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Foreign exchange option and returns based correlation forecasts : evaluation and two applications
Castrén, Olli (contributor); Mazzotta, Stefano (contributor) - 2005
We compare option-implied correlation forecasts from a dataset consisting of over 10 years of daily data on over …-the-counter (OTC) currency option prices to a set of return-based correlation measures and assess the relative quality of the … correlation forecasts. We find that while the predictive power of implied correlation is not always superior to that of returns …
Persistent link: https://www.econbiz.de/10002817395
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Interest rates and output in the long-run
Aksoy, Yunus (contributor);  … - 2005
In this paper we argue that both statistics and economic theory-based evidence largely indicate the absence of long run relationships between the real output and the most relevant monetary indicator for the U.K. and the U.S, short term interest rates. These findings are not only a full sample...
Persistent link: https://www.econbiz.de/10002813224
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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
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Green asset pricing
Benmir, Ghassane; Jaccard, Ivan; Vermandel, Gauthier - 2020
Climate change is one of the biggest economic challenges of our time. Given the scale of the problem, the question of whether a carbon tax should be introduced is hotly debated in policy circles. This paper studies the optimal design of a carbon tax when environmental factors, such as air carbon...
Persistent link: https://www.econbiz.de/10012299078
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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