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A smooth shadow-rate dynamic Nelson-Siegel Model for yields at the zero lower bound

Opschoor, Daan; Wel, Michel van der - 2022

We propose a smooth shadow-rate version of the dynamic Nelson-Siegel (DNS) model to analyze the term structure of interest rates during the recent zero lower bound (ZLB) period. By relaxing the no-arbitrage restriction, our shadow-rate model becomes highly tractable with a closed-form yield...

Persistent link: https://www.econbiz.de/10012817007

Inflation, endogenous market segmentation and the term structure of interest rates

Vries, Casper G. de; Wang, Xuedong - 2015

The term structure of interest rates does not adhere to the expectations hypothesis, possibly due to a risk premium. We 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,...

Persistent link: https://www.econbiz.de/10010532587

The valuation and hedging of variable rate savings account

Jong, Frank de; Wielhouwer, Jacco L. - 2001

Variable rate savings accounts have two main features. The client rate is variable and deposits can be invested and withdrawn at any time. However, customer behaviour is not fully rational and actions are often performed with a delay. This paper focusses on measuring the interest rate risk of...

Persistent link: https://www.econbiz.de/10011318571

Sovereign risk and macroeconomic fluctuations in an emerging market economy

Kirchner, Markus; Rieth, Malte - 2010

This paper assesses the role of sovereign risk in explaining macroeconomic fluctuations in Turkey. We estimate two versions of a simple New Keynesian small open economy model on quarterly data for the period 1994Q3-2008Q2: A basic version and a version augmented by a default premium on...

Persistent link: https://www.econbiz.de/10011382024

Debt non-neutrality, policy interactions, and macroeconomic stability

Linnemann, Ludger; Schabert, Andreas - 2005

We study the consequences of non-neutrality of government debt for macroeconomic stabilization policy in an environment where prices are sticky. Assuming transaction services of government bonds, Ricardian equivalence fails because public debt has a negative impact on its marginal rate of return...

Persistent link: https://www.econbiz.de/10011346485

Central bank instruments, fiscal policy regimes, and the requirements for equilibrium determinacy

Schabert, Andreas - 2006

This paper examines the role of the monetary instrument choice for local equilibrium determinacy under sticky prices … inflation -- to ensure local equilibrium determinacy. When the central bank links the supply of money to government bonds by … determinacy is then ensured when the bond-to-money ratio is not extremely sensitive to inflation, or when interest payments on …

Persistent link: https://www.econbiz.de/10011348705

Debt, deficits, and destabilizing monetary policy in open economies

Schabert, Andreas; Wijnbergen, Sweder van - 2006 - Revised Version: May 2006

Blanchard (2005) suggested that active interest rate policy might induce unstable dynamics in highly-indebted economies. We examine this in a dynamic general equilibrium model where Calvo-type price rigidities provide a rationale for inflation stabilization. Unstable dynamics can occur when the...

Persistent link: https://www.econbiz.de/10011349206

Fiscal and monetary policy coordination, macroeconomic stability, and sovereign risk

Bonam, Dennis; Lukkezen, Jasper - 2014

In standard macroeconomic models, debt sustainability and price level determinacy are achieved when fiscal policy …. We examine how these policy requirements for equilibrium stability and determinacy change in the presence of sovereign …

Persistent link: https://www.econbiz.de/10010227696

Estimating implied recovery rates from the term structure of CDS spreads

Jaskowski, Marcin; McAleer, Michael - 2013

Persistent link: https://www.econbiz.de/10009724144

Quantitative easing and exuberance in government bond markets : evidence from the ECB's Expanded Assets Purchase Program

Droes, Martijn; Lamoen, Ryan C. R. van; Mattheussens, Simona - 2017 - This version: 25 August 2017

This paper examines whether the ECB's Quantitative Easing (QE) policy is causing government bond prices to deviate from their fundamental value. We use a recent advance in the methodology to measure exuberant price behavior in financial time series introduced by Phillips et al. (2015). We extend...

Persistent link: https://www.econbiz.de/10011715916

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