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A beta based framework for (lower) bond risk premia.
Nobili, Stefano; Palazzo, Gerardo - Banca d'Italia - 2008
We use a no-arbitrage essentially affine three-factor model to estimate term premia in US and German ten-year government bond yields. In line with the existing literature, we find that estimated premia have followed a downward trend since the 1980s: from 4.9 per cent in 1981 to 0.7 per cent in...
Persistent link: https://www.econbiz.de/10005609332
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Recent estimates of sovereign risk premia for euro-area countries
Cesare, Antonio Di; Grande, Giuseppe; Manna, Michele; … - Banca d'Italia - 2012
This paper examines the recent behavior of sovereign interest rates in the euro area, focusing on the 10 year yield spreads relative to Germany for Italy and other euro area countries. Both previous analyses and the new evidence presented in the paper suggest that, in recent months, for several...
Persistent link: https://www.econbiz.de/10011100417
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The interest-rate sensitivity of the demand for sovereign debt. Evidence from OECD countries (1995-2011)
Grande, Giuseppe; Masciantonio, Sergio; Tiseno, Andrea - Banca d'Italia - 2014
Public debt levels in advanced economies have increased dramatically over recent years and they could put considerable upward pressure on market yields. Using a novel identification approach based on financial accounts and focusing on panel regressions for 18 advanced economies over the period...
Persistent link: https://www.econbiz.de/10011105131
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The Probability Density Function of Interest Rates Implied in the Price of Options
Fornari, Fabio; Violi, Roberto - Banca d'Italia - 1998
The paper contributes to the stochastic volatility literature by developing simulation schemes for the conditional distributions of the price of long term bonds and their variability based on non-standard distributional assumptions and volatility concepts; it illustrates the potential value of...
Persistent link: https://www.econbiz.de/10005111555
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A Simple Approach to the Estimation of Continuous Time CEV Stochastic Volatility Models of the Short-Term Rate
Fornari, Fabio; Mele, Antonio - Banca d'Italia - 2001
Aim of this article is to judge the empirical performance of 'ARCH models as diffusion approximations' of models of the short-term rate with stochastic volatility. Our estimation strategy is based both on moment conditions needed to guarantee the convergence of the discrete time models and on...
Persistent link: https://www.econbiz.de/10005113527
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The Probability Density Function of Interest Rates Implied in the Price of Options.
Fornari, F.; Violi, R. - Banca d'Italia - 1998
The paper contributes to the stochastic volatility literature by developing simulation schemes for the conditional distributions of the price of long term bonds and their variability based on non-standard distributional assumptions and volatility concepts; it illustrates the potential value of...
Persistent link: https://www.econbiz.de/10005671394
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Down the non-linear road from oil to consumer energy prices: no much asymmetry along the way
Venditti, Fabrizio - Banca d'Italia - 2010
In the past decade changes in oil prices have played a significant role in shaping inflation dynamics in the US and in …
Persistent link: https://www.econbiz.de/10008626023
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Do food commodity prices have asymmetric effects on Euro-Area inflation?
Porqueddu, Mario; Venditti, Fabrizio - Banca d'Italia - 2012
issue is of particular interest for those monetary authorities that target headline consumer price inflation, which has been …
Persistent link: https://www.econbiz.de/10011099718
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Surprise! Euro area inflation has fallen
Riggi, Marianna; Venditti, Fabrizio - Banca d'Italia - 2014
Between 2013 and 2014, following the recession triggered by the sovereign debt crisis, euro-area inflation decreased … sharply. Although a fall in the inflation rate was to be expected, given the severity of the recession, professional … inflation, which was unaccounted for in forecasting models. We probe this explanation in the context of a simple backward …
Persistent link: https://www.econbiz.de/10011100362
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Excess money growth and inflation dynamics
Roffia, Barbara; Zaghini, Andrea - Banca d'Italia - 2008
The paper analyzes the short-run impact of periods of strong monetary growth on inflation dynamics for 15 …
Persistent link: https://www.econbiz.de/10005770764