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Volatility of interest rates in the euro area

Cassola, Nuno; Morana, Claudio - 2003

This paper estimates the factors underlying the volatility of the euro overnight interest rate and its transmission …'s operational framework for monetary policy implementation. Strong persistence is detected in all log-volatility processes and and …. the second factor explains the transmission of volatility along the money market yield curve. We find evidence that most …

Persistent link: https://www.econbiz.de/10009635972

Econometric analysis of high dimensional VARs featuring a dominant unit

Pesaran, M. Hashem; Chudik, Alexander - 2010

This paper extends the analysis of infinite dimensional vector autoregressive models (IVAR) proposed in Chudik and Pesaran (2010) to the case where one of the variables or the cross section units in the IVAR model is dominant or pervasive. This extension is not straightforward and involves...

Persistent link: https://www.econbiz.de/10009640346

Weak and strong cross section dependence and estimation of large panels

Chudik, Alexander; Pesaran, Hashem; Tosetti, Elisa - 2009

This paper introduces the concepts of time-specific weak and strong cross section dependence. A double-indexed process is said to be cross sectionally weakly dependent at a given point in time, t, if its weighted average along the cross section dimension (N) converges to its expectation in...

Persistent link: https://www.econbiz.de/10009640487

Option-implied asymmetries in bond market expectations around monetary policy actions of the ECB

Vähämaa, Sami - 2004

This paper uses data on German government bond futures options to examine the behaviour of market expectations around monetary policy actions of the European Central Bank (ECB). In particular, this paper focuses on the asymmetries in bond market expectations, as measured by the skewness of...

Persistent link: https://www.econbiz.de/10009636538

Risk sharing through financial markets with endogenous enforcement of trades

Köppl, Thorsten V. - 2004

When people share risk in financial markets, intermediaries provide costly enforcement for most trades and, hence, are an integral part of financial marketsu0092 organization. We assess the degree of risk sharing that can be achieved through financial markets when enforcement is based on the...

Persistent link: https://www.econbiz.de/10009636542

Raising rival's costs in the securities settlement industry

Holthausen, Cornelia; Tapking, Jens - 2004

The competition between a central securities depository (CSD) and a custodian bank is analysed in a Stackelberg model. The CSD sets its prices first, the custodian bank follows. There are many investor banks each of which has to decide whether to use the service of the CSD or of the custodian...

Persistent link: https://www.econbiz.de/10009639430

Euro area sovereign yield dynamics

Menkveld, Albert J.; Cheung, Yiu C.; Jong, Frank/de - 2004

We study sovereign yield dynamics and order flow in the largest euro-area treasury markets. We exploit unique transaction data to explain daily yield changes in the ten-year government bonds of Italy, France, Belgium, and Germany. We use a state space model to decompose these changes into (i) a...

Persistent link: https://www.econbiz.de/10009639439

A framework for collateral risk control determination

Cossin, Didier; Huang, Zhijiang; Auron-Nerin, Daniel; … - 2003

interact in the risk control of collateral (e.g. marking to market frequency, level of volatility of interest rates, time to …

Persistent link: https://www.econbiz.de/10009639858

The 2008 Financial Crisis and Taxation Policy

Hemmelgarn, Thomas - 2010

Persistent link: https://www.econbiz.de/10009639922

Detecting and interpreting financial stress in the euro area

Blix Grimaldi, Marianna - 2010

There is a need to find better models and indicators for large disruptive events, not least in order to be more prepared and mitigate their effects. In this paper we take a step in this direction and discuss the performance of a financial stress indicator with a specific focus on the euro area....

Persistent link: https://www.econbiz.de/10009640326