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Monetary policy surprises and their transmission through term premia and expected interest rates
Kaminska, Iryna; Mumtaz, Haroon; Šustek, Roman - 2020
the transmission mechanism and broadly consistent with macroeconomic theory. …
Persistent link: https://www.econbiz.de/10012316011
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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 …
Persistent link: https://www.econbiz.de/10011339919
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Extraction of inflation expectations from financial instruments
Fuertes, Alberto; Gimeno, Ricardo; Marqués, José Manuel - 2018
market measures of inflation expectations free of any risk premium, eliminating potential biases included in other measures …
Persistent link: https://www.econbiz.de/10011883446
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GARCH analyses of risk and uncertainty in the theories of the interest rate of Keynes and Kalecki
Gabrisch, Hubert - 2021
-form GARCH-in-mean model assigned to six globally leading financial markets. The obtained results support Keynes's theory - the …
Persistent link: https://www.econbiz.de/10012424659
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Modeling stock-oil co-dependence with Dynamic Stochastic MIDAS Copula models
Nguyen, Hoang; Virbickaite, Audrone - 2022
Stock and oil relationship is usually time-varying and depends on the current economic conditions. In this study, we propose a new Dynamic Stochastic Mixed data frequency sampling (DSM) copula model, that decomposes the stock-oil relationship into a short-run dynamic stochastic component and a...
Persistent link: https://www.econbiz.de/10013258038
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Risk management with thinly traded securities : methodology and implementation
Bernales, Alejandro; Beuermann, Diether W.; Cortazar, … - 2013
risk measures for portfolios with infrequently traded securities have not been explored in the literature. We propose a … methodology to calculate market risk measures based on the Kalman filter which can be used on incomplete datasets. We implement … applied to other markets with thinly traded securities. Our methodology provides reliable market risk measures in portfolios …
Persistent link: https://www.econbiz.de/10011303812
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Cross-country co-movement in long-term interest rates : a DSGE approach
Chin, Michael; Filippeli, Thomai; Theodoridis, Konstantinos - 2015
Long-term interest rates in a number of small-open inflation targeting economies co-move more strongly with US long-term rates than with short-term rates in those economies. We augment a standard small open-economy model with imperfectly substitutable government bonds and time-varying term...
Persistent link: https://www.econbiz.de/10011337163
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Measuring the natural interest rate for the Macedonian economy : a multi-model approach
Miteski, Mite; Petrovska, Magdalena; Sulejmani, Artan - 2023
This paper identifies the natural interest rate for the Macedonian economy using quarterly data for 2001Q4-2019Q3. To this end, the estimation is made by using different types of models, such as the Holston, Laubach, and Williams model and the full-fledged country-specific structural MAKPAM...
Persistent link: https://www.econbiz.de/10014324792
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Pricing of idiosyncratic equity and variance risks
Gourier, Elise - 2016
This paper decomposes the risk premia of individual stocks into contributions from systematic and idiosyncratic risks … 80% of the equity and variance risk premia, respectively. I provide a categorization of sectors based on the risk profile …
Persistent link: https://www.econbiz.de/10011410917
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What do German short-term interest rates tell us about future inflation?
Grech, Harald - 2004
Persistent link: https://www.econbiz.de/10002718486