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Intermediary balance sheets and the treasury yield curve
Du, Wenxin; Hébert, Benjamin; Li, Wenhao - 2022
the co-movement between swap spreads, dealer positions, yield curve slope, and covered-interest-parity violations, and …
Persistent link: https://www.econbiz.de/10013432953
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The yield curve slope and monetary policy innovations
Gamber, Edward N.; Joutz, Frederick L. - 2005
We separate changes of the federal funds rate into two components; one reflects the Fed's superior forecasts about the state of the economy and the other component reflects the Fed's reaction to the public's forecast about the state of the economy. Romer and Romer (2000) found that the Fed...
Persistent link: https://www.econbiz.de/10010293721
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Modelling and Forecasting the Yield Curve under Model uncertainty
Donati, Paola; Donati, Francesco - 2008
This paper proposes a procedure to investigate the nature and persistence of the forces governing the yield curve and …
Persistent link: https://www.econbiz.de/10011604963
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Prediction Bias Correction for Dynamic Term Structure Models
Raviv, Eran - 2013
When the yield curve is modelled using an affine factor model, residuals may still contain relevant information and do … for yield curve forecasting. The proposed adjustment is illustrated via a pseudo out-of-sample forecasting exercise …
Persistent link: https://www.econbiz.de/10010326442
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Die Zinslast des Bundes in der Schuldenkrise: Wie lukrativ ist der 'sichere Hafen'?
Boysen-Hogrefe, Jens - 2012
are quite high (68 billion euros). Application of yield curve models show that most of these profits are due to the …
Persistent link: https://www.econbiz.de/10010287008
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Forecasting Interest Rates with Shifting Endpoints
van Dijk, Dick; Koopman, Siem Jan; van der Wel, Michel; … - 2012
the problem of forecasting the term structure of interest rates with the assumption that the yield curve is driven by … find that allowing for shifting endpoints in yield curve factors can provide gains in the out-of-sample predictive accuracy …
Persistent link: https://www.econbiz.de/10010326362
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The narrow channel of quantitative easing: Evidence from YCC down under
Lucca, David O.; Wright, Jonathan H. - 2022
We study the recent Australian experience with yield curve control (YCC) of government bonds as perhaps the best … Australia purchased most of the outstanding amount of the targeted government bond, and its yield dislocated from other …
Persistent link: https://www.econbiz.de/10013432943
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The single monetary policy and domestic macro-fundamentals: Evidence from Spain
Arghyrou, Michael G.; Gadea, Maria Dolores - 2008
We model pre-euro Spanish monetary policy and use our findings to assess the compatibility of the interest rates set by the ECB since 1999 with Spanish macrofundamentals. We find that in the 1990s Spain implemented successfully a monetary strategy tailored to its own domestic fundamentals; and...
Persistent link: https://www.econbiz.de/10010288789
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No strings attached: Corporate welfare, state intervention, and the issue of conditionality
Bulfone, Fabio; Ergen, Timur; Kalaitzake, Manolis - 2022
provides empirical illustrations of this burgeoning phenomenon from the fields of unconventional monetary policy, privatization … des Problems aus den Bereichen unkonventionelle Geldpolitik, Privatisierungen und regionale Wirtschaftsförderung. …
Persistent link: https://www.econbiz.de/10013189712
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The collapse of a country
Daníelsson, Jón - 2009
Persistent link: https://www.econbiz.de/10014306478