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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

The Cross-Section and Time-Series of Stock and Bond Returns

Koijen, Ralph; Lustig, Hanno; van Nieuwerburgh, Stijn - C.E.P.R. Discussion Papers - 2012

Value stocks have higher exposure to innovations in the nominal bond risk premium than growth stocks. Since the nominal … bond risk premium measures cyclical variation in the market’s assessment of future output growth, this results in a value … risk premium provided that good news about future output lowers the marginal utility of wealth today. In support of this …

Persistent link: https://www.econbiz.de/10011083286

Identifying Taylor rules in macro-finance models

Backus, David; Chernov, Mikhail; Zin, Stanley E. - C.E.P.R. Discussion Papers - 2013

Identification problems arise naturally in forward-looking models when agents observe more than economists. We illustrate the problem in several macro-finance models with Taylor rules. When the shock to the rule is observed by agents but not economists, identification of the rule's parameters...

Persistent link: https://www.econbiz.de/10011083775

Bond Market Clienteles, the Yield Curve, and the Optimal Maturity Structure of Government Debt

Guibaud, Stéphane; Nosbusch, Yves; Vayanos, Dimitri - C.E.P.R. Discussion Papers - 2013

the absence of distortionary taxes and induces efficient intergenerational risksharing. If agents are more risk …

Persistent link: https://www.econbiz.de/10011083839

Identification and Inference Using Event Studies

Gürkaynak, Refet S.; Wright, Jonathan - C.E.P.R. Discussion Papers - 2013

We discuss the use of event studies in macroeconomics and finance, arguing that many important macro-finance questions can only be answered using event studies with high-frequency financial market data. We provide a broad picture of the use of event studies, along with their limitations. As...

Persistent link: https://www.econbiz.de/10011084634

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

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

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

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

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