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Assessing the compensation for volatility risk implicit in interest rate derivatives
Fornari, Fabio (contributor) - 2008
volatility risk, for dollar, euro and pound rates at a daily frequency, between October 1998 and August 2006. The measurement of … the volatility risk premium rests on a simple model according to which variance forecasts are generated under the … large - negative - compensation for volatility risk, a component which was smaller in absolute terms - but not relative to …
Persistent link: https://www.econbiz.de/10003636292
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A structural break in the effects of Japanese foreign exchange intervention on yen/dollar exchange rate volatility
Hillebrand, Eric (contributor); Schnabl, Gunther (contributor) - 2006
volatility at the turn of the millennium when Japanese foreign exchange intervention started to remain unsterilized …
Persistent link: https://www.econbiz.de/10003337476
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Disagreement among forecasters in G7 countries
Dovern, Jonas; Fritsche, Ulrich; Slacalek, Jirka - 2009
Using the Consensus Economics dataset with individual expert forecasts from G7 countries we investigate determinants of disagreement (crosssectional dispersion of forecasts) about six key economic indicators. Disagreement about real variables (GDP, consumption, investment and unemployment) has a...
Persistent link: https://www.econbiz.de/10003963738
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Volatility of interest rates in the euro area
Cassola, Nuno; Morana, Claudio - 2003
This paper estimates the factors underlying the volatility of the euro overnight interest rate and its transmission …'s operational framework for monetary policy implementation. Strong persistence is detected in all log-volatility processes and and …. the second factor explains the transmission of volatility along the money market yield curve. We find evidence that most …
Persistent link: https://www.econbiz.de/10009635972
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Macroeconomic forecasting and structural change
D'Agostino, Antonello; Gambetti, Luca; Giannone, Domenico - 2010
using a Time-Varying Coefficients VAR with Stochastic Volatility (TV-VAR) for the US. The model generates accurate … ; Stochastic Volatility ; Time Varying Vector Autoregression …
Persistent link: https://www.econbiz.de/10003971298
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Interest rate expectations and uncertainty during ECB governing council days : evidence from intraday implied densities of 3-month Euribor
Vergote, Olivier; Puigvert Gutiérrez, Josep Maria - 2011
particular, the non-parametric estimator of these densities, which is based on fitting implied volatility curves, is applied to …
Persistent link: https://www.econbiz.de/10009380949
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Interest rate volatility : a consol rate-based measure
Brousseau, Vincent; Durré, Alain - 2013
Persistent link: https://www.econbiz.de/10009765575
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Risk, monetary policy and asset prices in a global world
Bekaert, Geert; Hoerova, Marie; Xu, Nancy R. - 2023
We study how monetary policy and risk shocks affect asset prices in the US, the euro area, and Japan, differentiating between "traditional" monetary policy and communication events, each decomposed into "pure" and information shocks. Communication shocks from the US spill over to risk in the...
Persistent link: https://www.econbiz.de/10014483035
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A factor risk model with reference returns for the US dollar and Japanese yen bond markets
Bernadell, Carlos (contributor); Coche, Joachim (contributor) - 2006
This paper develops a new methodology for simulating fixed-income return distributions. It is shown that a traditional factor risk model, when augmented with reference returns, is capable of generating visually consistent return distributions for a broad range of fixed income instruments such as...
Persistent link: https://www.econbiz.de/10003337255
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How successful is the G7 in managing exchange rates?
Fratzscher, Marcel - 2008
The paper assesses the extent to which the Group of Seven (G7) has been successful in its management of major currencies since the 1970s. Using an event-study approach, the paper finds evidence that the G7 has been overall effective in moving the US dollar, yen and euro in the intended direction...
Persistent link: https://www.econbiz.de/10003794160