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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

Time varying equilibrium real rates and monetary policy analysis

Trehan, Bharat; Wu, Tao - Federal Reserve Bank of San Francisco - 2004

rate (as is suggested by theory), the probability that an unperceived change in trend growth will lead to a substantial …

Persistent link: https://www.econbiz.de/10005514420

Using a long-term interest rate as the monetary policy instrument

McGough, Bruce; Rudebusch, Glenn D.; Williams, John C. - Federal Reserve Bank of San Francisco - 2004

Using a short-term interest rate as the monetary policy instrument can be problematic near its zero bound constraint. An alternative strategy is to use a long-term interest rate as the policy instrument. We find when Taylor-type policy rules are used to set the long rate in a standard New...

Persistent link: https://www.econbiz.de/10005514426

The recent shift in term structure behavior from a no-arbitrage macro-finance perspective

Rudebusch, Glenn D.; Wu, Tao - Federal Reserve Bank of San Francisco - 2004

This paper examines a recent shift in the dynamics of the term structure and interest rate risk. We first use standard yield-spread regressions to document such a shift in the U.S. in the mid-1980s. Over the pre- and post-shift subsamples, we then estimate dynamic, affine, no-arbitrage models,...

Persistent link: https://www.econbiz.de/10005514436

The bond premium in a DSGE model with long-run real and nominal risks

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

The term premium on nominal long-term bonds in the standard dynamic stochastic general equilibrium (DSGE) model used in macroeconomics is far too small and stable relative to empirical measures obtained from the data--an example of the ''bond premium puzzle.'' However, in models of endowment...

Persistent link: https://www.econbiz.de/10005498387

Monetary policy inertia: fact or fiction?

Rudebusch, Glenn D. - Federal Reserve Bank of San Francisco - 2005

Estimated monetary policy rules often appear to indicate a sluggish partial adjustment of the policy interest rate by the central bank. In fact, such evidence does not appear to be persuasive, since the illusion of monetary policy inertia may reflect spuriously omitted persistent influences on...

Persistent link: https://www.econbiz.de/10005401556

Impact of deposit rate deregulation in Hong Kong on the market value of commercial banks

Kwan, Simon H. - Federal Reserve Bank of San Francisco - 2001

This paper examines the effects of deposit rate deregulation in Hong Kong on the market value of banks. The release of the Consumer Council's Report in 1994 recommending interest rate deregulation is found to produce negative abnormal returns, while the announcement in 1995 terminating the...

Persistent link: https://www.econbiz.de/10005401578