Narrow search
Showing 1 - 10 of 26,306
Cover Image
Macroeconomic Bond Risks at the Zero Lower Bound
Branger, Nicole - 2016
inflation volatility. Using an approximate solution to bond prices, we show that the ZLB model successfully captures interest …
Persistent link: https://www.econbiz.de/10012985547
Cover Image
Bond Pricing and Business Cycles with Central Bank Asset Purchases
Mau, Ronald - 2021
This paper studies the term premium in a general equilibrium model with a financial constraint and central bank asset purchases. Structural estimates of the term premium match past empirical measures. Term premium dynamics are policy dependent, with Federal Reserve quantitative easing programs...
Persistent link: https://www.econbiz.de/10013248180
Cover Image
Natural Rate Chimera and Bond Pricing Reality
Brand, Claus - 2020
Incorporating arbitrage-free term-structure dynamics into a semi-structural macro-model, we jointly estimate the real equilibrium interest rate (r), trend inflation, and term premia for the United States and the euro area, using a Bayesian approach. The natural real rate and trend inflation are...
Persistent link: https://www.econbiz.de/10012842446
Cover Image
Natural Rate Chimera and Bond Pricing Reality
Brand, Claus; Goy, Gavin; Lemke, Wolfgang - 2021
We build a novel macro-finance model that combines a semi-structural macroeconomic module with arbitrage-free yield-curve dynamics. We estimate it for the United States and the euro area using a Bayesian approach and jointly infer the real equilibrium interest rate (r*), trend inflation (π*),...
Persistent link: https://www.econbiz.de/10013313733
Cover Image
A portfolio-balance approach to the nominal term structure
King, Thomas B. - 2013
Explanations of why changes in the relative quantities of safe debt seem to affect asset prices often appeal informally to a "portfolio balance" mechanism. I show how this type of effect can be incorporated in a general class of structural, arbitrage-free asset-pricing models using a numerical...
Persistent link: https://www.econbiz.de/10010211019
Cover Image
Central bank swap lines
Bahaj, Saleem; Reis, Ricardo - 2018 - First draft: October 2017
Swap lines between advanced-economy central banks are a new important part of the global financial architecture. This paper analyses their monetary policy effects from three perspectives. First, from the perspective of the central banks, it shows that the swap line mimics discount-window credit...
Persistent link: https://www.econbiz.de/10011867130
Cover Image
The rise of bond financing in Europe
Darmouni, Olivier; Papoutsi, Melina - 2022
The rise of bond financing in EuropeUsing large panel data of public and private firms, this paper dissects the growth … of bond financing in the Euro Area through the lens of the cross-section of issuers. In recent years, the composition of … bond issuers has shifted, with the entry of many smaller and riskier issuers. New issuers invest and grow, instead of …
Persistent link: https://www.econbiz.de/10013198743
Cover Image
Currency Hedging of International Bond Portfolios : Effects of Unconventional Monetary Policy Regimes
Kryzanowski, Lawrence - 2018
bond portfolios. During the QE period, the bond portfolios have significantly lower excess returns and variances, and their …
Persistent link: https://www.econbiz.de/10012927534
Cover Image
Banks' holdings of risky sovereign bonds in the absence of the nexus : yield seeking with central bank funding or de-risking?
Frey, Rainer; Weth, Mark - 2010
For the largest 55 German banks, we detect the presence of countercyclical yield seeking in the form of acquisition of high-yielding periphery bonds in the period from Q1 2008 to Q2 2011. This investment strategy is pursued by banks not subject to a bailout, banks characterised by high...
Persistent link: https://www.econbiz.de/10012014102
Cover Image
Liquidity, term spreads and monetary policy
Aksoy, Yunus; Basso, Henrique S. - 2012
We propose a model that delivers endogenous variations in term spreads driven primarily by banks’ portfolio decision and their appetite to bear the risk of maturity transformation. We first show that fluctuations of the future profitability of banks’ portfolios affect their ability to cover...
Persistent link: https://www.econbiz.de/10009682825