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Did quantitative easing affect interest rates outside the US? : new evidence based on interest rate differentials
Belke, Ansgar; Gros, Daniel; Osowski, Thomas - 2016
Eurozone, it appears difficult to find a distinct impact of the Fed’s QE1 on US interest rates for which the global environment … „Quantitative Easings“ der Federal Reserve auf den amerikanischen Zins erkennen. Ausgehend von diesem Ergebnis werden empirisch im …
Persistent link: https://www.econbiz.de/10011414128
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Did Quantitative Easing Affect Interest Rates Outside the US? – New Evidence Based on Interest Rate Differentials
Belke, Ansgar Hubertus - 2016
Eurozone, it appears difficult to find a distinct impact of the Fed's QE1 on US interest rates for which the global environment …
Persistent link: https://www.econbiz.de/10013000543
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Persistence of the sovereign debt components and debt sustainability : some evidence for the US and Europe
Caporale, Guglielmo Maria; Martin-Valmayor, Miguel A.; … - 2024
This paper analyses the persistence and mean reversion properties of sovereign debt and its components by applying fractional integration methods to long runs of annual data starting in 1831 for the UK and the US, in 1862 for Italy and in 1881 for France and Germany, and ending in all cases in...
Persistent link: https://www.econbiz.de/10015077843
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Inflation Risk Premia in the US and the Euro Area
Hördahl, Peter - 2010
We use a joint model of macroeconomic and term structure dynamics to estimate inflation risk premia in the United States and the euro area. To sharpen our estimation, we include in the information set macro data and survey data on inflation and interest rate expectations at various future...
Persistent link: https://www.econbiz.de/10013135613
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Inflation Risk Premia in the US and the Euro Area
Hördahl, Peter - 2010
We use a joint model of macroeconomic and term structure dynamics to estimate inflation risk premia in the United States and the euro area. To sharpen our estimation, we include in the information set macro data and survey data on inflation and interest rate expectations at various future...
Persistent link: https://www.econbiz.de/10013135685
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The Effectiveness of Unconventional Monetary Policy at the Zero Lower Bound : A Cross-Country Analysis
Gambacorta, Leonardo - 2014
This paper assesses the macroeconomic effects of unconventional monetary policies by estimating a panel VAR with monthly data from eight advanced economies over a sample spanning the period since the onset of the global finanancial crisis. It finds that an exogenous increase in central bank...
Persistent link: https://www.econbiz.de/10013065515
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Forecasting U.K. Yield Curve Dynamics Using Macroeconomic and Asset Pricing Factors : A No-Arbitrage Approach
Audzeyeva, Alena - 2019
We propose a no-arbitrage affine Gaussian model that links term structure dynamics to the evolution of asset pricing measures along with conventional macroeconomic and latent factors. In contrast to generic factors in FAVAR-type models, our economic factors exploit concept-specific rich data....
Persistent link: https://www.econbiz.de/10012870836
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Which Model to Forecast the Target Rate?
Feunou, Bruno - 2017
Specifications of the Federal Reserve target rate that have more realistic features mitigate in-sample over-fitting and are favored in the data. Imposing a positivity constraint and discrete increments significantly increase the accuracy of model out-of-sample forecasts for the level and...
Persistent link: https://www.econbiz.de/10012976152
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On mean reversion in real interest rates : an application of threshold cointegration
Jumah, Adusei; Kunst, Robert M. - 2002
Using data from Germany, Japan, UK, and the U.S., we explore possible threshold cointegration in nominal short- and … long-run interest rates with corresponding inflation rates. Traditional cointegration implies perfect mean reversion in … real rates and hence confirms the Fisher hypothesis. Threshold cointegration accounts for the possibility that this mean …
Persistent link: https://www.econbiz.de/10009725013
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On mean reversion in real interest rates : an application of threshold cointegration
Jumah, Adusei; Kunst, Robert M. - 2002
Persistent link: https://www.econbiz.de/10001642276