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The impact of the euro on money and bond markets

Santillán, Javier; Bayle, Marc; Thygesen, Christian - European Central Bank - 2000

The paper provides an analysis of the euro area money and bond markets and their infrastructure since the introduction … notably regarding the bond market which lags behind in terms of liquidity, market completeness and overall size compared to … the US corporate bond market. Analysis of the barriers to integration, which do not seem to be specific to these markets …

Persistent link: https://www.econbiz.de/10004969144

The forecasting power of internal yield curve linkages

Modugno, Michele; Nikolaou, Kleopatra - European Central Bank - 2009

This paper investigates whether information from foreign yield curves helps forecast domestic yieldcurves out-of-sample. A nested methodology to forecast yield curves in domestic and internationalsettings is applied on three major countries (the US, Germany and the UK). This novel methodologyis...

Persistent link: https://www.econbiz.de/10005866630

Extracting market expectations from yield curves augmented by money market interest rates: the case of Japan

Nagano, Teppei; Baba, Naohiko - European Central Bank - 2008

This paper attempts to extract market expectations about the Japanese economy and the BOJ’s policy stance from the yen yield curves augmented by money market interest rates, during the period from the end of the quantitative easing policy in March 2006. We use (i) the swap yield curves...

Persistent link: https://www.econbiz.de/10005344900

The yield curve as a predictor and emerging economies

Mehl, Arnaud - European Central Bank - 2006

This paper investigates the extent to which the slope of the yield curve in emerging economies predicts domestic inflation and growth. It also examines international financial linkages and how the US and the euro area yield curves help to predict. It finds that the domestic yield curve in...

Persistent link: https://www.econbiz.de/10005530689

Modelling and Forecasting the Yield Curve under Model uncertainty

Donati, Paola; Donati, Francesco - European Central Bank - 2008

This paper proposes a procedure to investigate the nature and persistence of the forces governing the yield curve and to use the extracted information for forecasting purposes. The latent factors of a model of the Nelson-Siegel type are directly linked to the maturity of the yields through the...

Persistent link: https://www.econbiz.de/10005530758

Forecasting the yield curve in a data-rich environment: a no-arbitrage factor-augmented VAR approach

Mönch, Emanuel - European Central Bank - 2005

This paper suggests a term structure model which parsimoniously exploits a broad macroeconomic information set. The model does not incorporate latent yield curve factors, but instead uses the common components of a large number of macroeconomic variables and the short rate as explanatory...

Persistent link: https://www.econbiz.de/10005530872

The impact of ECB monetary policy decisions and communication on the yield curve

Brand, Claus; Buncic, Daniel; Turunen, Jarkko - European Central Bank - 2006

We analyse high-frequency changes in the euro area money market yield curve on dates when the ECB regularly sets and communicates decisions on policy interest rates to construct different indicators of monetary policy news relating to policy decisions and to central bank communication. The...

Persistent link: https://www.econbiz.de/10005530883

Asymptotic confidence bands for the estimated autocovariance and autocorrelation functions of vector autoregressive models

Coenen, Günter - European Central Bank - 2000

This paper provides closed-form formulae for computing the asymptotic standard errors of the estimated autocovariance and autocorrelation functions for stable VAR models by means of the d-method. These standard errors can be used to construct asymptotic confidence bands for the estimated...

Persistent link: https://www.econbiz.de/10005531003

Level, slope, curvature of the sovereign yield curve, and fiscal behaviour

Afonso, António; Martins, Manuel M.F. - European Central Bank - 2010

We study fiscal behaviour and the sovereign yield curve in the U.S. and Germany in the period 1981:I-2009:IV. The latent factors, level, slope and curvature, obtained with the Kalman filter, are used in a VAR with macro and fiscal variables, controlling for financial stress conditions. In the...

Persistent link: https://www.econbiz.de/10008752570

ECB monetary policy surprises: identification through cojumps in interest rates

Winkelmann, Lars; Bibinger, Markus; Linzert, Tobias - European Central Bank - 2014

This paper proposes a new econometric approach to disentangle two distinct response patterns of the yield curve to monetary policy announcements. Based on cojumps in intraday tick-data of a short and long term interest rate, we develop a day-wise test that detects the occurrence of a significant...

Persistent link: https://www.econbiz.de/10011067262