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Interpreting implied risk-neutral densities

Hördahl, Peter; Vestin, David - 2003

premia in bond prices. Moreover, the estimated premia vary over time in a quantitatively significant way, which implies that …

Persistent link: https://www.econbiz.de/10009635905

Sovereign risk premia in the European government bond market

Bernoth, Kerstin; Hagen, Jürgen/von; Schuknecht, Ludger - 2004

This paper provides a study of bond yield differentials among EU eurobonds issued between 1991 and 2002. Interest … and debt-service ratio and depend positively on the issuer’s relative bond market size. Global investors’ attitude towards … credit risk, measured as the yield spread between low grade US corporate bonds and government bonds, also affects bond yield …

Persistent link: https://www.econbiz.de/10009639423

Inflation risks and inflation risk premia

García, Juan Angel; Werner, Thomas - 2010

compensation, inflation expectations and inflation risk premia in the euro area bond market. Latent factor models like ours fit …

Persistent link: https://www.econbiz.de/10009640397

What explains the surge in euro area sovereign spreads during the financial crisis of 2007-09?

Attinasi, Maria-Grazia; Checherita, Cristina; Nickel, … - 2009

This paper uses a dynamic panel approach to explain the determinants of widening sovereign bond yield spreads vis … debt ratios relative to Germany contributed to higher government bond yield spreads in the euro area during the analysed …

Persistent link: https://www.econbiz.de/10009640448

Identifying the monetary transmission mechanism using structural breaks

Beyer, Andreas; Farmer, Roger E. A. - 2003

We propose a method for estimating a subset of the parameters of a structural rational expectations model by exploiting changes in policy. We define a class of models, midway between a vector autoregression and a structural model, that we call the recoverable structure. As an application of our...

Persistent link: https://www.econbiz.de/10009635894

Definition of price stability, range and point inflation targets

Castelnuovo, Efrem; Nicoletti-Altimari, Sergio; … - 2003

Announcing a quantitative objective for price developments has become a common practice in modern monetary policy making. While the specific features of such announced objectives vary across countries, a common rationale for this is to help anchoring inflation expectations. We use survey data on...

Persistent link: https://www.econbiz.de/10009635904

A monthly monetary model with banking intermediation for the euro area

Bruggeman, Annick; Donnay, Marie - 2003

This monthly monetary model for the euro area is gradually constructed from its two constituting components: a money demand and a loan demand model which both include the relation between the respective retail bank rates and the short-term market interest rate. Eventually, the encompassing...

Persistent link: https://www.econbiz.de/10009635913

How does the ECB allot liquidity in its weekly main refinancing operations?

Ejerskov, Steen; Moss, Clara Martin; Stracca, Livio - 2003

This paper provides a simple weekly model of the regular supply of liquidity in the euro area, with a view to understanding the functioning of the euro area money market. The main result of the analysis is that liquidity has normally been provided by the ECB in a neutral and smooth manner, but...

Persistent link: https://www.econbiz.de/10009635957

Monetary policy transmission in the euro area

Angeloni, Ignazio; Ehrmann, Michael - 2003

We examine the euro area monetary policy transmission process using post-1999 data, with two main questions in mind: has it changed after u0096 and because of u0096 EMU and, if so, is it becoming homogeneous across countries. Given the data limitations, we concentrate on three blocks of...

Persistent link: https://www.econbiz.de/10009635961

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 along the euro area money market yield curve. A new multivariate unobserved components model is proposed allowing for both long-memory and stationary cyclical dynamics. Using...

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