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The bond yield conundrum: alternative hypotheses and the state of the economy
Eijffinger, Sylvester C W; Mahieu, Ronald J; Raes, Louis - C.E.P.R. Discussion Papers - 2010
We study the bond yield conundrum in a macro-finance framework. Building upon a flexible and non-structural macro-finance model, we test the hypothesis that the bond yield conundrum is connected to various sources of uncertainty in the financial markets. Moreover we explicitly test for the role...
Persistent link: https://www.econbiz.de/10008682889
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The Bond Yield Conundrum : Alternative Hypotheses and the State of the Economy
Eijffinger, Sylvester; Mahieu, Ronald; Raes, Louis - Tilburg University, Center for Economic Research - 2010
We study the bond yield conundrum in a macro-finance framework. Building upon a exible and non-structural macro-finance model, we test the hypothesis that the bond yield conundrum is connected to various sources of uncertainty in the financial markets. Moreover we explicitly test for the role of...
Persistent link: https://www.econbiz.de/10011090282
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Should the Euro Area be Run as a Closed Economy?
Favero, Carlo A.; Giavazzi, Francesco - C.E.P.R. Discussion Papers - 2008
(ECB) to study optimal monetary policy in the Euro area (for instance Smets and Wouters, 2004a, 2004b) typically assume … price shocks. Two-country models exist at the ECB (e.g. de Walque, Smets, Wouters, 2005) but they overlook asset price … remained true for the ECB, at least so far. Using closed economy models to analyze monetary policy in the Euro is thus …
Persistent link: https://www.econbiz.de/10005136545
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Los retos para la política económica en un entorno de tipos de interés próximos a cero
Hernando, Ignacio; Llopis, Jimena; Vallés, Javier - Banco de España - 2012
Casi cuatro años después de la quiebra de Lehman Brothers, el tono de la política monetaria en gran parte de las economías avanzadas continúa siendo extraordinariamente laxo, con tipos de intervención próximos a cero y con numerosos estímulos no convencionales todavía en vigor. Este...
Persistent link: https://www.econbiz.de/10010678698
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La crisis de la deuda pública en la Unión Monetaria Europea
Garmendia Ibáñez, Jesús - In: Revista de Dirección y Administración de Empresas (2010)
Este trabajo se ha llevado a cabo dentro del marco general del Grupo de Investigación Consolidado ܄erechos Fundamentales y Unión Europeaݬ GIC07/86-IT-448-07, dirigido por el profesor Gurutz Jáuregui Bereciartu.
Persistent link: https://www.econbiz.de/10011277624
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Term Structure Persistence
Abbritti, Mirko; Gil-Alana, Luis; Lovcha, Yuliya; … - School of Economics and Business Administration, … - 2012
Stationary I(0) models employed in yield curve analysis typically imply an unrealistically low degree of volatility in long-run short-rate expectations due to fast mean reversion. In this paper we propose a novel multivariate affine term structure model with a two-fold source of persistence in...
Persistent link: https://www.econbiz.de/10010599199
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Nominal Term Structure and Term Premia. Evidence from Chile
Ceballos, Luis; Naudon, Alberto; Romero, Damian - Volkswirtschaftliche Fakultät, … - 2014
The downward trend exhibited in Chile’s nominal term structure since 2003 has been a common pattern shared by other developed and developing economies. To understand the behavior of the nominal yield curve in Chile, we rely on an affine dynamic term structure model (DTMS) which allows to...
Persistent link: https://www.econbiz.de/10011108020
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House Prices and Inflation in the Euro Area
Cournède, Boris - Economics Department, Organisation de Coopération et … - 2005
The inflation measure used by the European Central Bank excludes housing costs that are borne by home owners even though they make up more than a tenth of household final consumption expenditure in the euro area. Has the exclusion of owner-occupied housing costs driven a wedge between the...
Persistent link: https://www.econbiz.de/10005045581
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Tracking the Euro
Koen, Vincent; Boone, Laurence; Serres, Alain de; … - Economics Department, Organisation de Coopération et … - 2001
During the first two years of monetary union, the euro's weakness surprised most market participants. Explanations proliferated ranging from fundamentals such as differences in growth prospects to psychological factors such as herd behaviour, but no single story fully accounts for the observed...
Persistent link: https://www.econbiz.de/10005045928
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Estimating Term Premia at the Zero Bound: An Analysis of Japanese, US, and UK Yields
Ichiue, Hibiki; Ueno, Yoichi - Bank of Japan - 2013
This paper estimates an affine term structure model (ATSM) and a shadow rate model (SRM) using Japanese, US, and UK data until March 2013. These models produce very different results, which are attributable to the ATSM's neglect of the zero lower bound (ZLB). The 10-year term premium estimated...
Persistent link: https://www.econbiz.de/10010907519