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The Pavlovian response of term rates to Fed announcements
Demiralp, Selva; Jordà, Òscar - 2001
Persistent link: https://www.econbiz.de/10001555471
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Interest Rate Expectations and the Slope of the Money Market Yield Curve
Cook, Timothy - 2012
has been on tests of the “expectations theory.” According to the theory, changes in the slope of the yield curve should … slope of the current yield curve. The expectations theory suggests that variation in the slope of the yield curve should be … prediction of the theory is supported by the data. A surprising finding is that parts of the yield curve have been useful in …
Persistent link: https://www.econbiz.de/10013102731
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Volatility transmission along the money market yield curve
Ayuso, Juan; Haldane, Andrew G.; Restoy, Fernando - 1994
Persistent link: https://www.econbiz.de/10000883633
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Mercados de activos financieros
Martín Marín, José Luis; Trujillo-Ponce, Antonio - 2011
Persistent link: https://www.econbiz.de/10009419407
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Excess Volatility in the Term Structure of Interest Rates, in Share Prices and in Eurozone Derivatives
Santini, Amia - 2022
1 Abstract -- 2 Introduction -- 3 Chapter I: Literature on the subject of excess volatility -- 4 Chapter II: Excess volatility beyond discount rates -- 5 Chapter III: Evidence of excess volatility in the Eurozone market -- 6 Conclusions.
Persistent link: https://www.econbiz.de/10013192353
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Excess sensitivity and volatility of long interest rates : the role of limited information in bond markets
Beechey, Meredith Jane - 2004
Asymmetric information between the central bank and bond markets creates an inference problem that affects the behaviour of long interest rates. This paper employs a simple macroeconomic model with a time-varying infation target to illustrate the implications of asymmetry for the sensitivity of...
Persistent link: https://www.econbiz.de/10011584341
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Fundamental disagreement about monetary policy and the term structure of interest rates
Cao, Shuo; Crump, Richard K.; Eusepi, Stefano; Mönch, … - 2020
Persistent link: https://www.econbiz.de/10012254015
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Fundamental disagreement about monetary policy and the term structure of interest rates
Cao, Shuo; Crump, Richard K.; Eusepi, Stefano; Mönch, … - 2021 - Revised August 2021
Using a unique data set of individual professional forecasts, we document disagreement about the future path of monetary policy, particularly at longer horizons. The stark differences in short rate forecasts imply strong disagreement about the risk-return trade-off of longer-term bonds....
Persistent link: https://www.econbiz.de/10012249767
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Borrowed reserves, fed funds rate targets, and the term structure
Nilsen, Jeffrey H. - 1997
Persistent link: https://www.econbiz.de/10000956770