Similar Search Results

Inference on the maximal rank of time-varying covariance matrices using high-frequency data

Reiß, Markus; Winkelmann, Lars - 2021

We study the rank of the instantaneous or spot covariance matrix Σ(t) of a multidimensional continuous semi-martingale X(t). Given highfrequency observations X(i=n), i = 0; : : : ;n, we test the null hypothesis rank (Σ(t)) ≤ r for all t against local alternatives where the average (r + 1)st...

Persistent link: https://www.econbiz.de/10012655380

(Un)expected monetary policy shocks and term premia

Kliem, Martin; Meyer-Gohde, Alexander - 2017

We analyze an estimated stochastic general equilibrium model that replicates key macroeconomic and financial stylized facts during the Great Moderation of 1983-2007. Our model predicts a sizeable and volatile nominal term premium - comparable to recent reduced-form empirical estimates - with...

Persistent link: https://www.econbiz.de/10011740263

Shadow-rate VARs

Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - 2023

VARs are a popular tool for forecasting and structural analysis, but ill-suited to handle occasionally binding constraints, like the effective lower bound on nominal interest rates. We extend the VAR framework by modeling interest rates as censored observations of a latent shadow-rate process,...

Persistent link: https://www.econbiz.de/10014320745

A structural investigation of quantitative easing

Böhl, Gregor; Goy, Gavin; Strobel, Felix - 2021

Did the Federal Reserve's Quantitative Easing (QE) in the aftermath of the financial crisis have macroeconomic effects? To answer this question, we estimate a large-scale DSGE model over the sample from 1998 until 2020, including data of the Fed's balance sheet. We allow for QE to affect the...

Persistent link: https://www.econbiz.de/10012426411

The role of interbank relationships and liquidity needs

Craig, Ben R.; Fecht, Falko; Tümer-Alkan, Günseli - 2013

In this paper, we focus on the interconnectedness of banks and the price they pay for liquidity. We assess how the … to meet its liquidity demand. We use quarterly data of bilateral interbank credit exposures between all German banks from …’s willingness to pay for liquidity since they had variable rate tenders with a “pay-your-bid” price. Controlling for bank …

Persistent link: https://www.econbiz.de/10010238510

Interbank intermediation

Bluhm, Marcel; Georg, Co-Pierre; Krahnen, Jan Pieter - 2016

This paper explores the economics of interbank lending and borrowing using bank-balance sheet data for Germany, the largest European economy. Our 2002 - 2014 panel data set allows us to analyze the cross section and the dynamics of the observed interbank exposures. Our findings suggest a genuine...

Persistent link: https://www.econbiz.de/10011483090

A network analysis of the evolution of the German interbank market

Roukny, Tarik; Georg, Co-Pierre; Battiston, Stefano - 2014

-the-counter markets for liquidity in Germany: the interbank market for credit and for derivatives. We use end-of-quarter data from the …

Persistent link: https://www.econbiz.de/10010405454

Vulnerable asset management? : the case of mutual funds

Fricke, Christoph; Fricke, Daniel - 2017

funds’ vulnerability to systemic asset liquidations, highlighting the importance of funds’ liquidity transformation …. Therefore, regulators should monitor structural vulnerabilities in the fund sector arising through liquidity transformation. …

Persistent link: https://www.econbiz.de/10011740280

Immunization strategies and term structure estimations

Prisman, Eliezer Zeev - 1988

Persistent link: https://www.econbiz.de/10000744264

Duration measures for specific term sturcture estimations and applications to bond portfolio immunization

Prisman, Eliezer Zeev; Shores, Marilyn R. - 1987

Persistent link: https://www.econbiz.de/10000744493

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