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An affine multifactor model with macro factors for the German term structure: Changing results during the recent crises
Halberstadt, Arne; Stapf, Jelena - 2012
less at the short end as compared to longer maturities in times of crisis. A liquidity stress factor included in the macro …
Persistent link: https://www.econbiz.de/10010310656
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Measuring Market Expectations
Baumeister, Christiane - 2021
Asset prices are a valuable source of information about financial market participants.expectations about key macroeconomic variables. However, the presence of time-varying risk premia requires an adjustment of market prices to obtain the market's rational assessment of future price and policy...
Persistent link: https://www.econbiz.de/10012658011
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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/10011380975
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A search-theoretic model of the term premium
Geromichalos, Athanasios; Herrenbrueck, Lucas M.; … - In: Theoretical Economics 11 (2016) 3, pp. 897-935
state to compensate agents for their relative lack of liquidity. Second, since the difference in the yield of short and long … liquidity. …
Persistent link: https://www.econbiz.de/10011599588
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ECB monetary operations and the interbank repo market
Dunne, Peter G.; Fleming, Michael J.; Zholos, Andrey - 2013
We examine the relationship between monetary policy operations and interbank borrowing and lending of funds using sovereign bonds as collateral. We first establish that, in the precrisis period, there are important but rather weak relations between these funding sources and that this...
Persistent link: https://www.econbiz.de/10010333597
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A search-theoretic model of the term premium
Geromichalos, Athanasios; Herrenbrueck, Lucas; Salyer, Kevin - 2013
rates of return to compensate agents for their relative lack of liquidity. Consistent with empirical findings, our model …
Persistent link: https://www.econbiz.de/10010318851
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The strategic determination of the supply of liquid assets
Geromichalos, Athanasios; Herrenbrueck, Lucas - 2016
determine asset liquidity. In our model, two asset suppliers try to profit from the liquidity services their assets confer …. Asset liquidity is indirect in the sense that assets can be sold for money in over-the-counter (OTC) secondary markets … liquidity of two assets. Asset demand curves can slope upward for evenmodest degrees of increasing returns in the matching …
Persistent link: https://www.econbiz.de/10011784998
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Equity capital, bankruptcy risk and the liquidity trap
Levintal, Oren - 2011
This paper explains the emergence of liquidity traps in the aftermath of large-scale financial crises, as happened in …
Persistent link: https://www.econbiz.de/10010335985
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The determinants of stock and bond return comovements
Baele, Lieven; Bekaert, Geert; Inghelbrecht, Koen - 2007
dynamics of stock-bond return correlations poorly. Alternative factors, such as liquidity proxies, help explain the residual …
Persistent link: https://www.econbiz.de/10011506640
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States, Banks and the Financing of the Economy: Monetary Policy and Regulatory Perspectives
Balling, Morten; Jackson, Patricia; Gnan, Ernest; … - 2013
On 5-6 September 2012 SUERF held its 30th Colloquium “States, Banks, and the Financing of the Economy” at the University of Zürich, Switzerland. The papers included in this SUERF Study are based on contributions to the Colloquium. All the papers in this publication discuss from different...
Persistent link: https://www.econbiz.de/10011689959