and volatility in contrast to the exogenously assumed constant mean and volatility in many credit risk models. We consider … attenuated (amplified) market volatility and risk premium, but the market value is always higher in economic downturns, and lower …

transparency or illiquidity. However, several of the important announcements concerning the international swap programs …

response is central bank private information about the state of the economy or about its own target for inflation. …

previous states, e.g. in Germany. It is thus not surprising that the models built by the staff of the European Central Bank …

accumulation only worsens this problem. Increasing the volatility of interest rates through habits partly reduces the size of these … positions but at the cost of introducing extreme volatility in asset holdings. Across these simulations we find no presumption … the required positions, worsens their volatility and in some cases produces instability in debt holdings. We conclude that …