The 1990s and early 2000s witnessed an unprecedented increase in central bank transparency around the world, yet there has been little empirical work that convincingly demonstrates any economic benefits of increased central bank transparency. This paper shows that, since the late 1980s, U.S,...

High-frequency changes in interest rates around FOMC announcements are a standard method of measuring monetary policy shocks. However, some recent studies have documented puzzling effects of these shocks on private-sector forecasts of GDP, unemployment, or inflation that are opposite in sign to...

High-frequency changes in interest rates around FOMC announcements are a standard method of measuring monetary policy shocks. However, some recent studies have documented puzzling effects of these shocks on private-sector forecasts of GDP, unemployment, or inflation that are opposite in sign to...

We investigate the effects of U.S. monetary policy on asset prices using a high-frequency event-study analysis. We test whether these effects are adequately captured by a single factor - changes in the federal funds rate target - and find that they are not. Instead, we find that two factors are...

High-frequency changes in interest rates around FOMC announcements are a standard method of measuring monetary policy shocks. However, some recent studies have documented puzzling effects of these shocks on private-sector forecasts of GDP, unemployment, or inflation that are opposite in sign to...

High-frequency changes in interest rates around FOMC announcements are a standard method of measuring monetary policy shocks. However, some recent studies have documented puzzling effects of these shocks on private-sector forecasts of GDP, unemployment, or inflation that are opposite in sign to...

In this paper it is showed that the yield curve of the European Central Bank (ECB) does not satisfy the no arbitrage conditions. To construct a no-arbitrage yield curve, we need to add one more term to yield curve. As the state variables, it is necessary to choose a four-dimensional diffusion...

The paper presents a mathematically equivalent, but more compact description of the usually occurring quadratic model of yield. Equations for the functions of the term structure are obtained and general properties of their solutions are given. The main content of the paper is to consider the...

The Longstaff – Schwartz model is considered both in the space of latent state variables and in the space of observable (or estimated) state variables. Analytical expressions for yield curves to maturity and forward curves are obtained in both cases. Based on the analysis of the Longstaff –...

The possibility of representation of yield term structures in the form of polynomials or power series in models where short-term interest rate processes are described by stochastic differential equations is considered. In most diffusion models of short-term interest rate processes the functions...