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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

Fiscal policy and inflation volatility

Rother, Philipp C. - 2004

Among the harmful effects of inflation, the negative consequences of inflation volatility are of particular concern … inflation volatility. Major results are robust for unconditional and conditional inflation volatility, the latter derived from …

Persistent link: https://www.econbiz.de/10009636540

Non-fundamental exchange rate volatility and welfare

Straub, Roland; Tchakarov, Ivan - 2004

We lay out an empirical and a theoretical model to analyze the effects of non-fundamental exchange rate volatility on … of the conditional exogenous exchange rate volatility on the conditional mean of the endogenous variables in our open … empirically. In the second part, we investigate the effect of non-fundamental exchange rate volatility in a stochastic open …

Persistent link: https://www.econbiz.de/10009636551

Interpreting implied risk-neutral densities

Hördahl, Peter; Vestin, David - 2003

This paper examine differences between risk-neutral and objective probability densities of future interest rates. The identification and quantification of these differences are important when risk-neutral densities (RNDs), such as option-implied RNDs, are used as indicators of actual beliefs of...

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

Interest rate reaction functions and the Taylor rule in the euro area

Gerlach-Kristen, Petra - 2003

Traditional Taylor rules, which are estimated using a level specification linking the short-term interest rate to inflation and the output gap, are unstable when estimated on euro area data and forecast poorly out of sample. We present an alternative reaction function which takes the...

Persistent link: https://www.econbiz.de/10009635919

Does the yield spread predict recessions in the euro area?

Moneta, Fabio - 2003

This paper studies the informational content of the slope of the yield curve as a predictor of recessions in the euro area. In particular, the historical predictive power of ten yield spreads, for different segments of the yield curve, is tested using a probit model. The yield spread between the...

Persistent link: https://www.econbiz.de/10009636517