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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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Optimal Disease Eradication
Hoel, Michael; Barrett, Scott - 2004
optimal. When eradication is feasible, the optimal program requires either a low vaccination rate or eradication. A high … vaccination rate is never optimal. Under special conditions, the results are especially stark: the optimal policy is either not to …
Persistent link: https://www.econbiz.de/10011324931
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A structural model of coronavirus behaviour: What do four waves of Covid tell us?
Meenagh, David; Minford, Patrick - 2022
hospitalisation and fatality rates of vaccination and population immunity due to past infection: the latter was the most signiÖcant … factor driving both trends, while the vaccination rate also had a signiÖcant short run e§ect on the fatality rate. We also …
Persistent link: https://www.econbiz.de/10014480726
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Social networks and vaccination decisions
Rao, Neel; Möbius, Markus M.; Rosenblat, Tanya - 2007
private university allows us to estimate how peer effects influence health beliefs and vaccination choices. Our results … positive peer effects on individuals' vaccination decisions. A student becomes up to 8.3 percentage points more likely to get … inoculation clinics suggests that students coordinate their vaccination decisions with their friends. …
Persistent link: https://www.econbiz.de/10010280911
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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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Level, Slope, Curvature: Characterising the Yield Curve in a Cointegrated VAR Model
Giese, Julia V. - 2008
Empirical evidence on the expectations hypothesis of the term structure is in-conclusive and its validity widely debated. Using a cointegrated VAR model of US treasury yields, this paper extends a common approach to test the theory. If, as we find, spreads between two yields are non-stationary,...
Persistent link: https://www.econbiz.de/10010295270
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Forecasting the term structure of government bond yields
Diebold, Francis X.; Li, Canlin - 2003
Despite powerful advances in yield curve modeling in the last twenty years, comparatively little attention has been paid to the key practical problem of forecasting the yield curve. In this paper we do so. We use neither the no-arbitrage approach, which focuses on accurately fitting the cross...
Persistent link: https://www.econbiz.de/10010298283
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Modeling bond yields in finance and macroeconomics
Diebold, Francis X.; Piazzesi, Monica; Rudebusch, Glenn D. - 2005
From a macroeconomic perspective, the short-term interest rate is a policy instrument under the direct control of the central bank. From a finance perspective, long rates are risk-adjusted averages of expected future short rates. Thus, as illustrated by much recent research, a joint...
Persistent link: https://www.econbiz.de/10010298296
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Level, Slope, Curvature: Characterising the Yield Curve in a Cointegrated VAR Model
Giese, Julia V. - In: Economics: The Open-Access, Open-Assessment E-Journal 2 (2008) 2008-28, pp. 1-20
Empirical evidence on the expectations hypothesis of the term structure is in-conclusive and its validity widely debated. Using a cointegrated VAR model of US treasury yields, this paper extends a common approach to test the theory. If, as we find, spreads between two yields are non-stationary,...
Persistent link: https://www.econbiz.de/10010298612
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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