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Search: subject:"macro-finance model"
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9
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macro-finance model
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4
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Dewachter, Hans
3
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3
Kagraoka, Yusho
3
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3
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3
Spencer, Peter D.
3
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2
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1
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1
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1
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1
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1
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1
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RePEc
8
ECONIS (ZBW)
7
EconStor
2
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1
A continuous-time
macro-finance
model
with Knightian uncertainty
Mao, Jie
;
Shen, Guanxiong
;
Yan, Jingzhou
- In:
Pacific-Basin finance journal
77
(
2023
),
pp. 1-15
Persistent link: https://www.econbiz.de/10014463659
Saved in:
2
Interest Rates Modeling and Forecasting: Do Macroeconomic Factors Matter?
Kucera, Adam
-
2017
Recent studies documented a sufficient forecasting performance of shadow-rate models in the low yields environment. Moreover, it has been shown that including the macro-variables into the shadow-rate models further improves the results. We build on these findings and evaluate for the U.S....
Persistent link: https://www.econbiz.de/10011787297
Saved in:
3
Interest rates modeling and forecasting : do macroeconomic factors matter?
Kuczera, Adam
-
2017
Recent studies documented a sufficient forecasting performance of shadow-rate models in the low yields environment. Moreover, it has been shown that including the macro-variables into the shadow-rate models further improves the results. We build on these findings and evaluate for the U.S....
Persistent link: https://www.econbiz.de/10011659284
Saved in:
4
Oil prices in the real economy
Shu, Haicheng
;
Spencer, Peter D.
- In:
Journal of applied econometrics
38
(
2023
)
6
,
pp. 878-897
Persistent link: https://www.econbiz.de/10014432198
Saved in:
5
Information in the yield curve: A Macro-Finance approach
Dewachter, Hans
;
Iania, Leonardo
;
Lyrio, Marco
-
Nationale Bank van België/Banque national de Belqique (BNB)
-
2014
We use a
macro-finance
model
, incorporating macroeconomic and financial factors, to study the term premium in the U …
Persistent link: https://www.econbiz.de/10011272775
Saved in:
6
Information in the yield curve: A Macro-Finance approach
Dewachter, Hans
;
Iania, Leonardo
;
Lyrio, Marco
-
2014
We use a
macro-finance
model
, incorporating macroeconomic and financial factors, to study the term premium in the U …
Persistent link: https://www.econbiz.de/10011506774
Saved in:
7
Information in the yield curve : a macro-finance approach
Dewachter, Hans
;
Iania, Leonardo
;
Lyrio, Marco
-
2014
We use a
macro-finance
model
, incorporating macroeconomic and financial factors, to study the term premium in the U …
Persistent link: https://www.econbiz.de/10011590215
Saved in:
8
UK macroeconomic volatility and the term structure of interest rates
Spencer, Peter D.
-
2011
Persistent link: https://www.econbiz.de/10009419649
Saved in:
9
Quantitative Easing, Credibility and the Time-Varying Dynamics of the Term Structure of Interest rate in Japan
Kagraoka, Yusho
;
Moussa, Zakaria
-
HAL
-
2010
A key issue in current research about quantitative easing monetary policy (QEMP) is the ability of this strategy to impact the term structure of interest rates. Using a dynamic model for the yield curve with time-varying-parameters to the Japanese data, we provide three insights. First, the...
Persistent link: https://www.econbiz.de/10008793953
Saved in:
10
Frequency-domain analysis of debt service in a
macro-finance
model
for the euro area.
Renne, J-P.
-
Banque de France
-
2009
This paper illustrates how a parsimonious
macro-finance
model
can be exploited to investigate the frequency …
Persistent link: https://www.econbiz.de/10008503201
Saved in:
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