The shape of the yield curve determines the relationship between interest rate risk and return of investments. Should the longterm oriented investor or financier choose short- or long term bonds or loans? The management decision of the “right” maturity depends on three form-giving factors of...

The objective of this paper is to provide a monthly estimation of the interest rate term structure in the European interbank market since the beginning of the European Monetary Union. In order to do this, we apply the Fama-Bliss boot-strapping method with the approximating function of one of the...

This study aims to examine the determinants of the MIR interest rate in the Euro area for the period 2003Q1-2015Q3. By employing Fixed and Random Effects as econometric methodologies, I examine whether the MIR rate is affected by the following macroeconomic factors: unemployment rate, inflation...

This paper illustrates how a parsimonious macro-finance model can be exploited to investigate the frequency-domain properties of debt service implied by various financing strategies. This original approach is valuable to public debt managers seeking to assess the fiscal-hedging properties of the...

This paper presents a new model for term risk, yield curve, and credit risk in spreads in a unified approach. The originality lies in the structuring of the Poisson stochastic of risk in a form suitable for finding the differential equation for the yield curve and its spreads as the Poisson...

We infer conditional swap rate moments model independently from swaption cubes. Conditional volatility and skewness exhibit systematic variation across swap maturities and option expiries (conditional kurtosis less so), with conditional skewness sometimes changing sign. Conditional skewness...

Through large-scale asset purchases, widely known as quantitative easing (QE), central banks around the world have affected the supply of safe assets by buying quasi-safe bonds in exchange for truly safe reserves. We examine the pricing effects of the European Central Bank's bond purchases in...

The contribution of the present paper is twofold. First, it will be pointed out that government debt has a positive effect on interest rates. Second, it will be shown that interest rates have a negative impact on entrepreneurship. In short, it will be concluded that government deficit (through...

In the present paper it will be shown that government debt has a negative impact on Balassa index. Data are annual and cover most Western European countries for the period 1990-2006. The estimation of the panel data model is made feasible through the Eviews software package

This paper develops a Spatial Vector Auto-Regressive (SpVAR) model that takes into account both the time and the spatial dimensions of economic shocks. We apply this framework to analyze the propagation through space and time of macroeconomic (inflation, output gap and interest rate) shocks in...