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Analyzing interest rate risk : stochastic volatility in the term structure of government bond yields
Hautsch, Nikolaus; Ou, Yangguoyi - 2009
illustrate that the yield and volatility factors are closely related to industrial capacity utilization, inflation, monetary … autoregressive processes with stochastic volatility. The factor volatilities parsimoniously capture risk inherent to the term … policy and employment growth. -- Term Structure Modelling ; Yield Curve Risk ; Stochastic Volatility ; Factor Models …
Persistent link: https://www.econbiz.de/10003864095
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Policy evaluation in macroeconomics : unemployment, fiscal rules, and exchange rates
Gehrke, Britta - 2014
Persistent link: https://www.econbiz.de/10010442652
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Essays on the aggregate implications of heterogeneity
Vavra, Joseph - 2012
Persistent link: https://www.econbiz.de/10011819328
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Essays on central bank transparency
Weber, Christoph Sebastian - 2017
Persistent link: https://www.econbiz.de/10011861514
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Interest rate dynamics, interest rate expectations and the operational framework of central banks
Schmidt, Sandra - 2010
Persistent link: https://www.econbiz.de/10008655878
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A shadow policy rate to calibrate US monetary policy at the zero lower bound
Lombardi, Marco; Zhu, Feng - 2014
Persistent link: https://www.econbiz.de/10010402200
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Macro risks and the term structure of interest rates
Bekaert, Geert; Engstrom, Eric; Ermolov, Andrey - In: Journal of financial economics 141 (2021) 2, pp. 479-504
Persistent link: https://www.econbiz.de/10013259807
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Macroeconomic effects of quantitative easing using mid-sized Bayesian vector autoregressions
Stefański, Maciej - 2021
Persistent link: https://www.econbiz.de/10012654928
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Essays on economic fluctuations
Burren, Daniel - 2009 - Als Ms. gedr.
Persistent link: https://www.econbiz.de/10003843919