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Evaluating interest rate covariance models within a value-at-risk framework

Ferreira, Miguel A.; Lopez, Jose A. - Federal Reserve Bank of San Francisco - 2004

We find that covariance matrix forecasts for an international interest rate portfolio generated by a model that … value-at-risk (VaR) framework, the relative performance of the covariance matrix forecasts depends greatly on the VaR … commonly-used VaR models based on simple covariance matrix forecasts and distributional assumptions. …

Persistent link: https://www.econbiz.de/10010702127

Evaluating interest rate covariance models within a value-at-risk framework

Ferreira, Miguel A.; Lopez, Jose A. - Federal Reserve Bank of San Francisco - 2004

Persistent link: https://www.econbiz.de/10005721447

Output, money and price correlations in a real business cycle model

Huh, Chan-guk - 1990

Persistent link: https://www.econbiz.de/10000867261

Evaluating interest rate covariance models within a value-at-risk framework

Ferreira, Miguel A. (contributor); … - 2004 - [Elektronische Ressource], rev

Persistent link: https://www.econbiz.de/10002049086

Is implied correlation worth calculating? : Evidence from foreign exchange options and historical data

Walter, Christian (contributor); … - 2000 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001577552

Saving and interest rates in Japan: why they have fallen and why they will remain low

Braun, R. Anton; Ikeda, Daisuke; Joines, Douglas H. - Federal Reserve Bank of San Francisco - 2006

This paper quantifies the role of alternative shocks in accounting for the recent declines in Japanese saving rates and interest rates and provides some projections about their future course. We consider three distinct sources of variation in saving rates and real interest rates: changes in...

Persistent link: https://www.econbiz.de/10005361471

A black swan in the money market

Taylor, John B.; Williams, John C. - Federal Reserve Bank of San Francisco - 2008

At the center of the financial market crisis of 2007-2008 was a highly unusual jump in spreads between the overnight inter-bank lending rate and term London inter-bank offer rates (Libor). Because many private loans are linked to Libor rates, the sharp increase in these spreads raised the cost...

Persistent link: https://www.econbiz.de/10005361479

Macroeconomic implications of changes in the term premium

Rudebusch, Glenn D.; Sack, Brian P.; Swanson, Eric T. - Federal Reserve Bank of San Francisco - 2006

Linearized New Keynesian models and empirical no-arbitrage macro-finance models offer little insight regarding the implications of changes in bond term premiums for economic activity. We investigate these implications using both a structural model and a reduced-form framework. We show that there...

Persistent link: https://www.econbiz.de/10005361523

Examining the bond premium puzzle with a DSGE model

Rudebusch, Glenn D.; Swanson, Eric T. - Federal Reserve Bank of San Francisco - 2008

The basic inability of standard theoretical models to generate a sufficiently large and variable nominal bond risk premium has been termed the "bond premium puzzle." We show that the term premium on long-term bonds in the canonical dynamic stochastic general equilibrium (DSGE) model used in...

Persistent link: https://www.econbiz.de/10005361527

An arbitrage-free generalized Nelson-Siegel term structure model

Christensen, Jens H. E.; Diebold, Francis X.; … - Federal Reserve Bank of San Francisco - 2008

The Svensson generalization of the popular Nelson-Siegel term structure model is widely used by practitioners and central banks. Unfortunately, like the original Nelson-Siegel specification, this generalization, in its dynamic form, does not enforce arbitrage-free consistency over time. Indeed,...

Persistent link: https://www.econbiz.de/10005361533