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~person:"D'Amico, Stefania"
~person:"Tristani, Oreste"
~subject:"Niedrigzinspolitik"
~subject:"Risk premium"
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Niedrigzinspolitik
Risk premium
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50
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D'Amico, Stefania
Tristani, Oreste
Hördahl, Peter
31
Christensen, Jens H. E.
27
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19
Verdelhan, Adrien
18
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16
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Bernoth, Kerstin
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1
Monetary policy and long-term
interest
rates
Amisano, Gianni
;
Tristani, Oreste
- In:
Quantitative economics : QE ; journal of the …
14
(
2023
)
2
,
pp. 689-716
. An increase in equity premia will therefore be accompanied by a cut in policy
interest
rates
, even if the policy rule …
Persistent link: https://www.econbiz.de/10014308589
Saved in:
2
Modelling yields at the lower bound through regime shifts
Hördahl, Peter
;
Tristani, Oreste
-
2019
We propose a regime-switching approach to deal with the lower bound on nominal
interest
rates
in dynamic term structure …
Persistent link: https://www.econbiz.de/10012107934
Saved in:
3
Modelling yields at the lower bound through regime shifts
Hördahl, Peter
;
Tristani, Oreste
-
2019
Persistent link: https://www.econbiz.de/10012131114
Saved in:
4
The Yield Curve and Macroeconomic Dynamics
Hördahl, Peter
;
Tristani, Oreste
;
Vestin, David
-
2021
-maturity bond yields that are almost as volatile as short-term
interest
rates
. At the same time, we are able to fit sample moments …
Persistent link: https://www.econbiz.de/10013316763
Saved in:
5
Special repo rates and the cross-section of bond prices : the role of the special collateral risk premium*
D'Amico, Stefania
;
Pancost, N. Aaron
- In:
Review of finance : journal of the European Finance …
26
(
2022
)
1
,
pp. 117-162
Persistent link: https://www.econbiz.de/10012878874
Saved in:
6
Special Repo Rates and the Cross-Section of Bond Prices
D'Amico, Stefania
-
2019
We estimate a dynamic no-arbitrage term structure model that jointly prices the cross-section of Treasury bonds and special repo rates. We show that special repo rates on on-the-run Treasuries can explain almost 80% of the on-the-run premium, but only after incorporating a time-varying risk...
Persistent link: https://www.econbiz.de/10012899124
Saved in:
7
Modelling Yields at the Lower Bound Through Regime Shifts
Hördahl, Peter
-
2019
We propose a regime-switching approach to deal with the lower bound on nominal
interest
rates
in dynamic term structure …
Persistent link: https://www.econbiz.de/10012861844
Saved in:
8
Special repo rates and the cross-section of bond prices : the role of the special collateral risk premium
D'Amico, Stefania
;
Pancost, N. Aaron
-
2018
-
This version: December 3, 2018
We estimate the joint term-structure of U.S. Treasury cash and repo rates using daily prices of all outstanding Treasury securities and corresponding special collateral (SC) repo rates. This allows us to derive a risk premium associated to the SC value of Treasuries and quantitatively link this...
Persistent link: https://www.econbiz.de/10011938061
Saved in:
9
Tips from Tips : The Informational Content of Treasury Inflation-Protected Security Prices
D'Amico, Stefania
;
Kim, Don H.
;
Wei, Min
-
2021
Treasury Inflation-Protected Securities (TIPS) are frequently thought of as risk-free real bonds. Using no-arbitrage term structure models, we show that TIPS yields exceeded risk-free real yields by as much as 100 basis points when TIPS were first issued and up to 300 basis points during the...
Persistent link: https://www.econbiz.de/10014351828
Saved in:
10
The term structure and inflation uncertainty
Breach, Tomas
;
D'Amico, Stefania
;
Orphanides, Athanasios
- In:
Journal of financial economics
138
(
2020
)
2
,
pp. 388-414
Persistent link: https://www.econbiz.de/10012653048
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