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A Financial Conditions Index for Greece
Manning, Jonathan - 2015
We construct a Financial Conditions Index (FCI) for Greece as a surveillance tool to quantify the degree of the stress … (EA) as a whole and show that although the developments in the EA were qualitatively in line with those in Greece, they … were quantitatively much milder. Our results confirm that monetary transmission was less effective in Greece compared to …
Persistent link: https://www.econbiz.de/10013012447
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Riding the Yield Curve : Risk Taking Behavior in a Low Interest Rate Environment
Chami, Ralph - 2020
Investors seek to hedge against interest rate risk by taking long or short positions on bonds ofdifferent maturities. We study changes in risk taking behavior in a low interest rateenvironment by estimating a market stochastic discount factor that is non-linear and thereforeconsistent with the...
Persistent link: https://www.econbiz.de/10012836549
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Estimating Parameters of Short-Term Real Interest Rate Models
Khramov, Vadim - 2013
This paper sheds light on a narrow but crucial question in finance: What should be the parameters of a model of the short-term real interest rate? Although models for the nominal interest rate are well studied and estimated, dynamics of the real interest rate are rarely explored. Simple ad hoc...
Persistent link: https://www.econbiz.de/10013073677
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German Bond Yields and Debt Supply : Is There a 'Bund Premium'?
Paret, Anne-Charlotte - 2019
Are Bunds special? This paper estimates the 'Bund premium' as the difference in convenience yields between other sovereign safe assets and German government bonds adjusted for sovereign credit risk, liquidity and swap market frictions. A higher premium suggests less substitutability of sovereign...
Persistent link: https://www.econbiz.de/10012858387
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Monetary and Fiscal Policies and the Dynamics of the Yield Curve in Morocco
Ahokpossi, Calixte - 2016
We estimate the latent factors that underlie the dynamics of the sovereign bond yield curve inMorocco during 2004-14 based on the Dynamic Nelson-Siegel model. On this basis, weexplore the interaction between macroeconomic variables and the yield curve, which is ofdirect relevance to...
Persistent link: https://www.econbiz.de/10012977868
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Determinants of Interest Rate Spreads in Solomon Islands
Rebei, Nooman - 2014
Bank interest rate spreads in Solomon Islands are high by regional standards. This paper examines the determinants of bank interest rates including bank specific, banking sector, macroeconomic, and legal indicators. The results show that the scale of operation, overhead costs, concentration...
Persistent link: https://www.econbiz.de/10013053048
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Does Monetary Policy Stabilize the Exchange Rate Following a Currency Crisis?
Goldfajn, Ilan - 2021
This paper provides evidence on the relationship between monetary policy and the exchange rate in the aftermath of currency crises. It analyzes a large data set of currency crises in 80 countries for the period 1980-98. The main question addressed is: Can monetary policy increase the probability...
Persistent link: https://www.econbiz.de/10013212113
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A Financial Conditions Index for South Africa
Gumata, Nombulelo - 2012
The main purpose of this paper is to construct a financial conditions index (FCI) for South Africa. The analysis extracts the index by applying two alternative approaches (principal component analysis and Kalman filter), which identify an unobservable common factor from a group of external and...
Persistent link: https://www.econbiz.de/10013098612
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A Financial Conditions Index for Poland
Ho, Giang - 2014
This paper constructs a financial conditions index for Poland to explore the link between financial conditions and real economic activity. The index in constructed by applying two complementary approaches — factor analysis and vector auto-regression approach. We evaluate the index's...
Persistent link: https://www.econbiz.de/10013060548
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House Price Synchronization and Financial Openness : A Dynamic Factor Model Approach
Katagiri, Mitsuru - 2018
This paper investigates the developments in house price synchronization across countries bya dynamic factor model using a country- and city-level dataset, and examines what drives thesynchronization. The empirical results indicate that: (i) the degree of synchronization hasbeen rising since the...
Persistent link: https://www.econbiz.de/10012909411