidolin & Manuela Pedio, 2019. "Forecasting and Trading Monetary Policy Effects on the Riskless Yield Curve with Regime Switching Nelson†Siegel Models," Working Papers 639, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    6. Dewachter, Hans & Iania, Leonardo & Lyrio, Marco, 2011. "A New-Keynesian Model of the Yield Curve with Learning Dynamics: A Bayesian Evaluation," Insper Working Papers wpe_250, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
    7. Byrne, JP & Cao, S & Korobilis, D, 2016. "Decomposing Global Yield Curve Co-Movement," Essex Finance Centre Working Papers 18194, University of Essex, Essex Business School.
    8. Pavol Povala & Anna Cieslak, 2012. "Understanding bond risk premia," 2012 Meeting Papers 771, Society for Economic Dynamics.
    9. Jef Boeckx & Leonardo Iania & Joris Wauters, 2024. "Macroeconomic drivers of inflation expectations and inflation risk premia," Working Paper Research 446, National Bank of Belgium.
    10. Iania, Leonardo & Lyrio, Marco & Nersisyan, Liana, 2023. "Oil Price Shocks and Bond Risk Premia: Evidence from a Panel of 15 Countries," LIDAM Discussion Papers LFIN 2023002, Université catholique de Louvain, Louvain Finance (LFIN).
    11. Anthony H. Tu & Cathy Yi-Hsuan Chen, 2016. "What Derives the Bond Portfolio Value-at-Risk: Information Roles of Macroeconomic and Financial Stress Factors," SFB 649 Discussion Papers SFB649DP2016-006, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    12. Dewacther, Hans & Iania, Leonardo & Lemke, Wolfgang & Lyrio, Marco, 2019. "A Macro-Financial Analysis of the Corporate Bond Market," LIDAM Reprints LFIN 2019008, Université catholique de Louvain, Louvain Finance (LFIN).
    13. Konstantinos Bisiotis & Stelios Psarakis & Athanasios N. Yannacopoulos, 2022. "Affine Term Structure Models: Applications in Portfolio Optimization and Change Point Detection," Mathematics, MDPI, vol. 10(21), pages 1-33, November.
    14. Zhou, Xinquan & Bagnarosa, Guillaume & Gohin, Alexandre & Pennings, Joost M.E. & Debie, Philippe, 2023. "Microstructure and high-frequency price discovery in the soybean complex," Journal of Commodity Markets, Elsevier, vol. 30(C).
    15. Chadha, Jagjit S. & Waters, Alex, 2014. "Applying a macro-finance yield curve to UK quantitative Easing," Journal of Banking & Finance, Elsevier, vol. 39(C), pages 68-86.
    16. Ioannidis, Christos & Ka, Kook, 2018. "The impact of oil price shocks on the term structure of interest rates," Energy Economics, Elsevier, vol. 72(C), pages 601-620.
    17. Tu, Anthony H. & Chen, Cathy Yi-Hsuan, 2018. "A factor-based approach of bond portfolio value-at-risk: The informational roles of macroeconomic and financial stress factors," Journal of Empirical Finance, Elsevier, vol. 45(C), pages 243-268.
    18. Peter Spencer, 2013. "The US Economy, the Treasury Bond Market and the Specification of Macro-Finance Models," Discussion Papers 13/22, Department of Economics, University of York.
    19. Byrne, Joseph P. & Cao, Shuo & Korobilis, Dimitris, 2015. "Co-Movement, Spillovers and Excess Returns in Global Bond Markets," SIRE Discussion Papers 2015-75, Scottish Institute for Research in Economics (SIRE).
    20. Albrecht Ritschl & Samad Sarferaz, 2014. "Currency Versus Banking In The Financial Crisis Of 1931," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 55(2), pages 349-373, May.
    21. Massimo Guidolin & Manuela Pedio, 2019. "Forecasting and Trading Monetary Policy Switching Nelson-Siegel Models," BAFFI CAREFIN Working Papers 19106, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    22. Jing Yuan & Yan Peng & Zongwu Cai & Zhengyi Zhang, 2022. "A Quantitative Evaluation of Interest Rate Liberalization Reform in China," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202214, University of Kansas, Department of Economics.
    23. Byrne, Joseph P. & Cao, Shuo & Korobilis, Dimitris, 2017. "Forecasting the term structure of government bond yields in unstable environments," Journal of Empirical Finance, Elsevier, vol. 44(C), pages 209-225.

  9. Dewachter, Hans & Iania, Leonardo & Lyrio, Marco, 2011. "A New-Keynesian Model of the Yield Curve with Learning Dynamics: A Bayesian Evaluation," Insper Working Papers wpe_250, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.

    Cited by:

    1. Aguilar, Pablo & Vázquez, Jesús, 2021. "An Estimated Dsge Model With Learning Based On Term Structure Information," Macroeconomic Dynamics, Cambridge University Press, vol. 25(7), pages 1635-1665, October.
    2. Richard K. Crump & Stefano Eusepi & Emanuel Moench, 2016. "The term structure of expectations and bond yields," Staff Reports 775, Federal Reserve Bank of New York.

Articles

  1. Allard, Anne-Florence & Iania, Leonardo & Smedts, Kristien, 2020. "Stock-bond return correlations: Moving away from “one-frequency-fits-all” by extending the DCC-MIDAS approach," International Review of Financial Analysis, Elsevier, vol. 71(C).
    See citations under working paper version above.
  2. Hans Dewachter & Leonardo Iania & Wolfgang Lemke & Marco Lyrio, 2019. "A macro–financial analysis of the corporate bond market," Empirical Economics, Springer, vol. 57(6), pages 1911-1933, December.
    See citations under working paper version above.
  3. Dewachter, Hans & Iania, Leonardo & Lyrio, Marco & de Sola Perea, Maite, 2015. "A macro-financial analysis of the euro area sovereign bond market," Journal of Banking & Finance, Elsevier, vol. 50(C), pages 308-325.
    See citations under working paper version above.
  4. Hans Dewachter & Leonardo Iania & Marco Lyrio, 2014. "Information In The Yield Curve: A Macro‐Finance Approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 29(1), pages 42-64, January.
    See citations under working paper version above.
  5. Dewachter, Hans & Iania, Leonardo, 2011. "An Extended Macro-Finance Model with Financial Factors," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 46(6), pages 1893-1916, December.
    See citations under working paper version above.Sorry, no citations of articles recorded.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 11 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-MAC: Macroeconomics (9) 2009-10-10 2009-12-05 2011-11-07 2014-04-11 2014-06-28 2018-12-24 2019-01-21 2019-01-21 2021-01-11. Author is listed
  2. NEP-EEC: European Economics (4) 2014-06-28 2016-10-30 2018-12-24 2019-01-21
  3. NEP-MON: Monetary Economics (4) 2011-11-07 2014-04-11 2014-06-28 2016-10-30
  4. NEP-CBA: Central Banking (2) 2011-11-07 2011-11-14
  5. NEP-FMK: Financial Markets (2) 2009-12-05 2019-01-21
  6. NEP-FOR: Forecasting (2) 2014-04-11 2019-01-21
  7. NEP-OPM: Open Economy Macroeconomics (2) 2014-06-28 2016-10-30
  8. NEP-BEC: Business Economics (1) 2009-12-05
  9. NEP-CIS: Confederation of Independent States (1) 2021-01-11
  10. NEP-ECM: Econometrics (1) 2019-01-21
  11. NEP-GER: German Papers (1) 2014-04-11
  12. NEP-ORE: Operations Research (1) 2019-01-21

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