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On economic evaluation of directional forecasts
Blaskowitz, Oliver; Herwartz, Helmut - 2009
directional forecasts can provide a useful framework to assess the economic forecast value when loss functions (or success … directional forecast value is a readily available alternative to the commonly used squared error loss criterion. -- Directional … forecasts ; directional forecast value ; forecast evaluation ; economic forecast value ; mean squared forecast error ; mean …
Persistent link: https://www.econbiz.de/10003893151
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Futures contract rates as monetary policy forecasts
Ferrero, Giuseppe; Nobili, Andrea - 2008
into risk premium and forecast error components, we find that risk premia are counter-cyclical in both areas. On the …
Persistent link: https://www.econbiz.de/10003826011
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The Anatomy of the Euro Area Interest Rate Swap Market
Dalla Fontana, Silvia - 2019
Using a novel regulatory dataset of fully identified derivatives transactions, this paper provides the first comprehensive analysis of the structure of the euro area interest rate swap (IRS) market after the start of the mandatory clearing obligation. Our dataset contains 1.7 million bilateral...
Persistent link: https://www.econbiz.de/10012892579
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The anatomy of the euro area interest rate swap market
Fontana, Silvia Dalla; Holz auf der Heide, Marco; … - 2019 - This version: June 2019
Using a novel regulatory dataset of fully identified derivatives transactions, this paper provides the first comprehensive analysis of the structure of the euro area interest rate swap (IRS) market after the start of the mandatory clearing obligation. Our dataset contains 1.7 million bilateral...
Persistent link: https://www.econbiz.de/10012040065
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The anatomy of the euro area interest rate swap market
Fontana, Silvia Dalla; Holz auf der Heide, Marco; … - 2019
Using a novel regulatory dataset of fully identified derivatives transactions, this paper provides the first comprehensive analysis of the structure of the euro area interest rate swap (IRS) market after the start of the mandatory clearing obligation. Our dataset contains 1.7 million bilateral...
Persistent link: https://www.econbiz.de/10011975602
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Eurozone: central bank swap to Sweden, 2007
Gupta, Salil - In: The journal of financial crises 5 (2023) 1, pp. 335-347
Persistent link: https://www.econbiz.de/10014384457
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Fiscal policy events and interest rate swap spreads : evidence from the EU
Afonso, António - 2004
Persistent link: https://www.econbiz.de/10013434650
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Euro interest rate swap yields : a GARCH analysis
Akram, Tanweer; Mamun, Khawaja Abdullah al - 2023
This paper models the month-over-month change in euro-denominated (EUR) long-term interest rate swap yields. It shows that the change in the short-term interest rate has an economically and statistically significant effect on the change in EUR swap yields of different maturity tenors, after...
Persistent link: https://www.econbiz.de/10014438498
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Euro interest rate swap yields : some ARDL models by Tanweer Akram, Khawaja Mamun
Akram, Tanweer; Mamun, Khawaja Abdullah al - 2024
This paper examines the dynamics of euro-denominated (EUR) long-term interest rate swap yields. It shows that the short-term interest rate has an economically and statistically significant effect on EUR swap yields of different maturity tenors, after controlling for various key macroeconomic...
Persistent link: https://www.econbiz.de/10014531240
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Analysing euro area inflation outlook with the Phillips curve
Oinonen, Sami; Vilmi, Lauri - 2021
This paper presents the New Keynesian Phillips Curve (NKPC) -based framework for analysing euro area inflation outlook. Our NKPC specification, that relies on market- and survey-based inflation expectations, explains well euro area inflation dynamics. Its forecasting performance is also...
Persistent link: https://www.econbiz.de/10012622377