Narrow search
Showing 1 - 10 of 72
Cover Image
How arbitrage-free is the Nelson-Siegel Model?
Coroneo, Laura (contributor); Nyholm, Ken (contributor);  … - 2008
We test whether the Nelson and Siegel (1987) yield curve model is arbitrage-free in a statistical sense. Theoretically …, the Nelson-Siegel model does not ensure the absence of arbitrage opportunities, as shown by Bjork and Christensen (1999 …-coupon yield curve data from the US market, we find that the no-arbitrage parameters are not statistically different from those …
Persistent link: https://www.econbiz.de/10003748975
Cover Image
Explaining exchange rate dynamics : the uncovered equity return parity condition
Cappiello, Lorenzo (contributor);  … - 2005
By employing Lucas' (1982) model, this study proposes an arbitrage relationship - the Uncovered Equity Return Parity …
Persistent link: https://www.econbiz.de/10003117226
Cover Image
Systemic risk-taking
Korinek, Anton - 2011
This paper analyzes the efficiency of risk-taking decisions in an economy that is prone to systemic risk, captured by financial amplification effects that occur in response to strong adverse shocks. It shows that decentralized agents who have unconstrained access to a complete set of Arrow...
Persistent link: https://www.econbiz.de/10009640834
Cover Image
Do financial investors destabilize the oil price?
Lombardi, Marco; Van Robays, Ine - 2011
In this paper, we assess whether and to what extent financial activity in the oil futures markets has contributed to destabilize oil prices in recent years. We define a destabilizing financial shock as a shift in oil prices that is not related to current and expected fundamentals, and thereby...
Persistent link: https://www.econbiz.de/10009160021
Cover Image
Systemic risk-taking : amplification effects, externalities, and regulatory responses
Korinek, Anton - 2011
This paper analyzes the efficiency of risk-taking decisions in an economy that is prone to systemic risk, captured by financial amplification effects that occur in response to strong adverse shocks. It shows that decentralized agents who have unconstrained access to a complete set of Arrow...
Persistent link: https://www.econbiz.de/10009160024
Cover Image
Variation margins, fire sales, and information-constrained optimality
Biais, Bruno; Heider, Florian; Hoerova, Marie - 2018
Protection buyers use derivatives to share risk with protection sellers, whose assets are only imperfectly pledgeable because of moral hazard. To mitigate moral hazard, privately optimal derivative contracts involve variation margins. When margins are called, protection sellers must liquidate...
Persistent link: https://www.econbiz.de/10011921489
Cover Image
Forecasting inflation and tracking monetary policy in the euro area : does national information help?
Cristadoro, Riccardo (contributor);  … - 2008
The ECB objective is set in terms of year on year growth rate of the Euro area HICP. Nonetheless, a good deal of attention is given to national data by market analysts when they try to anticipate monetary policy moves. In this paper we use the Generalized Dynamic Factor model to develop a set of...
Persistent link: https://www.econbiz.de/10003778828
Cover Image
A robust criterion for determining the number of static factors in approximate factor models
Alessi, Lucia (contributor); Barigozzi, Matteo (contributor) - 2008
We propose a refinement of the criterion by Bai and Ng [2002] for determining the number of static factors in factor models with large datasets. It consists in multiplying the penalty function by a constant which tunes the penalizing power of the function itself as in the Hallin and Lika [2007]...
Persistent link: https://www.econbiz.de/10003778837
Cover Image
Identifying the role of labor markets for monetary policy in an estimated DSGE model
Christoffel, Kai (contributor); Kuester, Keith (contributor) - 2006
We focus on a quantitative assessment of rigid labor markets in an environment of stable monetary policy. We ask how wages and labor market shocks feed into the inflation process and derive monetary policy implications. Towards that aim, we structurally model matching frictions and rigid wages...
Persistent link: https://www.econbiz.de/10003337206
Cover Image
The forecasting power of international yield curve linkages
Modugno, Michele; Nikolaou, Kleopatra - 2009
This paper investigates whether information from foreign yield curves helps forecast domestic yield curves out-of-sample. A nested methodology to forecast yield curves in domestic and international settings is applied on three major countries (the US, Germany and the UK). This novel methodology...
Persistent link: https://www.econbiz.de/10003832611