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Fool the markets?: Creative accounting, fiscal transparency and sovereign risk premia
Bernoth, Kerstin; Wolff, Guntram B. - 2006
We investigate the effects of official fiscal data and creative accounting signals on interest rate spreads between bond yields in the European Union. Our model predicts that risk premia contained in government bond spreads should increase in both the official fiscal position and the expected...
Persistent link: https://www.econbiz.de/10010263922
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Inflation, Endogenous Market Segmentation and the Term Structure of Interest Rates
De Vries, Casper; Wang, Xuedong - 2015
consider the implications of a risk premium that arises from endogenous market segmentation driven by variable inflation rates …. In the absence of autocorrelation in inflation, the risk premium is constant. If inflation is correlated, however, the …
Persistent link: https://www.econbiz.de/10011307087
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A Note on Temporary Supply Shocks with Aggregate Demand Inertia
Caballero, Ricardo J.; Simsek, Alp - 2022
aggregate demand gains momentum. If inflation also has inertia, the central bank still overheats the economy during the low …
Persistent link: https://www.econbiz.de/10013177637
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A Note on Temporary Supply Shocks with Aggregate Demand Inertia
Caballero, Ricardo J.; Simsek, Alp - 2022
aggregate demand gains momentum. If inflation also has inertia, the central bank still overheats the economy during the low …
Persistent link: https://www.econbiz.de/10013282457
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Modelling Persistence and Non-Linearities in the US Treasury 10-Year Bond Yields
Caporale, Guglielmo Maria; Gil-Alana, Luis A.; Yaya, … - 2022
This paper analyses persistence and non-linearities in quarterly and monthly US Treasury 10-year bond yields over the period 1962-2021 using two different fractional integration approaches including Chebyshev polynomials and Fourier functions respectively. The results for both quarterly and...
Persistent link: https://www.econbiz.de/10013306037
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Forecasting Inflation with a Zero Lower Bound or Negative Interest Rates : Evidence from Point and Density Forecasts
Anderl, Christina; Caporale, Guglielmo Maria - 2022
This paper investigates the predictive power of the shadow rate for the inflation rate in countries with a zero lower … parameters we compare the out-of-sample forecasting performance of an inflation model including a shadow rate interaction term … inflation rate are evaluated. The models including the shadow rate interaction term are found to outperform the benchmark ones …
Persistent link: https://www.econbiz.de/10013292499
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ECB Interventions in Distressed Sovereign Debt Markets: The Case of Greek Bonds
Trebesch, Christoph; Zettelmeyer, Jeromin - 2014
This paper analyses the determinants and effects of ECB interventions in times of severe distress. We focus on the Greek government bond market in mid-2010 and use a unique new dataset to show, for the first time, what type of bonds the ECB bought. We then explore the short-term effects of ECB...
Persistent link: https://www.econbiz.de/10010352423
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Monetary Policy and the Stock Market: Time-Series Evidence
Neuhierl, Andreas; Weber, Michael - 2016
We construct a slope factor from changes in federal funds futures of different horizons. Slope predicts stock returns at the weekly frequency: faster monetary policy easing positively predicts excess returns. Investors can achieve increases in weekly Sharpe ratios of 20% conditioning on the...
Persistent link: https://www.econbiz.de/10011584898
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Measuring Euro Area Monetary Policy
Altavilla, Carlo; Brugnolini, Luca; Gürkaynak, Refet S.; … - 2019
We study the information flow from the ECB on policy dates since its inception, using tick data. We show that three factors capture about all of the variation in the yield curve but that these are different factors with different variance shares in the window that contains the policy decision...
Persistent link: https://www.econbiz.de/10012052805
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Missing Events in Event Studies: Identifying the Effects of Partially-Measured News Surprises
Gürkaynak, Refet S.; Kısacıkoğlu, Burçin; Wright, … - 2018
Macroeconomic news announcements are elaborate and multi-dimensional. We consider a framework in which jumps in asset prices around macroeconomic news and monetary policy announcements reflect both the response to observed surprises in headline numbers and latent factors, reflecting other...
Persistent link: https://www.econbiz.de/10011931979