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Extended Libor market models with affine and quadratic volatility

Zühlsdorff, Christian - 2002

The market model of interest rates specifies simple forward or Libor rates as lognormally distributed, their stochastic dynamics has a linear volatility function. In this paper, the model is extended to quadratic volatility functions which are the product of a quadratic polynomial and a...

Persistent link: https://www.econbiz.de/10011538865

A contribution to the study of the German treasury bills market

Leão, Emanuel R.; Lagoa, Sergio C. - In: Cogent economics & finance 3 (2015) 1, pp. 1-11

We study the yields in the German treasury bills market. We take a detailed look at the yield banks require to buy treasury bills in the primary market, and we also examine the yield households and nonbank firms demand to buy these bills in the secondary market. We use data from real world...

Persistent link: https://www.econbiz.de/10011449639

Interest Rate Transmission and Volatility Transmission along the Yield Curve

Avouyi-Dovi, Sanvi - 2011

In order to analyse the interest rate transmission mechanism, we study daily Euro-rates term structure for the US, Germany, and the UK between 1983 and 1997. We estimate multivariate VECM-GARCH models, which take into account moste of the usual features of financial data (non-stationarity,...

Persistent link: https://www.econbiz.de/10013131874

A Chinese Slowdown and the Nominal Term Structures of the US and German Interest Rates

Maletic, Matjaz - 2018

To measure the global spillovers of a Chinese slowdown on the long-term nominal interest rates in the US/Germany, I model the US/German nominal term structure jointly in the post financial crisis (FC) sample, including the Chinese leading indicator as a new factor. I use an affine term structure...

Persistent link: https://www.econbiz.de/10012913804

Pricing the Bund term structure with linear regressions : without an observable short rate

Speck, Christian - 2023

Affine term structure models of bond yields are important tools for analyzing fixed income markets and monetary policy. Estimators of Adrian, Crump, and Mönch (2013) and Diez de Los Rios (2015) replace time-consuming nonlinear search procedures with a set of simple linear regressions. However,...

Persistent link: https://www.econbiz.de/10014320252

Towards a Joint Characterization of Monetary Policy and the Dynamics of the Term Structure of Interest Rates

Fendel, Ralf - 2016

Persistent link: https://www.econbiz.de/10012991346

Threshold dynmamics of short-term interest rates: empirical evidence and implications for the term structure

Archontakis, Theofanis; Lemke, Wolfgang - 2007

This paper studies a nonlinear one-factor term structure model in discrete time. The single factor is the short-term interest rate, which is modeled as a self-exciting threshold autoregressive (SETAR) process. Our specification allows for shifts in the intercept and the variance. The process is...

Persistent link: https://www.econbiz.de/10010295839

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 … apllied to German time-series and cross-section term structure data in order to identify both the risk-neutral and the …

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

McCallum rules, exchange rates, and the term structure of interest rates

Díez de los Ríos, Antonio (contributor) - 2008

McCallum (1994a) proposes a monetary rule where policymakers have some tendency to resist rapid changes in exchange rates to explain the forward premium puzzle. We estimate this monetary policy reaction function within the framework of an affine term structure model to find that, contrary to...

Persistent link: https://www.econbiz.de/10003775749

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

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

, of sovereign credit risk, first and foremost through a transfer of risk from the private financial sector to the …

Persistent link: https://www.econbiz.de/10003969288

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