The information of real interest rates and expected inflation is important to China’s monetary policy and investors’ decision. In this paper, we extract the term structure of real interest rates and expected inflation from the yield curve of China’s Treasury bond market by...

In this paper a type of Heath, Jarrow and Morton (1992) (HJM) based affine model is derived theoretically. This type of affine model is obtained by applying Linear Realization Theory to construct Finite Dimensional Realizations (FDRs) of the Gaussian HJM model. The algorithms of constructing...

This paper proposes an affine term structure model in a stochastic volatility setting. It provides a useful modeling tool to bridge the two strands of macroeconomic and finance research: the DSGE-VAR with stochastic volatility and the macro-finance model of term structure. In the model, the...

Our proposed local vector autoregressive (LVAR) model has time-varying parameters that allow it to be safely used in both stationary and non-stationary situations. The estimation is conducted over an interval of local homogeneity where the parameters are approximately constant. The local...

We propose an Adaptive Dynamic Nelson-Siegel (ADNS) model to adaptively forecast the yield curve. The model has a simple yet flexible structure and can be safely applied to both stationary and nonstationary situations with different sources of change. For the 3- to 12-months ahead out-of-sample...

This paper addresses the issue of forecasting the term structure. We provide a unified state-space modelling framework that encompasses different existing discrete-time yield curve models. Within such framework we analyze the impact of two modelling choices, namely the imposition of no-arbitrage...

The Czech banking system is seen by many observers to be the most successful of all former socialist economies'. But have Czech banks successfully provided worthy enterprises with sufficient credit from the funds made available to them? Using data from the Czech National Bank and data on...

Vi kartlegger årsakssammenhengen mellom pengemarkedsrenten og inflasjon gjennom en makroøkonometrisk modell. Modellen belyser også hvilke typer sjokk en har størst mulighet til å nøytralisere ved hjelp av moderate renteendringer, og hvilke målkonflikter som kan oppstå. I artikkelens...

I økonomisk litteratur blir det hevdet at koordinering blant partene i lønnsdannelsen er ønskelig, fordi en slik løsning reduserer lønnspresset og følgelig arbeidsledigheten i økonomien. Modellen i Holden (2001) viser at en strikt sentralbank disiplinerer lønnsfastsetterne slik at...

The bank lending channel theory posits that during monetary contractions banks restrict some firms' loans, thus reducing their desired investment independently of interest rates. Previous research finds small firms reduce, while large firms accelerate, loan growth. We find that small firms...