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What option prices tell us about the ECB's unconventional monetary policies
Olijslagers, Stan; Petersen, Annelie; Vette, Nander de; … - 2018
We use a series of different approaches to extract information about crash risk from option prices for the Euro-Dollar exchange rate, with each step sharpening the focus on extracting more specific measures of crash risk around dates of ECB measures of Unconventional Monetary Policy. Several...
Persistent link: https://www.econbiz.de/10011940034
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Exchange rate dynamics and monetary policy : evidence from a non-linear DSGE-VAR approach
Huber, Florian; Rabitsch, Katrin - 2019
volatility. Since exchange rate volatility is not observed, we estimate it alongside the remaining quantities in the model. Our … increase in exchange rate volatility. Historical and forecast error variance decompositions indicate that monetary policy … shocks explain an appreciable amount of exchange rate movements and the corresponding volatility. …
Persistent link: https://www.econbiz.de/10012118186
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Inflation trends in Asia : implications for central banks
Garcia, Juan Angel; Poon, Aubrey - 2019
Trend inflation estimates for 12 of the largest Asian economies over 1995-2018 offer important insights on inflation dynamics and inflation expectations. The disinflationary shocks that hit the region since 2014 were partly transitory, but their effects have been different depending on the...
Persistent link: https://www.econbiz.de/10012132591
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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
model to be extended with stochastic volatility and heavy tailed disturbances. We develop a flexible estimation method for …
Persistent link: https://www.econbiz.de/10010362975
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Unobserved Components with Stochastic Volatility in U.S. Inflation : Estimation and Signal Extraction
Li, Mengheng - 2018
subject to stochastic volatility. It enables the disentanglement of dynamic structures in both the mean and the variance of … increased during the 2008 financial crisis while it has recently returned to its pre-crisis level. The extracted volatility …
Persistent link: https://www.econbiz.de/10012924242
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Robust inference in time-varying structural VAR models : the DC-cholesky multivariate stochastic volatility model
Hartwig, Benny - 2020
Cholesky multivariate stochastic volatility model. It establishes that systematically different dynamic restrictions are … divergent when volatility clusters idiosyncratically. It is illustrated that this property is important for empirical … multivariate stochastic volatility model is proposed as a robust alternative. …
Persistent link: https://www.econbiz.de/10012424283
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Robust inference intime-varying structural VAR models : the DC-Cholesky multivariate stochasticvolatility model
Hartwig, Benny - 2020
Cholesky multivariate stochastic volatility model.It establishes that systematically different dynamic restrictions are imposed … divergent when volatility clusters idiosyncratically.It is illustrated that this property is important for empirical …
Persistent link: https://www.econbiz.de/10012250452
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Liquidity Risk, Credit Risk and the Overnight Interest Rate Spread : A Stochastic Volatility Modelling Approach
Beirne, John - 2013
In this paper we model the volatility of the spread between the overnight interest rate and the central bank policy … 2007. During the crisis, the policy spread exhibited signs of volatility, owing to the breakdown in interbank market … activity. The determinants of this volatility are assessed using Stochastic Volatility models to gauge the role played by …
Persistent link: https://www.econbiz.de/10013094544
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Liquidity Risk, Credit Risk and the Overnight Interest Rate Spread : A Stochastic Volatility Modelling Approach
Beirne, John - 2010
In this paper we model the volatility of the spread between the overnight interest rate and the central bank policy … 2007. During the crisis, the policy spread exhibited signs of volatility, owing to the breakdown in interbank market … activity. The determinants of this volatility are assessed using Stochastic Volatility models to gauge the role played by …
Persistent link: https://www.econbiz.de/10013141038
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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 - 2014
model to be extended with stochastic volatility and heavy tailed disturbances. We develop a flexible estimation method for …
Persistent link: https://www.econbiz.de/10013052226