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Are the Central and Eastern European Transition Countries still vullnerable to an Financial Crisis? Results from the Signals Approach

Brüggemann, Axel; Linne, Thomas - 2002

as well as that of Turkey and Russia to a financial crisis. Our methodology is an extension of the signals approach. We …

Persistent link: https://www.econbiz.de/10010316387

Yield curve modeling and forecasting using semiparametric factor dynamics

Härdle, Wolfgang Karl; Majer, Piotr - 2012

Using a Dynamic Semiparametric Factor Model (DSFM) we investigate the term structure of interest rates. The proposed methodology is applied to monthly interest rates for four southern European countries: Greece, Italy, Portugal and Spain from the introduction of the Euro to the recent European...

Persistent link: https://www.econbiz.de/10010318745

Modellierung von Zinsstrukturkurven

Hewicker, Harald; Cremers, Heinz - 2011

Being able to model yield curves from observed bond yields is essential in capital markets. Yield curves are required to accurately price financial products as well as to correctly assess the macroeconomic situation of economies. Current models based on the work of Nelson/Siegel et al. apply a...

Persistent link: https://www.econbiz.de/10010305888

Dynamic Factor Models with Smooth Loadings for Analyzing the Term Structure of Interest Rates

Jungbacker, Borus; Koopman, Siem Jan; van der Wel, Michel - 2009

We propose a new approach to the modelling of the term structure of interest rates. We consider the general dynamic factor model and show how to impose smoothness restrictions on the factor loadings. We further present a statistical procedure based on Wald tests that can be used to find a...

Persistent link: https://www.econbiz.de/10010325734

Information in the yield curve: A Macro-Finance approach

Dewachter, Hans; Iania, Leonardo; Lyrio, Marco - 2014

We use a macro-finance model, incorporating macroeconomic and financial factors, to study the term premium in the U.S. bond market. Estimating the model using Bayesian techniques, we find that a single factor explains most of the variation in bond risk premiums. Furthermore, the model-implied...

Persistent link: https://www.econbiz.de/10011506774

A joint macroeconomic-yield curve model for Hungary

Reppa, Zoltán - 2009

The main goal of this paper is to examine the relationship between macroeconomic shocks and yield curve movements in Hungary. To this end, we apply a Nelson-Siegel type dynamic yield curve model, where changes of the yield curve are driven by two latent factors and some key macro variables that...

Persistent link: https://www.econbiz.de/10010322460

Turkish delight for some, cold turkey for others?: The effects of the EU-Turkey Customs Union

Adam, Antonis; Moutos, Thomas - 2005

Following Turkey’s application for EU membership in 1987, a Customs Union (CU) between Turkey and the EU, mainly … agricultural sector, Turkey also specializes in the production and exportation of relatively low-price, low-quality varieties of … asymmetric changes in the trade volumes of the incumbent countries of the EU as a result of the EU-Turkey CU. By examining …

Persistent link: https://www.econbiz.de/10010261340

The impact of a Customs Union with the EU on internal migration in Turkey under the two alternative Harris-Todaro and wage curve settings

De Santis, Roberto A. - 1998

The impact on internal migration of the recent Customs Union (CU) agreement between Turkey and the European Union (EU …

Persistent link: https://www.econbiz.de/10010275315

Determinants of Unemployment Duration for Men and Women in Turkey

Tansel, Aysit; Taşçi, H. Mehmet - 2004

unemployment in Turkey. We use the results of the Household Labor Force Surveys of 2000 and 2001 to construct a cross-section of … parametric estimation methods are used, controlling for the unobserved heterogeneity. Two alternative definitions of unemployment …

Persistent link: https://www.econbiz.de/10010276811

Labor Mobility across the Formal/Informal Divide in Turkey: Evidence from Individual Level Data

Tansel, Aysit; Oznur Kan, Elif - 2012

theoretical and empirical research. Turkey, given its economic and demographic dynamics, provides rich evidence for a growing …, heterogeneous and multifaceted informal labor market. However, the existing evidence on labor informality in Turkey is mixed and …

Persistent link: https://www.econbiz.de/10010500199