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Banking and Sovereign Risk in the Euro Area
Gerlach, Stefan; Schulz, Alexander; Wolff, Guntram B. - C.E.P.R. Discussion Papers - 2010
We study the determinants of euro area sovereign bond spreads since the introduction of the euro. An aggregate risk … banking sectors. When aggregate risk increases, countries with large banking sectors with low equity ratios experience greater … widening in yield spreads, suggesting that financial markets perceive a larger risk that governments will have to rescue banks …
Persistent link: https://www.econbiz.de/10008468513
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New-Keynesian Macroeconomics and the Term Structure
Bekaert, Geert; Cho, Seonghoon; Moreno Ibáñez, Antonio - C.E.P.R. Discussion Papers - 2006
This article complements the structural New-Keynesian macro framework with a no-arbitrage affine term structure model. Whereas our methodology is general, we focus on an extended macro-model with unobservable processes for the inflation target and the natural rate of output which are filtered...
Persistent link: https://www.econbiz.de/10005136692
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Bidding and Performance in Repo Auctions: Evidence from ECB Open Market Operations
Bindseil, Ulrich; Nyborg, Kjell G; Strebulaev, Ilya - C.E.P.R. Discussion Papers - 2004
Repo auctions are multiunit auctions regularly used by central banks to inject liquidity into the banking sector. Banks have a fundamental need to participate because they have to satisfy reserve requirements. Superficially, repo auctions resemble treasury auctions; the format and rules are...
Persistent link: https://www.econbiz.de/10005067452
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Term Structure Estimation with Survey Data on Interest Rate Forecasts
Kim, Don H.; Orphanides, Athanasios - C.E.P.R. Discussion Papers - 2005
The estimation of dynamic no-arbitrage term structure models with a flexible specification of the market price of risk …
Persistent link: https://www.econbiz.de/10005067482
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Forward Interest Rates as Indicators of Inflation Expectations
Söderlind, Paul - C.E.P.R. Discussion Papers - 1995
Forward interest rates have become popular indicators of inflation expectations. The usefulness of this indicator depends on the relative volatility and the correlation of inflation expectations and expected real interest rates. This paper studies US and UK data, using a range of different tools...
Persistent link: https://www.econbiz.de/10005067661
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On Model Selection and Markov Switching: A Empirical Examination of Term Structure Models with Regime Shifts
Driffill, John; Kenc, Turalay; Sola, Martin; Spagnolo, Fabio - C.E.P.R. Discussion Papers - 2004
We examine several continuous-time term-structure models, in which the short rate is subject to discrete shifts. Our empirical analysis suggests that inquiring which parameters of the short-term interest rate equation are allowed to switch is crucial, as failing to do so may result in switching...
Persistent link: https://www.econbiz.de/10005497966
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International Portfolio Holdings and Swiss Franc Asset Returns
Kugler, Peter; Weder di Mauro, Beatrice - C.E.P.R. Discussion Papers - 2004
This Paper revisits the puzzle of low returns on Swiss franc assets using a new dataset of international portfolio holdings at Swiss banks. The main findings are as follows. First, we find that the return anomaly is present only for fixed income assets and not for equity. Second, it is mostly...
Persistent link: https://www.econbiz.de/10005656129
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The Simplest Test of Inflation Target Credibility
Svensson, Lars E O - C.E.P.R. Discussion Papers - 1994
A simple test of inflation target credibility is constructed by subtracting the maximum and minimum inflation rates consistent with the inflation targets from the yields to maturity on nominal bonds. This results in a target-consistent range of real yields on nominal bonds. If expected real...
Persistent link: https://www.econbiz.de/10005661572
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The Equity Premium and the Risk Free Rate: A Cross Country, Cross Maturity Examination
Canova, Fabio; de Nicolò, Gianni - C.E.P.R. Discussion Papers - 1995
This paper examines the relationship between the equity premium and the risk free rate at three different maturities … country differences and of inconsistencies with the expectations theory of the term structure. We perform simulations using a …
Persistent link: https://www.econbiz.de/10005661602
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What was the Market's View of UK Monetary Policy? Estimating Inflation Risk and Expected Inflation with Indexed Bonds
Jacobs, Mike; Remolona, Eli; Wickens, Michael R. - C.E.P.R. Discussion Papers - 1998
A measure of the credibility of monetary policy is the inflation risk premium embodied in nominal yields. This will be … with that in the real term structure of inflation-indexed bonds. Information can also be obtained about the real risk … premium, and about expected inflation. We estimate these risk premia using a generalization of the Cox-Ingersoll-Ross (CIR …
Persistent link: https://www.econbiz.de/10005666871