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Indexed bonds and revisions of inflation expectations
Reschreiter, Andreas - 2006
Persistent link: https://www.econbiz.de/10003401525
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Indexed bonds and revisions of inflation expectations
Reschreiter, Andreas - In: Annals of finance 6 (2010) 4, pp. 537-554
Persistent link: https://www.econbiz.de/10008652594
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No-Arbitrage Near-Cointegrated Var(p) Term Structure Models, Term Premia and GDP Growth
Jardet, Caroline - 2011
The recent macro-finance yield curve literature does not agree neither about term premia empirical properties nor about the importance or even the direction of its relationship with future economic activity. This paper proposes a two-step approach to handle both problems. First, in a VAR...
Persistent link: https://www.econbiz.de/10013132933
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Was There a 'Greenspan Conundrum' in the Euro Area?
Lame, Gildas - 2013
This paper implements an affine term structure model that accommodates "unspanned" macro risks for the Euro area, i.e. distinct from yield-curve risks. I use an averaging-estimator approach to obtain a better estimation of the historical dynamics of the pricing factors, thus providing more...
Persistent link: https://www.econbiz.de/10013084022
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Global Factors in the Term Structure of Interest Rates
Abbritti, Mirko - 2013
This paper introduces global factors within a FAVAR framework in an empirical affine term structure model. We apply our method to a panel of international yield curves and show that global factors account for more than 80 percent of term premia in advanced economies. In particular they tend to...
Persistent link: https://www.econbiz.de/10013071934
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Deciphering Monetary Policy Shocks
Gnan, Phillipp; Schleritzko, Maximilian; Schmeling, Maik; … - 2022
We decipher monetary policy shocks by directly connecting them to the stance a central bank expresses in its communication about different topics. To measure topic-specific central bank stances, we apply textual analysis techniques to press conference statements of the European Central Bank...
Persistent link: https://www.econbiz.de/10013292532
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Monetary policy surprises and their transmission through term premia and expected interest rates
Kaminska, Iryna; Mumtaz, Haroon; Šustek, Roman - 2020
Monetary policy moves the yield curve. How much is due to expected interest rates vs. term premia? And does it matter for macroeconomic outcomes? Using an affine term structure model, we shed new light on these questions. Estimation is subject to restrictions addressing an estimation bias in...
Persistent link: https://www.econbiz.de/10012316011
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Hawks vs. Doves : ECB's monetary policy in light of the Fed's policy stance
Hauzenberger, Niko; Huber, Florian; Zörner, Thomas - 2023
quantities such as government bond yields and inflation swaps to euro area monetary policy shocks change with the US policy …
Persistent link: https://www.econbiz.de/10014445207
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Inflation expectations spillovers between the United States and euro area
Netšunajev, Aleksei; Winkelmann, Lars - 2014
We quantify spillovers of inflation expectations between the United States (US) and Euro Area (EA) based on break …-even inflation (BEI) rates. In contrast to previous studies, we model US and EA BEI rates jointly in a structural vector … autoregressive (SVAR) model. The SVAR approach allows to identify US and EA specific inflation expectations shocks. By modeling the …
Persistent link: https://www.econbiz.de/10010255370
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Real Effects of Quantitative Easing at the Zero-Lower Bound : Structural VAR-Based Evidence from Japan
Schenkelberg, Heike - 2013
, the effect on inflation is not significantly different from zero. This suggests that while the Japanese Quantitative … Easing experiment was successful in stimulating real activity in the shortrun, it did not lead to any increase in inflation …
Persistent link: https://www.econbiz.de/10013092811