Narrow search
Showing 1 - 10 of 167
Cover Image
Resolving the Spanning Puzzle in Macro-Finance Term Structure Models
Bauer, Michael D.; Rudebusch, Glenn D. - CESifo - 2015
.e., perfectly correlated with) model-implied bond yields. However, this theoretical implication appears inconsistent with … regressions showing that much macroeconomic variation is unspanned and that the unspanned variation helps forecast excess bond …
Persistent link: https://www.econbiz.de/10011155372
Cover Image
Long-Term Interest Rates and Public Debt Maturity
Sakalauskaite, Ieva; Beetsma, Roel; Giuliodori, Massimo - CESifo - 2013
is stronger for countries with higher average inflation or debt. …
Persistent link: https://www.econbiz.de/10010697222
Cover Image
Asset Pricing Implications of a New Keynesian Model: A Note
Heer, Burkhard; Klarl, Torben; Maussner, Alfred - CESifo - 2012
De Paoli, Scott, and Weeken [2010, Asset pricing implications of a New Keynesian model. Journal of Economic Dynamics and Control 34, 2056-73] study equity and bonds prices in a New Keynesian model with sticky nominal prices. This note argues that their model generates a behavior of the labor...
Persistent link: https://www.econbiz.de/10010599728
Cover Image
The Consumption-Based Determinants of the Term Structure of Discount Rates
Gollier, Christian - CESifo - 2005
The efficient rate of return of a zero-coupon bond with maturity <i>t</i> is determined by our expectations about the …
Persistent link: https://www.econbiz.de/10005094448
Cover Image
An Extended Macro-Finance Model with Financial Factors
Dewachter, Hans; Iania, Leonardo - CESifo - 2010
This paper extends the benchmark Macro-Finance model by introducing, next to the standard macroeconomic factors, additional liquidity-related and return forecasting factors. Liquidity factors are obtained from a decomposition of the TED spread while the return-forecasting (risk premium) factor...
Persistent link: https://www.econbiz.de/10008572472
Cover Image
Smells Like Fiscal Policy? Assessing the Potential Effectiveness of the ECB's OMT Program
Hristov, Nikolay; Hülsewig, Oliver; Siemsen, Thomas; … - CESifo - 2014
sovereign bond purchases on secondary markets, a stable relationship between bank lending rates and government bond rates is of … this relationship by focusing on the reaction of bank lending rates to movements in government bond rates over the period … limited as the link between bank lending rates and government bond rates has substantially weakened since the end of 2008. …
Persistent link: https://www.econbiz.de/10010877947
Cover Image
Hypnosis Before Wake-up Call?! The Revival of Sovereign Credit Risk Perception in the EMU-Crisis
Bordon, Ingo G.; Schmid, Kai D.; Schmidt, Michael - CESifo - 2014
its impact upon bond yield spreads has become comparable to the time before the Maastricht treaty. …
Persistent link: https://www.econbiz.de/10010888450
Cover Image
External Sovereign Debt in a Monetary Union: Bailouts and the Role of Corruption
Achury, Carolina; Koulovatianos, Christos; Tsoukalas, … - CESifo - 2011
We build a tractable stylized model of external sovereign debt and endogenous international interest rates. In corrupt economies with rent-seeking groups stealing public resources, a politico-economic equilibrium is characterized by permanent fiscal impatience which leads to excessive issuing of...
Persistent link: https://www.econbiz.de/10009228617
Cover Image
Financial Contagion and the European Debt Crisis
Missio, Sebastian; Watzka, Sebastian - CESifo - 2011
Since the beginning of 2010, the Euro Area faces a severe sovereign debt crisis, now generally known as the Euro Crisis. While the Euro Crisis has its origin in Greece, problems have now spread to several other European countries as well. Dynamic conditional correlation models (DCC) are...
Persistent link: https://www.econbiz.de/10009278131
Cover Image
Liquidity, Term Spreads and Monetary Policy
Aksoy, Yunus; Basso, Henrique S. - CESifo - 2012
implemented and the resulting inflation turns out to be higher. Finally, we provide econometric evidence on the link between …
Persistent link: https://www.econbiz.de/10010690388