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Time-varying volatility, financial intermediation and monetary policy
Eickmeier, Sandra; Metiu, Norbert; Prieto, Esteban - 2016
of high volatility compared to periods of low volatility, using a regime-switching vector autoregression. The lower … that is weaker in high volatility periods. To rationalize our robust empirical results, we use a macroeconomic model in … volatility of aggregate shocks. In low volatility periods, banks lever up, which makes their balance sheets more sensitive to …
Persistent link: https://www.econbiz.de/10011564503
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Uncertainty shocks and inflation dynamics in the U.S.
Haque, Qazi; Magnusson, Leandro M. - 2020
Persistent link: https://www.econbiz.de/10012601651
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Interest rate risk and the Swiss solvency test
Eder, Armin; Keiler, Sebastian; Pichl, Hannes - 2013
In this paper, we present a new approach to measuring interest rate risk for insurers within the Swiss Solvency Test, which overcomes the shortcomings of the standard model. The standard model of the Swiss Solvency Test is based on more interest rate risk factors than are actually needed to...
Persistent link: https://www.econbiz.de/10010202889
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Empirical evidence on the dynamics of investment under uncertainty in the U.S.
Haque, Qazi; Magnusson, Leandro M.; Tomioka, Kazuki - 2019
Persistent link: https://www.econbiz.de/10012208719
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Tests for jumps in yield spreads
Winkelmann, Lars; Yao, Wenying - 2021
This paper develops high-frequency econometric methods to test for jumps in the spread of bond yields. We derive a coherent inference procedure that detects a jump in the yield spread only if at least one of the two underlying bonds displays a jump. We formalize the test as a sequential...
Persistent link: https://www.econbiz.de/10012655372
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Tests for jumps in yield spreads
Winkelmann, Lars; Yao, Wenying - 2023
This paper studies high-frequency econometric methods to test for a jump in the spread of bond yields. We propose a coherent inference procedure that detects a jump in the yield spread only if at least one of the two underlying bonds displays a jump. Ignoring this inherent connection by basing...
Persistent link: https://www.econbiz.de/10014343097
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Monetary policy, housing, and collateral constraints
Franz, Thorsten - 2019
House-purchasing decisions and the possibility of existing homeowners to tap into their housing equity depend decisively on prevailing loan-to-value (LTV) ratios in mortgage markets with borrowing constrained households. Utilizing a smooth transition local projection (STLP) approach, I show that...
Persistent link: https://www.econbiz.de/10011963152
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Search frictions, real rigidities and inflation dynamics
Thomas, Carlos (contributor) - 2007
dynamics of inflation implied by macroeconomic data, the model needs to assume an average duration of price contracts which is …
Persistent link: https://www.econbiz.de/10003546364
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Equity premium predictability over the business cycle
Mönch, Emanuel; Stein, Tobias - 2021
The equity premium follows a pronounced v-shape pattern around the beginning of recessions. It sharply drops into negative territory just before business cycle peaks and then strongly recovers as the recession unfolds. Recessions are preceded by an inverted yield curve. Thus probit models using...
Persistent link: https://www.econbiz.de/10012607106
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Scarcity effects of QE : a transaction-level analysis in the Bund market
Schlepper, Kathi; Riordan, Ryan; Hofer, Heiko; … - 2017
This paper investigates the scarcity effects of quantitative easing (QE) policies, drawing on intra-day transaction-level data for German government bonds, purchased under the Public Sector Purchase Program (PSPP) of the ECB/Eurosystem. This paper is the first to match high-frequency QE purchase...
Persistent link: https://www.econbiz.de/10011632212