Sökning: "Alexander Valtchev"

Hittade 1 uppsats innehållade orden Alexander Valtchev.

  1. 1. Anticipated Shocks and their Impact on Expectations: An event study of the impact of TIPS auctions on ZCIIS

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Författare :Richard Du Rietz; Alexander Valtchev; [2012]
    Nyckelord :ZCIIS; Anticipated Shocks; Auction; TIPS; Price Pressure;

    Sammanfattning : This thesis has the purpose to empirically investigate how anticipated shocks that result into recurrent supply shocks are subsumed by change in expectations. More precisely, we study the price impact of Treasury Inflation Protected Securities (TIPS) auctions on the Zero-Coupon Inflation-Indexed Swap (ZCIIS) rates using an event study methodology for each of the 60 auctions of 5-, 10-, 20- and 30-year TIPS during the period 2004-2011. LÄS MER