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Modeling bond yields in finance and macroeconomics

Diebold, Francis X.; Piazzesi, Monica; Rudebusch, Glenn D. - Center for Financial Studies - 2005

From a macroeconomic perspective, the short-term interest rate is a policy instrument under the direct control of the central bank. From a finance perspective, long rates are risk-adjusted averages of expected future short rates. Thus, as illustrated by much recent research, a joint...

Persistent link: https://www.econbiz.de/10010958495

On the importance of sectoral shocks for price-setting

Beck, Guenter W.; Hubrich, Kirstin; Marcellino, Massimiliano - Center for Financial Studies - 2009

component explains much less of the variation in sectoral regional inflation rates and exhibits much less volatility than …

Persistent link: https://www.econbiz.de/10010958536

Gradualism, transparency and improved operational framework: A look at the overnight volatility transmission

Colarossi, Silvio; Zaghini, Andrea - Center for Financial Studies - 2007

USA and Euro area displayed a limited but significant spillover of volatility from money market to longer-term rates. We …

Persistent link: https://www.econbiz.de/10010958782

Domestic money and US output and inflation

Aksoy, Yunus; Piskorski, Tomasz - Center for Financial Studies - 2001

and inflation, as outlined in the classical study by M. Friedman and Schwartz, mostly disappeared since the early 1980s … find that domestic money (currency component of M1 corrected for the foreign holdings of dollars) contains valuable … information about future movements of US real output and inflation. Statistical evidence here provided thus suggests that the …

Persistent link: https://www.econbiz.de/10010958814

Gradualism, Transparency and Improved Operational Framework: A Look at the Overnight Volatility Transmission

Colarossi, Silvio; Zaghini, Andrea - Center for Financial Studies - 2007

USA and Euro area displayed a limited but significant spillover of volatility from money market to longer-term rates. We …

Persistent link: https://www.econbiz.de/10005138852

Modeling Bond Yields in Finance and Macroeconomics

Diebold, Francis X.; Piazzesi, Monika; Rudebusch, Glenn D. - Center for Financial Studies - 2005

Persistent link: https://www.econbiz.de/10005600450

Forecasting the term structure of government bond yields

Diebold, Francis X.; Li, Canlin - Center for Financial Studies - 2003

Despite powerful advances in yield curve modeling in the last twenty years, comparatively little attention has been paid to the key practical problem of forecasting the yield curve. In this paper we do so. We use neither the no-arbitrage approach, which focuses on accurately fitting the cross...

Persistent link: https://www.econbiz.de/10010958623

Analyzing interest rate risk: Stochastic volatility in the term structure of government bond yields

Hautsch, Nikolaus; Ou, Yangguoyi - Center for Financial Studies - 2009

illustrate that the yield and volatility factors are closely related to industrial capacity utilization, inflation, monetary …

Persistent link: https://www.econbiz.de/10010958635

The Macroeconomy and the Yield Curve: A Nonstructural Analysis

Diebold, Francis X.; Rudebusch, Glenn D.; Aruoba, S. Boragan - Center for Financial Studies - 2003

observable macroeconomic variables (real activity, inflation, and the stance of monetary policy). Our goal is to provide a …

Persistent link: https://www.econbiz.de/10010958662

Global yield curve dynamics and interactions: A dynamic Nelson-Siegel approach

Diebold, Francis X.; Li, Canlin; Yue, Vivian Z. - Center for Financial Studies - 2007

The popular Nelson-Siegel (1987) yield curve is routinely fit to cross sections of intra-country bond yields, and Diebold and Li (2006) have recently proposed a dynamized version. In this paper we extend Diebold-Li to a global context, modeling a potentially large set of country yield curves in...

Persistent link: https://www.econbiz.de/10010958703