The Eurosystem's main refinancing operations (MROs) are key for the interbank money market and the monetary transmission process in the euro area. This paper investigates how money market rates respond to the information revealed by various aspects of an MRO auction outcome. Our results confirm...

This study extends a state-space representation of the yield curve and the macroeconomy to a small open economy in order to study the dynamic interaction between the yield curves in Canada and the U.S. The framework treats the U.S. term structure of interest rates as being exogenous to both the...

This study examines the asymmetry and adjustment to the long-run equilibrium for the TED spread formed as the difference between LIBOR and Treasury bill rates for three maturities. It also explores the adjustment each individual rate undergoes to move the spread to its equilibrium during...

The objective of this study is to identify the impact of the recent period of international integration of bond markets on interest rates in a small open economy. The empirical methodology captures a financial globalization regime with a nonlinear, structural vector autoregression (SVAR) and a...

This paper studies uncertainty about out-of-sample interest rate forecasts implied by an estimated Taylor rule. It is shown that the Taylor rule leads to a decomposition of forecast uncertainty into an element that depends on uncertainty about the future state of the economy and another element...

This study investigates how unexpected announcements in Brazilian and U.S. macroeconomic indicators affect the term structure of nominal interest rates, as well as implicit inflation expectations and real interest rates. Using daily data from March 2005 to December 2012, we employ an extended...

We apply a simple test to study the effect of the publication of central banks’ interest-rate projections on the coordination of private-sector interest-rate forecasts. Our results indicate that the publication of interest-rate projections does not lead private-sector forecasters to coordinate...

This paper investigates the stock returns and volatility size effects for firm performance in the Taiwan tourism industry, especially the impacts arising from the tourism policy reform that allowed mainland Chinese tourists to travel to Taiwan. Four conditional univariate GARCH models are used...

Given the growing need for managing financial risk and the recent global crisis, risk prediction is a crucial issue in banking and finance. In this paper, we show how recent advances in the statistical analysis of extreme events can provide solid methodological fundamentals for modeling extreme...

The intercept of standard Single Index and Conditional Single Index models, the so-called alpha, is often used to evaluate the long-run performance of managed portfolios. However, this measure is not always appropriate for detecting the presence and impact of active management strategies. Based...