Showing 1 - 10 of 25
Zero coupon rates are not observable in the market for a range of maturities. Therefore, an estimation methodology is required to derive the zero coupon yield curves from observable data. If we deal with approximations of empirical data to create yield curves it is necessary to choose suitable...
Persistent link: https://www.econbiz.de/10010512905
Using different econometric models, Diebold and Li (J Econom 130:337-364, 2006) addressed the practical problem of forecasting the yield curve by predicting the factors level, slope and curvature in the Nelson-Siegel framework. This paper has two main aims: on the one hand, to investigate the...
Persistent link: https://www.econbiz.de/10011650303
Recursively identified vector autoregressive (VAR) models often lead to a counterintuitive response of prices (and output) shortly after a monetary policy shock. To overcome this problem, we propose to estimate the VAR parameters under the restriction that economic theory is not violated, while...
Persistent link: https://www.econbiz.de/10014290129
Recursively identified vector autoregressive (VAR) models often lead to a counterintuitive response of prices (and output) shortly after a monetary policy shock. To overcome this problem, we propose to estimate the VAR parameters under the restriction that economic theory is not violated, while...
Persistent link: https://www.econbiz.de/10014327936
Two stylized backstop systems with endogenous technological learning formulations (ETL) are introduced in MERGE: one for the electric and the other for the non-electric markets. Then the model is applied to analyze the impacts of ETL on carbon-mitigation policy, contrasting the resulting impacts...
Persistent link: https://www.econbiz.de/10010312520
This paper examines the conditions for credit volume or borrower rationing in a competitive credit market in which the project characteristics are private information of the borrowers. There can only be credit volume rationing if the higher-risk credit applicants have a higher return in the...
Persistent link: https://www.econbiz.de/10010319299
Structural changes in the European natural gas market such as liberalization, increasing demand, and growing import dependency have triggered new attempts to model this market accurately. This paper presents a model of the European natural gas supply, GASMOD, which is structured as a...
Persistent link: https://www.econbiz.de/10010274270
In this work we demonstrate the effects of different Chinese transport infrastructure investment strategies on long run marginal costs of steam coal supply in Europe. Increasing Chinese demand for steam coal will lead to a growing need for additional domestic infrastructure in China as...
Persistent link: https://www.econbiz.de/10010293356
A large reservoir of frozen human embryos is a negative outcome of their cryostorage for in vitro fertilization treatments. The existence of unused stored embryos, referred to herein as "remaining embryos", places the service provider (usually a hospital) in a fragile situation. This is...
Persistent link: https://www.econbiz.de/10012662819
A variety of approaches has been developed to deal with uncertain optimization problems. Often, they start with a given set of uncertainties and then try to minimize the influence of these uncertainties. The reverse view is to first set a budget for the price one is willing to pay and then find...
Persistent link: https://www.econbiz.de/10015358405