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The role of refinancing in the interest rate pass-through to fixed-rate mortgage contracts

Hensch, Jonas Ladegaard - 2021

In this paper, I study how mortgage refinancing influences the interest rate pass-through to household budgets via … fixed-rate mortgage contracts in Denmark. I develop a model based on a state-dependent process of household actions that … endogenously determines household refinancing decisions as a function of their incentives. I show that the model leads to a dynamic …

Persistent link: https://www.econbiz.de/10012510137

Interest rate skewness and biased beliefs

Bauer, Michael D.; Chernov, Mikhail - 2021 - First draft: January 2021, this draft: June 16, 2021

Conditional yield skewness is an important summary statistic of the state of the economy. It exhibits pronounced variation over the business cycle and with the stance of monetary policy, and a tight relationship with the slope of the yield curve. Most importantly, variation in yield skewness has...

Persistent link: https://www.econbiz.de/10012547050

Interest rate skewness and biased beliefs

Bauer, Michael D.; Chernov, Mikhail - 2021 - This draft: June 16, 2021

Persistent link: https://www.econbiz.de/10012584702

The monetary policy decision-making process and the term structure of interest rates

Dillén, Hans (contributor) - 2008

maturity rather than the time to maturity itself. Consequently, the forward rate curve is step-shaped. (ii) In addition, there …

Persistent link: https://www.econbiz.de/10003672572

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

treasury bills in the primary market, and we also examine the yield households and nonbank firms demand to buy these bills in …

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

Real and nominal equilibrium yield curves : wage rigidities and permanent shocks

Hsu, Alex; Li, Erica X. N.; Palomino, Francisco - 2016

The links between real and nominal bond risk premia and macroeconomic dynamics are explored quantitatively in a model with nominal rigidities and monetary policy. The estimated model captures macroeconomic and yield curve properties of the U.S. economy, implying significantly positive real term...

Persistent link: https://www.econbiz.de/10011500232

Monetary policy and asset price overshooting: a rationale for the Wall/Main Street disconnect

Caballero, Ricardo J.; Simsek, Alp - 2022

We analyze optimal monetary policy and its implications for asset prices, when aggregate demand has inertia and …

Persistent link: https://www.econbiz.de/10013093040

What Moves Bond Yields in China?

Fan, Longzhen - 2009

This paper analyzes the joint dynamic processes of macroeconomic and monetary variables and bond yields in China. We show that macroeconomic variables as well as monetary policy variables have a significant impact on two factors that capture the variation in yields. An increase in the inflation...

Persistent link: https://www.econbiz.de/10013158647

European Spreads at the Interest Rate Lower Bound

Coroneo, Laura - 2017

This paper analyzes the effect of the interest rate lower bound on long term sovereign bond spreads in the Euro area. We specify a joint shadow rate term structure model for the risk-free, the German and the Italian sovereign yield curves. In our model, the behavior of long term spreads becomes...

Persistent link: https://www.econbiz.de/10012955719

Forward Guidance Through Interest Rate Projections : Does It Work?

Brubakk, Leif - 2017

Based on high-frequency data for Norway and Sweden, we investigate to what extent explicit forward guidance from monetary policy makers, by means of publishing the path of expected future policy rates, affects the market yield curve. We summarise movements in the yield curve by two latent...

Persistent link: https://www.econbiz.de/10012958246

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