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using time-varying risk premia. Although the quest for the fundamental macroeconomic explanations of these risk premia is …
Persistent link: https://www.econbiz.de/10008642882
, we set up a new data set for 38 emerging and advanced economies which contains quarterly time-series observations for … conditions and b) the time-horizon under consideration. Spending cuts in times of fiscal stress raise default premia, but lower …
Persistent link: https://www.econbiz.de/10011168905
This paper uses a structural time-series analysis to analyse the properties of ex-ante real interest rates of the five …
Persistent link: https://www.econbiz.de/10005136609
We examine several continuous-time term-structure models, in which the short rate is subject to discrete shifts. Our …
Persistent link: https://www.econbiz.de/10005497966
minus growth and with lower future output growth. Motivated by this connection between the time series of nominal bond … maturity, and time series variation in expected bond returns. Finally, a structural dynamic asset pricing model with the …Value stocks have higher exposure to innovations in the nominal bond risk premium than growth stocks. Since the nominal …
Persistent link: https://www.econbiz.de/10011083286
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
We propose a clientele-based model of the yield curve and optimal maturity structure of government debt. Clienteles are generations of agents at different lifecycle stages in an overlapping-generations economy. An optimal maturity structure exists in the absence of distortionary taxes and...
Persistent link: https://www.econbiz.de/10011083839
that help address questions such as the slope of bond demand functions and the efficacy of central bank liquidity programs …
Persistent link: https://www.econbiz.de/10011084634
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
The estimation of dynamic no-arbitrage term structure models with a flexible specification of the market price of risk is beset by a severe small-sample problem arising from the highly persistent nature of interest rates. We propose using survey forecasts of a short-term interest rate as an...
Persistent link: https://www.econbiz.de/10005067482