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A variance decomposition of index-linked bond returns
Breedon, Francis J. - 2012
future excess returns is the key driver though only for Icelandic bonds are returns independent of inflation. …
Persistent link: https://www.econbiz.de/10009427074
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UK term structure decompositions at the zero lower bound
Carriero, Andrea; Mouabbi, Sarah; Vangelista, Elisabetta - 2015
inflation expectations and risk premia. This entails jointly pricing and decomposing nominal and real UK yields. We find … evidence that medium- and long-term inflation expectations are contained within narrower bounds since the early 1990s …, suggesting monetary policy credibility improved after the introduction of inflation targeting. …
Persistent link: https://www.econbiz.de/10011339919
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Rules and risk in the euro area
Iara, Anna; Wolff, Guntram B. - 2011
With a unique data set summarizing the quality of rules-based fiscal governance in EU member states, we show that stronger fiscal rules in euro area members reduce sovereign risk premia, in particular in times of market stress. To do so, we develop a model of sovereign spreads that are...
Persistent link: https://www.econbiz.de/10009315724
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Hawks vs. Doves : ECB's monetary policy in light of the Fed's policy stance
Hauzenberger, Niko; Huber, Florian; Zörner, Thomas - 2023
quantities such as government bond yields and inflation swaps to euro area monetary policy shocks change with the US policy …
Persistent link: https://www.econbiz.de/10014445207
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Monetary policy surprises and their transmission through term premia and expected interest rates
Kaminska, Iryna; Mumtaz, Haroon; Šustek, Roman - 2020
Monetary policy moves the yield curve. How much is due to expected interest rates vs. term premia? And does it matter for macroeconomic outcomes? Using an affine term structure model, we shed new light on these questions. Estimation is subject to restrictions addressing an estimation bias in...
Persistent link: https://www.econbiz.de/10012316011
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The financial market impact of UK quantitative easing
Breedon, Francis J.; Chadha, Jagjit; Water, Alex - 2012
After outlining some of the monetary developments associated with Quantitative Easing (QE), we measure the impact of the UK's initial 2009-10 QE Programme on bonds and other assets. First, we use a macro-finance yield curve both to create a counterfactual path for bond yields and to estimate the...
Persistent link: https://www.econbiz.de/10009580086
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The fiscal roots of inflation
Cochrane, John H. - 2019
Persistent link: https://www.econbiz.de/10012102605
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The impact of the creation of a sovereign ESG reference yield curve on corporate ESG bonds issuances from Latin America and the Caribbean
Cunha, Daniel; Craveiro, Giovana; Rossi, Marina - 2024
This paper explores a granular database from the Inter-American Development Bank (IDB) Green Bond Transparency Platform covering the issuance of 430 corporate and sovereign Environmental, Social, and Governance (ESG) bonds in Latin America and the Caribbean (LAC) that are outstanding in...
Persistent link: https://www.econbiz.de/10014529872
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Forecasting government bond yields with large Bayesian VARs
Carriero, Andrea; Kapetanios, George; Marcellino, … - 2010
We propose a new approach to forecasting the term structure of interest rates, which allows to efficiently extract the information contained in a large panel of yields. In particular, we use a large Bayesian Vector Autoregression (BVAR) with an optimal amount of shrinkage towards univariate AR...
Persistent link: https://www.econbiz.de/10003990415
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Forward guidance matters : disentangling monetary policy shocks
Ferreira, Leonardo Nogueira - 2020
Central banks have usually employed short-term rates as the main instrument of monetary policy. In the last decades, however, forward guidance has also become a central tool for monetary policy. In an innovative way this paper combines two sources of extraneous information - high frequency...
Persistent link: https://www.econbiz.de/10012295693