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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/10005721447

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/10010702127

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

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

The affine arbitrage-free class of Nelson-Siegel term structure models

Christensen, Jens H.E.; Diebold, Francis X.; Rudebusch, … - Federal Reserve Bank of San Francisco - 2007

We derive the class of arbitrage-free affine dynamic term structure models that approximate the widely-used Nelson-Siegel yield-curve specification. Our theoretical analysis relates this new class of models to the canonical representation of the three-factor arbitrage-free affine model. Our...

Persistent link: https://www.econbiz.de/10005712220

Monetary policy and the slope factor in empirical term structure estimations

Wu, Tao - Federal Reserve Bank of San Francisco - 2001

from the correlation study suggest that there is strong correlation between the slope factor and the exogenous monetary …

Persistent link: https://www.econbiz.de/10005721450

Monetary policy with imperfect knowledge

Orphanides, Athanasios; Williams, John C. - Federal Reserve Bank of San Francisco - 2005

We examine the performance and robustness of monetary policy rules when the central bank and the public have imperfect knowledge of the economy and continuously update their estimates of model parameters. We find that versions of the Taylor rule calibrated to perform well under rational...

Persistent link: https://www.econbiz.de/10005721457

The macroeconomy and the yield curve: a nonstructural analysis

Diebold, Francis X.; Rudebusch, Glenn D.; Aruoba, S. Boragan - Federal Reserve Bank of San Francisco - 2003

We estimate a model with latent factors that summarize the yield curve (namely, level, slope, and curvature) as well as observable macroeconomic variables (real activity, inflation, and the stance of monetary policy). Our goal is to provide a characterization of the dynamic interactions between...

Persistent link: https://www.econbiz.de/10005721459

Term structure evidence on interest rate smoothing and monetary policy inertia

Rudebusch, Glenn D. - Federal Reserve Bank of San Francisco - 2001

Numerous studies have used quarterly data to estimate monetary policy rules or reaction functions that appear to exhibit a very slow partial adjustment of the policy interest rate. The conventional wisdom asserts that this gradual adjustment reflects a policy inertia or interest rate smoothing...

Persistent link: https://www.econbiz.de/10005721476

Macro-finance models of interest rates and the economy

Rudebusch, Glenn D. - Federal Reserve Bank of San Francisco - 2010

During the past decade, much new research has combined elements of finance, monetary economics, and macroeconomics in order to study the relationship between the term structure of interest rates and the economy. In this survey, I describe three different strands of such interdisciplinary...

Persistent link: https://www.econbiz.de/10008489228