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Inhomogeneous financial markets in a low interest rate environment : a cluster analysis of eurozone economies

Tatay, Tibor; Orlovits, Zsanett; Novák, Zsuszanna - In: Risks : open access journal 10 (2022) 10, pp. 1-22

In the present paper, we investigate the financial homogeneity of the euro area economies by contrasting eurozone … changes in the portfolio holdings of eurozone economic actors owing to economic crises and monetary policy responses. The … different Eurozone countries, both during and after the crisis. Despite some similarities in the portfolio rearrangement across …

Persistent link: https://www.econbiz.de/10013556643

Taylor rule and shadow rates : theory and empirical analysis

Lupiani, Camilla - 2024

Persistent link: https://www.econbiz.de/10014482859

The natural rate of interest: information derived from a shadow rate model

Ajevskis, Viktors - In: Applied economics 52 (2020) 47, pp. 5129-5138

Persistent link: https://www.econbiz.de/10012306572

A Shadow Rate Model with Time-Varying Lower Bound of Interest Rates

Kortela, Tomi - 2016

Typically a constant – or zero – lower bound for interest rates is applied in shadow rate term structure models. However, euro area yield curve data suggest that a time-varying lower bound might be appropriate for the euro area. I show that this indeed is the case, i.e. a shadow rate model...

Persistent link: https://www.econbiz.de/10012987963

A Shadow Rate Model of Intermediate-Term Policy Rate Expectations

Priebsch, Marcel - 2020

This note introduces a shadow rate term structure model based on OIS rates and surveys to quantify federal funds rate expectations and term premiums over horizons ranging from one month to five years. The model implies that term premiums vary over time and can be substantial in magnitude, even...

Persistent link: https://www.econbiz.de/10014092017