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The response of long-term interest rates to news about monetary policy actions : empirical evidence for the US and Germany

Nautz, Dieter; Wolters, Jürgen - 1998

We reexamine the expectations theory of the term structure focusing on the question how monetary policy actions … tests of expectations theory this implication only requires rational expectations but not stationary risk premia. Therefore …, its empirical test sheds new light on the importance of expectations theory for the determinants of the term structure of …

Persistent link: https://www.econbiz.de/10009578577

Higher order forward rate agreements and the smoothness of the term structure

Jaschke, Stefan R. - 1998

This paper proposes linear higher order conditions on the term structure that allow to compute valuation bounds for any deterministic cash stream. Starting from bounds on the forward rate curve and its derivatives, which are nonlinear in the discount factors, we derive linear conditions that are...

Persistent link: https://www.econbiz.de/10009579185

On the reliability of chow type test for parameter constancy in multivariate dynamic models

Candelon, Bertrand; Lütkepohl, Helmut - 2000

The small sample properties of two types of Chow tests are investigated in the context of multiple time series models. It is found that the tests may have substantially distorted size if the sample size is not large relative to the number of parameters in the model under study. In particular the...

Persistent link: https://www.econbiz.de/10009612028

A class of Health-Jarrow-Morton models in which the unbiased expectations hypothesis holds

Riedel, Frank - 1997

The unbiased expectations hypothesis states that forward rates are unbiased estimates for future short rates. Cox, Ingersoll and Ross [1] conjectured that this hypothesis should be inconsistent with the absence of arbitrage possibilities. Using the framework of Heath, Jarrow and Morton [4] we...

Persistent link: https://www.econbiz.de/10009632605

Structural vector autoregressive models and monetary policy analysis

Holtemöller, Oliver - 2002

possibility is to adopt restrictions from economic theory. The purpose of this paper is to investigate the implications of the …

Persistent link: https://www.econbiz.de/10009620773

Was there a regime change in the German monetary transmission mechanism in 1983?

Candelon, Bertrand; Lütkepohl, Helmut - 2000

Recent investigations of the transmission mechanism of German monetary policy arrive at quite different conclusions regarding its stability during the period of monetary targeting by the Bundesbank. In this study small dynamic models for the monetary sector of the German economy are analyzed in...

Persistent link: https://www.econbiz.de/10009583433

Lag selection in subset VAR models with an application to a US monetary system

Brüggemann, Ralf; Lütkepohl, Helmut - 2000

Alternative modeling strategies for specifying subset VAR models are considered. It is shown that under certain conditions a testing procedure based on t-ratios is equivalent to sequentially eliminating lags that lead to the largest improvement in a prespecified model selection criterion. A...

Persistent link: https://www.econbiz.de/10009583885

Taylor rules and macroeconomic instability or how the Central Bank can pre-empt sunspot expectations

Weder, Mark (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001917100

Germany’s labor market problems : what to do and what not to do? ; a survey among experts

Profit, Stefan; Tschernig, Rolf - 1998

In this study we collect information on what economists would suggest for reducing German unemployment. This was done by conducting a detailed survey containing 35 measures at two conferences of different kind. One conference was a small conference at the Humboldt-University in Berlin attended...

Persistent link: https://www.econbiz.de/10009578572

Tax clientele effects in the German bond market

Stehle, Richard; Jaschke, Stefan R.; Wernicke, S. - 1998

; duality theory ; term structure of interest rates ; smoothing splines ; tax clientele ; arbitrage bounds …

Persistent link: https://www.econbiz.de/10009574878

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