Concepedia

Term Structure Effects

Term Structure Effects is a financial risk metric that captures the sensitivity of basis risk to changes in the yield curve’s shape, particularly due to mismatches between the maturities of hedging instruments and their underlying exposures.

686

Publications

56.5K

Citations

896

Authors

500

Institutions

Publications per year

2017–2026

90

Parents

Publications

686

Valuing American Options by Simulation: A Simple Least-Squares Approach

Francis A. Longstaff, Eduardo S. Schwartz · Review of Financial Studies · 2001 · 3.3K citations

, , +16

Modeling Term Structures of Defaultable Bonds

Darrell Duffie, Kenneth J. Singleton · Review of Financial Studies · 1999 · 2.6K citations

, , +16

Yield Spreads and Interest Rate Movements: A Bird's Eye View

John Y. Campbell, Robert J. Shiller · The Review of Economic Studies · 1991 · 1.8K citations · Full text

, , +15

A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables

Andrew Ang, Monika Piazzesi · Journal of Monetary Economics · 2003 · 1.8K citations

, , +17

The Term Structure as a Predictor of Real Economic Activity

Arturo Estrella, Gikas A. Hardouvelis · The Journal of Finance · 1991 · 1.7K citations

, , +15

1–5 of 686

Authors

896

  1. GD
    Glenn D. Rudebusch

    Federal Reserve Bank of San Francisco, United States

    15 publications · 3K citations

    15

    h-index

  2. GB
    Geert Bekaert

    Columbia University, United States

    14 publications · 1.5K citations

    14

    h-index

  3. TW
    Tao Wu

    Ministry of Natural Resources, China

    11 publications · 772 citations

    11

    h-index

  4. JY
    John Y. Campbell

    Harvard University, United States

    8 publications · 3.1K citations

    8

    h-index

  5. JM
    Joëlle Miffre

    City, University of London, United Kingdom

    8 publications · 683 citations

    8

    h-index

1–5 of 896

Institutions

500

  1. National Bureau of Economic Research

    Cambridge, United States

    31 h-index

    82 publications

    12.1K citations

  2. Federal Reserve

    Washington D.C., United States

    25 h-index

    64 publications

    3.2K citations

  3. Federal Reserve Board of Governors

    Washington D.C., United States

    24 h-index

    56 publications

    2.8K citations

  4. Centre for Economic Policy Research

    London, United Kingdom

    17 h-index

    28 publications

    2.4K citations

  5. New York University

    New York, United States

    16 h-index

    24 publications

    2.7K citations

  6. Federal Reserve Bank of San Francisco

    San Francisco, United States

    16 h-index

    32 publications

    4.1K citations

  7. Columbia University

    New York, United States

    16 h-index

    31 publications

    3K citations

  8. European Central Bank

    Frankfurt am Main, Germany

    12 h-index

    25 publications

    2.7K citations

1–8 of 500

Venues

  1. SSRN Electronic Journal

    Repository · 167 publications · 8.6K citations

    47

    h-index

  2. The Journal of Finance

    28 publications · 4.4K citations

    20

    h-index

  3. Journal of Financial Economics

    21 publications · 4.7K citations

    19

    h-index

  4. Review of Financial Studies

    20 publications · 8.4K citations

    18

    h-index

  5. Journal of money credit and banking

    23 publications · 1.7K citations

    17

    h-index

1–5