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The Pavlovian response of term rates to Fed announcements

Demiralp, Selva; Jordà, Òscar - 2001

Persistent link: https://www.econbiz.de/10001555471

Interest Rate Expectations and the Slope of the Money Market Yield Curve

Cook, Timothy - 2012

has been on tests of the “expectations theory.” According to the theory, changes in the slope of the yield curve should … slope of the current yield curve. The expectations theory suggests that variation in the slope of the yield curve should be … prediction of the theory is supported by the data. A surprising finding is that parts of the yield curve have been useful in …

Persistent link: https://www.econbiz.de/10013102731

Excess sensitivity and volatility of long interest rates : the role of limited information in bond markets

Beechey, Meredith Jane - 2004

Asymmetric information between the central bank and bond markets creates an inference problem that affects the behaviour of long interest rates. This paper employs a simple macroeconomic model with a time-varying infation target to illustrate the implications of asymmetry for the sensitivity of...

Persistent link: https://www.econbiz.de/10011584341

Fundamental disagreement about monetary policy and the term structure of interest rates

Cao, Shuo; Crump, Richard K.; Eusepi, Stefano; Mönch, … - 2021 - Revised August 2021

Using a unique data set of individual professional forecasts, we document disagreement about the future path of monetary policy, particularly at longer horizons. The stark differences in short rate forecasts imply strong disagreement about the risk-return trade-off of longer-term bonds....

Persistent link: https://www.econbiz.de/10012249767

Extended Libor market models with affine and quadratic volatility

Zühlsdorff, Christian - 2002

The market model of interest rates specifies simple forward or Libor rates as lognormally distributed, their stochastic dynamics has a linear volatility function. In this paper, the model is extended to quadratic volatility functions which are the product of a quadratic polynomial and a...

Persistent link: https://www.econbiz.de/10011538865

Liquidity risk and funding cost

Bechtel, Alexander; Ranaldo, Angelo; Wrampelmeyer, Jan - 2019

We propose and test a new channel that links funding liquidity risk and interest rates in short-term funding markets. Borrowers with high liquidity risk are willing to pay a markup to lock in their funding, independent of risk premiums demanded by lenders. We test the channel using unique...

Persistent link: https://www.econbiz.de/10012050871

What Fed funds futures tell us about monetary policy uncertainty

Fontaine, Jean-Sébastien - 2016

The uncertainty around future changes to the Federal Reserve target rate varies over time. In our results, the main driver of uncertainty is a "path" factor signaling information about future policy actions, which is filtered from federal funds futures data. The uncertainty is highest when it...

Persistent link: https://www.econbiz.de/10011576374