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Financial factors in economic fluctuations
Christiano, Lawrence J.; Motto, Roberto; Rostagno, Massimo - 2010
We augment a standard monetary DSGE model to include a banking sector and financial markets. We fit the model to Euro Area and US data. We find that agency problems in financial contracts, liquidity constraints facing banks and shocks that alter the perception of market risk and hit financial...
Persistent link: https://www.econbiz.de/10003973320
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Evaluating market risk from leveraged derivative exposures
Jukonis, Audrius - 2022
Market participants use leveraged derivatives to gain access to equity market exposure through broker banks. Leverage and interconnectedness via overlapping portfolios of dealer banks can amplify adverse market movements, potentially causing sizeable losses. I propose a model, based on granular...
Persistent link: https://www.econbiz.de/10013367613
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The anatomy of the euro area interest rate swap market
Fontana, Silvia Dalla; Holz auf der Heide, Marco; … - 2019
comprehensive analysis of the structure of the euro area interest rate swap (IRS) market after the start of the mandatory clearing …
Persistent link: https://www.econbiz.de/10011975602
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A new indicator of inflation expectations anchoring
Natoli, Filippo; Sigalotti, Laura - Task Force on Low Inflation (LIFT) - 2017
We compare the degree of anchoring of inflation expectations in the euro area, the United States and the United Kingdom, focusing on the post-crisis period. First of all, we estimate a set of measures of average and tail correlation using inflation swaps and options, following Natoli and...
Persistent link: https://www.econbiz.de/10011636301
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Tail co-movement in inflation expectations as an indicator of anchoring
Natoli, Filippo; Sigalotti, Laura - Task Force on Low Inflation (LIFT) - 2017
We analyze the degree of anchoring of inflation expectations in the euro area during the post-crisis period, with a focus on the time span from 2014 onwards when long-term beliefs have substantially drifted away from the policy target. Using a new estimation technique, we look at tail...
Persistent link: https://www.econbiz.de/10011636306
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Inflation anchoring in the euro area
Speck, Christian - Task Force on Low Inflation (LIFT) - 2017
We analyze the degree of anchoring of inflation expectations in the euro area during the post-crisis period, with a focus on the time span from 2014 onwards when long-term beliefs have substantially drifted away from the policy target. Using a new estimation technique, we look at tail...
Persistent link: https://www.econbiz.de/10011636312
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The inflation risk premium in the post-Lehman period
Camba-Méndez, Gonzalo; Werner, Thomas - 2017
In this paper we construct model-free and model-based indicators for the inflation risk premium in the US and the euro area. We study the impact of market liquidity, surprises from inflation data releases, inflation volatility and deflation fears on the inflation risk premium. For our analysis,...
Persistent link: https://www.econbiz.de/10011637325
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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
March 2006. We use (i) the swap yield curves augmented by OIS interest rates (OIS/Swap), and (ii) the JGB yield curve … for each factor between OIS/Swap and FBTB/JGB, and find that the former has a more dominant role of price discovery for …
Persistent link: https://www.econbiz.de/10003826016
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Measuring market-based core inflation expectations
Grønlund, Asger Munch; Jørgensen, Kasper; Schupp, Fabian - 2024
We build a novel term structure model for pricing synthetic euro area core inflation-linked swaps, a hypothetical swap … contract indexed to core inflation. Our approach relies on a term structure model of traded headline inflation-linked swap … projections are typically only available monthly or quarterly. We find that core inflation-linked swap rates are generally less …
Persistent link: https://www.econbiz.de/10014490417
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Credit ratings and cross-border bond market spillovers
Böninghausen, Benjamin; Zabel, Michael - 2015
Persistent link: https://www.econbiz.de/10011349863