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Natural yield curve : the case of Indonesia

Bary, Pakasa; Affandi, Yoga; Harahap, Berry A.; … - In: Contemporary economics 14 (2020) 2, pp. 182-200

The purpose of this study is to estimate the natural yield curve for an emerging economy, with Indonesia as a case study. The estimation is done by a two-stage approach, namely, the decomposition of the yield curve component through a dynamic Nelson-Siegel model, the results of which are then...

Persistent link: https://www.econbiz.de/10012237403

Structural factor analysis of interest rate pass through in four large Euro Area economies

Banerjee, Anindya; Bystrov, Victor; Mizen, Paul - 2017

Persistent link: https://www.econbiz.de/10011886367

Structural factor analysis of interest rate pass through in four large euro area economies

Banerjee, Anindya; Bystrov, Victor; Mizen, Paul - 2019

Persistent link: https://www.econbiz.de/10012174400

Estimating shadow policy rates in a small open economy and the role of foreign factors

Fornero, Jorge; Kirchner, Markus; Molina, Carlos - In: Journal of international money and finance 140 (2024), pp. 1-18

Persistent link: https://www.econbiz.de/10014451378

Modeling and forecasting the co-movement of international yield curve drivers

Sprincenatu, Maria - 2019

Persistent link: https://www.econbiz.de/10012172917

Euro area sovereign bond risk premia before and during the Covid-19 pandemic

Corradin, Stefano; Schwaab, Bernd - In: European economic review : EER 153 (2023), pp. 1-20

Persistent link: https://www.econbiz.de/10014430964

Do central bank liquidity facilities affect interbank lending rates?

Christensen, Jens H. E.; López, José A.; Rudebusch, … - In: Journal of business & economic statistics : JBES ; a … 32 (2014) 1, pp. 136-151

Persistent link: https://www.econbiz.de/10010380470

Measuring the natural yield curve

Brzoza-Brzezina, Michał; Kotłowski, Jacek - In: Applied economics 46 (2014) 16/18, pp. 2052-2065

Persistent link: https://www.econbiz.de/10010413342

A dynamic yield curve model with stochastic volatility and non-Gaussian interactions : an empirical study of non-standard monetary policy in the euro area

Mesters, Geert; Schwaab, Bernd; Koopman, Siem Jan - 2014

We develop an econometric methodology for the study of the yield curve and its interactions with measures of non-standard monetary policy during possibly turbulent times. The yield curve is modeled by the dynamic Nelson-Siegel model while the monetary policy measurements are modeled as...

Persistent link: https://www.econbiz.de/10010362975

ECB policies involving government bond purchases : impact and channels

Krishnamurthy, Arvind; Nagel, Stefan; … - In: Review of finance : journal of the European Finance … 22 (2018) 1, pp. 1-44

Persistent link: https://www.econbiz.de/10011990195