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Financial conditions, macroeconomic factors and (un)expected bond excess returns
Fricke, Christoph; Menkhoff, Lukas - 2014
Bond excess returns can be predicted by macro factors, however, large parts remain still unexplained. We apply a novel … term structure model to decompose bond excess returns into expected excess returns (risk premia) and the unexpected part … possible determinants of bond excess returns. We find that the expected part of bond excess returns is driven by macro factors …
Persistent link: https://www.econbiz.de/10010436625
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Comparing models for forecasting the yield curve
Matsumura, Marco Shinobu; Moreira, Ajax - 2015
The evolution of the yields of different maturities is related and can be described by a reduced number of commom latent factors. Multifactor interest rate models of the finance literature, common factor models of the time series literature and others use this property. Each model has advantages...
Persistent link: https://www.econbiz.de/10012053243
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Performance of maturity transformation strategies
Schmidhammer, Christoph; Hille, Vanessa; Wiedemann, Arnd - 2020
. Based on German government bond yieldsfrom September 1972 to May 2019,we construct a rolling window of bond ladders where …
Persistent link: https://www.econbiz.de/10012313784
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Pricing the Bund term structure with linear regressions : without an observable short rate
Speck, Christian - 2023
Affine term structure models of bond yields are important tools for analyzing fixed income markets and monetary policy …
Persistent link: https://www.econbiz.de/10014320252
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Monetary policy and risk-taking : evidence from Thai corporate bond markets
Warinthip Worasak; Nuwat Nookhwun; Pongpitch Amatyakul - 2022
Persistent link: https://www.econbiz.de/10013431587
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Estimating the effects of the Eurosystem's asset purchase programme at the country level
Mandler, Martin; Scharnagl, Michael - 2020
We assess the macroeconomic effects of the Eurosystem's asset purchases on the four largest euro area economies using simulation exercises that combine unconventional monetary policy shocks with a fixed policy rate for the duration of the purchase programme. We identify unconventional monetary...
Persistent link: https://www.econbiz.de/10012222564
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Unconventional monetary policy shocks in the euro area and the sovereign-bank nexus
Hristov, Nikolay; Hülsewig, Oliver; Scharler, Johann - 2020
particular, using panel vector autoregressive (VAR) models we analyze whether banks increased their domestic government bond …
Persistent link: https://www.econbiz.de/10012197879
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The financial market effects of the ECB's asset purchase programs
Lewis, Vivien; Roth, Markus - 2017
The European Central Bank's asset purchase programs, while intended to stabilize the economy, may have unintended side effects on financial stability. This paper aims at gauging the effects on financial markets, the banking sector, and lending to non-financial firms. Using a structural vector...
Persistent link: https://www.econbiz.de/10011712553
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Monetary policy communication shocks and the macroeconomy
Goodhead, Robert; Kolb, Benedikt - 2018
Using federal funds futures data, we show the importance of surprise communication as a component of monetary policy for U.S. macro variables, both before and after 2008. While Gürkaynak et al. (2005) stress the importance of monetary policy communication for asset prices, much of the...
Persistent link: https://www.econbiz.de/10011938122
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Below the zero lower bound : a shadow-rate term structure model for the euro area
Lemke, Wolfgang; Vladu, Andreea L. - 2016
-2015, when bond yields turned negative at various maturities. In the model the 'shadow rate' can reach any positive or …
Persistent link: https://www.econbiz.de/10011532627