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Predicting risk premia in short-term interest rates and exchange rates
Gräb, Johannes; Kostka, Thomas - 2018
We assess the ability of yield curve factors to predict risk premia in short-term interest rates and exchange rates across a large sample of major advanced economies. We find that the same tick-shaped linear combination of (relative) bond yields predicts risk premia in both short-term interest...
Persistent link: https://www.econbiz.de/10011802134
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Interest rate risk and monetary policy normalisation in the euro area
Molyneux, Philip; Pancotto, Livia; Reghezza, Alessio; … - 2020
confidential supervisory measure of IRR, this paper identifies which bank-specific characteristics can amplify or weaken the impact … the European Central Bank (ECB) reveal greater IRR exposure. These findings advance the debate on the impact on euro area …
Persistent link: https://www.econbiz.de/10012318814
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Bank business models at zero interest rates
Lucas, André; Schaumburg, Julia; Schwaab, Bernd - 2017
We propose a novel observation-driven finite mixture model for the study of banking data. The model accommodates time-varying component means and covariance matrices, normal and Student's t distributed mixtures, and economic determinants of time-varying parameters. Monte Carlo experiments...
Persistent link: https://www.econbiz.de/10011668141
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Banks, low interest rates, and monetary policy transmission
Wang, Olivier - 2020
-run supply of bank credit. As U.S. bond rates have fallen, the pass-through of monetary shocks to loan and deposit rates has … weakened while the spread on U.S. bank loans has risen. I build a model in which banks earn deposit and loan spreads, deposits … dampened at low rates, because deposit spreads act as a better hedge for bank equity against unexpected monetary shocks. In the …
Persistent link: https://www.econbiz.de/10012316971
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An application of index numbers theory to interest rates
Huerga, Javier (contributor); Steklacova, Lucia (contributor) - 2008
This paper uses index number theory to disentangle changes in aggregate retail interest rates due to changes in individual component rates ("interest rate effect") from those caused by changes in the weights of each component ("weight effect"), on the basis of the "difference" index numbers...
Persistent link: https://www.econbiz.de/10003790944
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Capital inflows and euro area long-term interest rates
Carvalho, Daniel; Fidora, Michael - 2015
Persistent link: https://www.econbiz.de/10011288706
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Interest rate reaction functions and the Taylor rule in the euro area
Gerlach-Kristen, Petra (contributor) - 2003
Persistent link: https://www.econbiz.de/10001820903
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Natural rate chimera and bond pricing reality
Brand, Claus; Goy, Gavin; Lemke, Wolfgang - 2021
We build a novel macro-finance model that combines a semi-structural macroeconomic module with arbitrage-free yield-curve dynamics. We estimate it for the United States and the euro area using a Bayesian approach and jointly infer the real equilibrium interest rate (r*), trend inflation (π*),...
Persistent link: https://www.econbiz.de/10012705391
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Combining negative rates, forward guidance and asset purchases : identification and impacts of the ECB's unconventional policies
Rostagno, Massimo; Altavilla, Carlo; Carboni, Giacomo; … - 2021
This paper provides new empirical evidence that bears on the efficacy of unconventional monetary policies when the main policy rate is negative. When a negative interest rate policy (NIRP) is deployed in concert with rate forward guidance (FG) and quantitative easing (QE), the identification of...
Persistent link: https://www.econbiz.de/10012519567
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Interest rate-growth differentials on government debt : an empirical investigation for the euro area
Checherita-Westphal, Cristina; Domingues Semeano, João - 2020
Persistent link: https://www.econbiz.de/10012306620