Leonardo Iania

Université Catholique de Louvain - UCLouvain | UCLouvain

We use a robust measure of non-linear dependence, the Gerber cross-correlation statistic, to study the cross-dependence between the returns on Bitcoin and a set of commodities, namely wheat, gold, platinum and crude oil WTI. The Gerber statistic enables us to obtain a more robust co-movement measure since it is neither affected by extremely large n...

In recent years, the international community has been increasing its efforts to reduce the human footprint on air pollution and global warming. Total CO 2 emissions are a key component of global emission, and as such, they are closely monitored by national and supranational entities. This study evaluates the performance of a broad set of forecastin...

We employ an affine term structure model with no-arbitrage restrictions and unspanned risk factors to analyse the global and domestic determinants of bond risk premia in four major emerging markets (Brazil, China, Mexico, and Russia). Among the risk factors, we select national inflation and economic growth, and the country-specific nominal exchange...

We use standard macrofinancial no-arbitrage term structure models to forecast key macroeconomic variables such as GDP. Simple adaptations to the models are proposed in order to generate plausible forecasts in the context of the COVID-19 crisis. The financial market variables included in the models are shown to improve GDP forecasts. Forecasts of re...

This paper explores the determinants of U.S. stock-bond correlations estimated at various frequencies. For this purpose, the two-component DCC-MIDAS model of correlation (Colacito et al., 2011) is used and extended to incorporate a third correlation frequency component. Subsequently, macroeconomic and financial variables are studied as determinants...

We employ an affine term structure model with no-arbitrage restrictions and unspanned risk factors to analyse the global and domestic determinants of bond risk premia in four major emerging markets (Brazil, China, Mexico, and Russia). Among the risk factors, we select national inflation and economic growth, and the country-specific nominal exchange...

We assess the contribution of economic and financial factors in the determination of euro area corporate bond spreads over the period 2001–2015. The proposed multi-market, no-arbitrage affine term structure model is based on the methodology proposed by Dewachter et al. (J Bank Finance 50:308–325, 2015). We model jointly the ‘risk-free curve’, measu...

14.1 Introduction It is hard to overestimate the importance of inflation forecasting. Since most prices are sticky and a number of contracts imply long-term commitments in nominal terms, forward-looking economic agents tend to have implicitly in their decision-making process some form of forecasting of the general price level in the economy. For ex...

We estimate the 'fundamental' component of euro area sovereign bond yield spreads, i.e. the part of bond spreads that can be justified by country-specific economic factors, euro area economic fundamentals, and international influences. The yield spread decomposition is achieved using a multi-market, no-arbitrage affine term structure model with a u...

Livers originating from donation after circulatory death (DCD) donors are exposed to warm ischemia (WI) before liver transplantation (LTx). Currently, there are no objective tests to evaluate the damage sustained before LTx. This study aims to identify surrogate markers for liver injury that can be assessed during hypothermic machine perfusion (HMP...

We revisit the common practice of using yield spreads to forecast inflation. We address two main issues. First, we assess the importance of decomposing yield spreads into an expectations and a term premium component in order to predict inflation. Second, we quantify the impact of financial shocks in the dynamics of each of these components. The yie...

This paper investigates the forecasting potential of the corporate and term spreads for real activity. To this end, we build an affine term structure model, jointly pricing corporate and government bonds conditional on a set of macroeconomic and …financial factors. The forecasting power of the corporate and term spread is evaluated using the model-...

We estimate a New-Keynesian macro-finance model of the yield curve incorporating learning by private agents with respect to the long-run expectation of inflation and the equilibrium real interest rate. A preliminary analysis shows that some liquidity premia, expressed as a degree of mispricing relative to no-arbitrage restrictions, and time variati...

This paper uses an a¢ ne term structure model that incorporates macroeconomic and …nancial factors to study the term premium in the U.S. bond market. The results corroborate the known rejection of the expectation hypothesis and indicate that one factor, closely related to the Cochrane and Piazzesi (2005) factor (the CP factor), is responsible for m...

This paper extends the benchmark Macro-Finance model by introducing, next to the standard macroeconomic factors, additional liquidity-related and return forecasting factors. Liquidity factors are obtained from a decomposition of the TED spread while the return-forecasting (risk premium) factor is extracted by imposing a single factor structure on e...