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Interest rate volatility prior to monetary union under alternative pre-switch regimes
Wilfling, Bernd - 2001
The volatility of interest rates is relevant for many financial applications. Under realistic assumptions the term …-float regime. The volatility processes of arbitraryterm differentials under the respective pre-switch arrangements are compared … Zinsstruktur. Diese Arbeit leitet die Zinsdifferentialstruktur in einer Situation her, in der zwei offene Volkswirtschaften in der …
Persistent link: https://www.econbiz.de/10010295569
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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 to use the extracted information for forecasting purposes. The latent factors of a model of the Nelson-Siegel type are directly linked to the maturity of the yields through the...
Persistent link: https://www.econbiz.de/10011604963
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The term structure of inflation expectations
Adrian, Tobias; Wu, Hao - 2009
break-even inflation rates when market volatility is high. Our model's ability to be updated weekly makes it suitable for …
Persistent link: https://www.econbiz.de/10010283537
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Interpreting the great moderation: Changes in the volatility of economic activity at the macro and micro levels
Davis, Steven J.; Kahn, James A. - 2008
We review evidence on the Great Moderation together with evidence about volatility trends at the micro level to develop … a potential explanation for the decline in aggregate volatility since the 1980s and its consequences. The key elements … are declines in firm-level volatility and aggregate volatility-most dramatically in the durable goods sector-but with no …
Persistent link: https://www.econbiz.de/10010283570
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Towards a Joint Characterization of Monetary Policy and the Dynamics of the Term Structure of Interest Rates
Fendel, Ralf - 2004
The paper develops an empirical no-arbitrage Gaussian affine term structure model to explain the dynamics of the German term structure of interest rates from 1979 through 1998. In contrast to most affine term structure models two risk factors that drive the dynamics are linked to observable...
Persistent link: https://www.econbiz.de/10010295651
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Spekulation, Preisbildung und Volatilität auf Finanz- und Devisenmärkten
Alexander, Volbert; Kugler, Peter; Streissler, Erich; … - 1998
werden die Auswirkungen einer Geldpolitik analysiert, die auf Veränderungen der Zinsstruktur reagiert und 'leaning against … Finanzmarktpreise. -- Der Beitrag von E. W. Streissler hat die Theorie der Wechselkurse zum Gegenstand. Ausgehend vom Grundprinzip der … von J. Wolters analysiert die Renditestruktur am deutschen Kapitalmarkt. Gemäß der Erwartungshypothese der Zinsstruktur …
Persistent link: https://www.econbiz.de/10014493204
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Liquidity, term spreads and monetary policy
Aksoy, Yunus; Basso, Henrique S. - 2012
We propose a model that delivers endogenous variations in term spreads driven primarily by banks' portfolio decision and their appetite to bear the risk of maturity transformation. We first show that fluctuations of the future profitability of banks' portfolios affect their ability to cover for...
Persistent link: https://www.econbiz.de/10010290138
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The monetary policy decision-making process and the term structure of interest rates
Dillén, Hans - 2008
This paper presents a theoretical model of the term structure of interest rates based on the monetary policy decision-making process at modern central banks. Evaluations of explicit expressions for the spot and forward rate curve render several important results: (i) Spot and forward rates are...
Persistent link: https://www.econbiz.de/10010320751
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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