This paper examines the sensitivity of real estate securities to changes in both market and central bank interest rates. It is commonly viewed that the traded real estate market is one of the industry sectors most susceptible to interest rate movements. This is due to traditional high levels of...

This paper studies bond prices, intertemporal consumption and portfolio choice in a simple two-factor continuous-time regime-switching term structure model. The real interest rate and the expected inflation are modelled as an “extended” Ornstein-Uhlenbeck process, whose mean and variance...

The influence of heterogeneous time preferences on the term structure is studied in the framework of a continuous-time pure exchange economy, in which agents have, apart from differential time preferences, the same degree of relative risk aversion. A closed-form solution for the financial...

A major characteristic of the operating procedure of the European Central Bank (ECB) is its reliance on standing facilities. It is intended that the official rates on those facilities also serve the function of signalling. The case of Germany, where the Bundesbank followed a similar signalling...

This paper tests the Expectations Hypothesis (EH) of the term structure of interest rates using new data for Germany. The German term structure appears to forecast future short-term interest rates surprisingly well, compared with previous studies with US data, while it has lower predictive power...