15
H index
18
i10 index
1324
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 (2025 and 2024)
| Year | Title of citing document |
|---|---|
| 2024 | Quantitative easing and its implications for contingent convertible triggers: an analytical perspective. (2024). Vid, Alin Ioan ; Chepti, Alexandra ; Cotescu, Rzvan ; Vasilca, Miruna-Mihaela. In: Theoretical and Applied Economics. RePEc:agr:journl:v:xxxi:y:2024:i:4(641):p:357-373. 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 |
| 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 |
| 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 |
| 2025 | Time-varying risk aversion and inflation-consumption correlation in an equilibrium term structure model. (2025). Renne, Jean-Paul ; Lemke, Wolfgang ; Bletzinger, Tilman. In: Working Paper Series. RePEc:ecb:ecbwps:20253012. 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 |
| 2024 | Dynamic impact of the US yield curve on green bonds: Navigating through recent crises. (2024). Umar, Zaghum ; Teplova, Tamara ; Iqbal, Najaf ; Tan, Duojiao. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001487. Full description at Econpapers || Download paper |
| 2024 | Portfolio balance effect of the U.S. QE between commodities and financial assets in commodity-exporting countries. (2024). Lau, Wee Yeap ; Brooks, Robert ; Yip, Pick Schen. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001505. 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 |
| 2024 | Oil shocks and currency behavior: A dual approach to digital and traditional currencies. (2024). Mishra, Sibanjan ; ben Zaied, Younes ; Yaqoob, Tanzeela ; Afshan, Sahar. In: Global Finance Journal. RePEc:eee:glofin:v:62:y:2024:i:c:s1044028324000747. Full description at Econpapers || Download paper |
| 2024 | Research on safe-haven currencies under global uncertainty —A new perception based on the East Asian market. (2024). Li, Jiaxiang ; Lu, Changrong ; Yu, Fandi. In: Global Finance Journal. RePEc:eee:glofin:v:62:y:2024:i:c:s1044028324000851. Full description at Econpapers || Download paper |
| 2024 | Inflation expectations and risk premia in emerging bond markets: Evidence from Mexico. (2024). Zhu, Simon ; Beauregard, Remy ; Fischer, Eric. In: Journal of International Economics. RePEc:eee:inecon:v:151:y:2024:i:c:s0022199624000886. Full description at Econpapers || Download paper |
| 2024 | Bond convenience curves and funding costs. (2024). Sihvonen, Markus ; Nissinen, Juuso. In: Journal of International Economics. RePEc:eee:inecon:v:151:y:2024:i:c:s0022199624000965. Full description at Econpapers || Download paper |
| 2024 | U.S. macroeconomic news and low-frequency changes in bond yields in Canada, Sweden and the U.K.. (2024). Feunou, Bruno ; Sekkel, Rodrigo ; Nongni-Donfack, Morvan ; Xing, Bingxin Ann. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:168:y:2024:i:c:s0378426624001845. Full description at Econpapers || Download paper |
| 2024 | Energy price surges and inflation: Fiscal policy to the rescue?. (2024). Wegmueller, Philipp ; Glocker, Christian ; Wegmller, Philipp. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:149:y:2024:i:c:s0261560624001888. Full description at Econpapers || Download paper |
| 2024 | The determinants of Turkish CDS volatility: An ARDL approach covering COVID period. (2024). Sunal, Onur ; Yaci, Filiz. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:97:y:2024:i:c:s1062976924000930. 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 | Does macro-prudential regulation lead to low interest rate? An empirical analysis based on the transnational panel model. (2024). Liu, Yuxin ; Yang, Yuanyuan ; Yin, Lei ; Wang, Jianjun. In: International Review of Economics & Finance. RePEc:eee:reveco:v:94:y:2024:i:c:s1059056024004076. 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 |
| 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 |
| 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 | Monetary and Fiscal Policy Impacts on the Indian Sovereign Bond Market: A VAR Approach. (2024). Sengupta, Bodhisattva ; Sarkar, Agnirup ; Kumar, Anshul. In: South Asian Journal of Macroeconomics and Public Finance. RePEc:sae:smppub:v:13:y:2024:i:2:p:143-168. 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 |
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 | 25 |
| 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 | 94 |
| 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: 94 | 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: 94 | 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: 94 | 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 | 37 |
| 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 | 16 |
| 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 | 8 |
| 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 | 12 |
| 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: 12 | 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: 12 | 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: 12 | 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 | 415 |
| 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 | 9 |
| 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: 9 | 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: 9 | article | |
| 2004 | A joint econometric model of macroeconomic and term structure dynamics In: Working Paper Series. [Full Text][Citation analysis] | paper | 262 |
| 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: 262 | 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: 262 | 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: 262 | 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 | 59 |
| 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 | 5 |
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