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Money and uncertainty : inflation, interest, indexation ; Banca d'Italia, Roma, 6 novembre 1992
Drèze, Jacques H. - 1993
Persistent link: https://www.econbiz.de/10000877254
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Real term structure and inflation compensation in the euro area
Pericoli, Marcello - Banca d'Italia - 2012
smoothing spline methodology. The real term structure allows computation of the constant-maturity inflation compensation, which … is compared with the surveyed inflation expectations in order to obtain a rough measure of the inflation risk premium …. The comparison between the inflation compensation and the inflation swap shows that the two variables are closely …
Persistent link: https://www.econbiz.de/10009645794
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Labor Income and Risky Assets under Market Incompleteness: Evidence from Italian Data
Grande, Giuseppe; Ventura, Luigi - Banca d'Italia - 2001
Theory suggests that uninsurable income risk induces individuals to accumulate assets as a precautionary reserve of value. Most assets, however, bear rate of return risk, that can be diversified only if every asset is traded by a large number of individuals and arbitrage is frictionless. Using...
Persistent link: https://www.econbiz.de/10005113608
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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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A beta based framework for (lower) bond risk premia.
Nobili, Stefano; Palazzo, Gerardo - Banca d'Italia - 2008
-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 2006 for the US bond and from 3.3 to 0.5 per cent for the German … year horizon. Long-term return expectations for ten-year government bonds will have to incorporate bond risk premia that …
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, 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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Is there an Equity Premium Puzzle in Italy? A Look at Asset Returns, Consumption and Financial Structure Data over the Last Century
Panetta, Fabio; Violi, Roberto - Banca d'Italia - 1999
inflation, looks very different. The econometric analysis suggests the presence of an equity premium puzzle in Italy during the … theoretical values. The estimates show that both the returns on government securities and those on shares include an inflation … risk premium. For government securities, this was estimated at around 0.8 percentage points. The inflation risk premium was …
Persistent link: https://www.econbiz.de/10005113669