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Market volatility, monetary policy and the term premium
Mallick, Sushanta Kumar; Mohanty, M. S.; Zampolli, Fabrizio - 2017
Persistent link: https://www.econbiz.de/10011613347
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Estimating the effects of the "flight to quality", with an application to German bond yields and interest payments
Boeing-Reicher, Claire; Boysen-Hogrefe, Jens - 2017
Recent calculations have suggested that the German federal government has saved roughly EUR 90-100 billion, cumulatively, due to low bond yields since the onset of the Euro crisis. In order to determine the contribution of the "flight to quality" to this sum, we define the flight to quality as a...
Persistent link: https://www.econbiz.de/10011685448
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How safe was the "safe haven"? : financial market liquidity during the 1998 turbulences
Upper, Christian - 2000
Transaktion dieser vier Anleihen in Deutschland umfasst. Dies ist besonders für Arbeiten über den Rentenmarkt von großem Interesse … bonds in Germany. This feature is particularly attractive for the bond market, where OTC transactions account for most … trading. The volatility of yields of the four bonds more than doubled in the wake of the Russian devaluation on August 17th …
Persistent link: https://www.econbiz.de/10011418740
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Scarcity effects of QE : a transaction-level analysis in the Bund market
Schlepper, Kathi; Hofer, Heiko; Riordan, Ryan; … - 2017
Persistent link: https://www.econbiz.de/10011752683
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How safe was the "safe haven"? : Financial market liquidity during the 1998 turbulences
Upper, Christian - 2000
bonds in Germany. This feature is particularly attractive for the bond market, where OTC transactions account for most … trading. The volatility of yields of the four bonds more than doubled in the wake of the Russian devaluation on August 17th …
Persistent link: https://www.econbiz.de/10001455520
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How Safe Was the "Safe Haven"? Financial Market Liquidity During the 1998 Turbulences
Upper, Christian - 2016
Persistent link: https://www.econbiz.de/10012991314
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The short-term relationships among the U.S., German and Greek bond markets in times of financial crises : a Bayesian analysis of exogeneity in the VAR-SV model
Modrzejewska, Anita; Pajor, Anna - In: Argumenta oeconomica 38 (2017) 1, pp. 257-283
Persistent link: https://www.econbiz.de/10012284664
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Scarcity effects of QE : a transaction-level analysis in the Bund market
Schlepper, Kathi; Riordan, Ryan; Hofer, Heiko; … - 2017
This paper investigates the scarcity effects of quantitative easing (QE) policies, drawing on intra-day transaction-level data for German government bonds, purchased under the Public Sector Purchase Program (PSPP) of the ECB/Eurosystem. This paper is the first to match high-frequency QE purchase...
Persistent link: https://www.econbiz.de/10011632212
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Simulated likelihood estimation of diffusions with an application to exchange rate dynamics in incomplete markets
Brandt, Michael W.; Santa-Clara, Pedro - 2001
Persistent link: https://www.econbiz.de/10001606888
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Volatility estimates of the short term interest rate with an application to German data
Dankenbring, Henning - 1998
find that the volatility depends on either the interest rate level or information shocks but not on both. Finally, we … propose to describe the short term interest rate's dynamics by means of an AR(1) model with stochastic volatility. -- Term … Structure Models ; Stochastic Volatility ; ARCH …
Persistent link: https://www.econbiz.de/10009578570