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UK term structure decompositions at the zero lower bound

Carriero, Andrea; Mouabbi, Sarah; Vangelista, Elisabetta - 2016

Persistent link: https://www.econbiz.de/10011566832

UK term structure decompositions at the zero lower bound

Carriero, Andrea; Mouabbi, Sarah; Vangelista, Elisabetta - 2015

This paper employs a Zero Lower Bound (ZLB) consistent shadow-rate model to decompose UK nominal yields into expectation and term premia components. Compared to a standard affine term structure model, it performs relatively better in a ZLB setting and effectively captures the countercyclical...

Persistent link: https://www.econbiz.de/10011339919

Financial factors, macroeconomic information and the expectations theory of the term structure of interest rates

Carriero, Andrea (contributor); Favero, Carlo A. (contributor) - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002159186

Financial factors, macroeconomic information and the expectations theory of the term structure of interest rates

Carriero, Andrea; Favero, Carlo A.; Kaminska, Iryna - In: Journal of econometrics 131 (2006) 1/2, pp. 339-358

Persistent link: https://www.econbiz.de/10003298590

Validating the expectations hypothesis as a set of uncertain restrictions

Carriero, Andrea - 2004

Persistent link: https://www.econbiz.de/10003232937

Expectations and Term Premia in EFSF Bond Yields

Vangelista, Elisabetta; Carriero, Andrea; Ricci, Lorenzo - 2023

The European Financial Stability Facility (EFSF) was set up in June 2010 as a temporary crisis resolution mechanism. In October 2012, its tasks were taken over by European Stability Mechanism (ESM), a permanent institution with a capital-based structure. Liquidity conditions for EFSF bonds in...

Persistent link: https://www.econbiz.de/10014254776