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On the Inflation Risks Embedded in Sovereign Bond Yields
Camba-Méndez, Gonzalo - 2020
The purpose of this paper is to study the compensation for inflation risks priced in sovereign bond yields. And we do so by modelling the time-varying dynamics of asset returns and inflation, and then estimating the cost of hedging inflation risks from the perspective of a well diversified...
Persistent link: https://www.econbiz.de/10012830326
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Correlation Changes between the Risk-Free Rate and Sovereign Yields of Euro Area Countries
De Santis, Roberto A. - 2017
We study correlations between the risk-free rate and sovereign yields of ten euro area countries using smooth transition conditional correlation GARCH (STCC-GARCH) specifications, controlling for credit risk in mean and variance equations and conditioning non-linearly to liquidity risk....
Persistent link: https://www.econbiz.de/10012963924
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US-Euro Area Term Structure Spillovers, Implications for Central Banks
Nyholm, Ken - 2017
Spillovers between the US and euro area term structures of interest rates are examined. Implications for monetary policy are investigated using term-structure metrics that proxy conventional and unconventional instruments, i.e. the short rate, the 10 year term premium, and the 10 year risk-free...
Persistent link: https://www.econbiz.de/10012963922
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International Spillovers of Quantitative Easing
Kolasa, Marcin; Wesolowski, Grzegorz - 2021
This paper develops a two-country model with asset market segmentation to investigate the effects of quantitative easing implemented by the major central banks on a typical small open economy that follows independent monetary policy. The model is able to replicate the key empirical facts on...
Persistent link: https://www.econbiz.de/10013315413
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Spillovers from the ECB's Non-Standard Monetary Policy Measures on South-Eastern Europe
Moder, Isabella - 2018
This paper is the first to comprehensively assess the impact of the euro area's non-standard monetary policy measures on south-eastern Europe. By employing bilateral BVAR models, I am able to estimate the response of output and prices for each country, as well as to shed more light on potential...
Persistent link: https://www.econbiz.de/10012933044
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Forecasting the yield curve in a data-rich environment: a no-arbitrage factor-augmented VAR approach
Mönch, Emanuel - 2005
model does not incorporate latent yield curve factors, but instead uses the common components of a large number of … outperform different benchmark models in out-of-sample yield forecasts, reducing root mean squared forecast errors relative to …
Persistent link: https://www.econbiz.de/10011604590
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Modelling and Forecasting the Yield Curve under Model uncertainty
Donati, Paola; Donati, Francesco - 2008
This paper proposes a procedure to investigate the nature and persistence of the forces governing the yield curve and …
Persistent link: https://www.econbiz.de/10011604963
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Extracting market expectations from yield curves augmented by money market interest rates: the case of Japan
Nagano, Teppei; Baba, Naohiko - 2008
yield curves augmented by money market interest rates, during the period from the end of the quantitative easing policy in … March 2006. We use (i) the swap yield curves augmented by OIS interest rates (OIS/Swap), and (ii) the JGB yield curve … all factors. Third, we estimate the efficient price for each factor common to both yield curves using a time …
Persistent link: https://www.econbiz.de/10011605026
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Consumption Volatility Risk and the Inversion of the Yield Curve
Grasso, Adriana - 2018
in long-term securities. This determines, in equilibrium, the inversion of the yield curve. Pricing time …
Persistent link: https://www.econbiz.de/10012921898
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Modeling Euro Area Bond Yields Using a Time-Varying Factor Model
Adam, Tomas - 2017
mechanism of bond yields. Our key contribution is exploring both the global and the local dimensions of bond yield determinants …
Persistent link: https://www.econbiz.de/10012963728