Dynamic term structure models (DTSMs) price interest rate derivatives based on the modelimplied fair values of the yield curve, ignoring any pricing residuals on the yield curve that are either from model approximations or market imperfections. In contrast, option pricing in practice often takes...

We propose a model that delivers endogenous variations in term spreads driven primarily by banks’ portfolio decision and their appetite to bear the risk of maturity transformation. We first show that fluctuations of the future profitability of banks’ portfolios affect their ability to cover...

Este artículo presenta una nueva metodología para estimar el gasto financiero de la Administración Central. La idea subyacente es la de representar desagregadamente la dinámica de la deuda y del gasto por intereses a partir de cuatro elementos: el saldo vivo de la deuda pública inicial, las...

Es difícil cuadrar la reacción asimétrica de las curvas de tipos en el área del euro tras el anuncio del programa de compras de emergencia frente a la pandemia (PEPP, por sus siglas en inglés) del Banco Central Europeo (BCE) con la interpretación ortodoxa de los efectos de las compras de...

La literatura teórica de modelos de curva de tipos enfatiza la importancia de la absorción de riesgo de duración esperada durante la vida residual de los bonos para entender el efecto de las compras de activos de los bancos centrales sobre las curvas de tipos. Motivados por esto, construimos...

La literatura teórica de modelos de curva de tipos enfatiza la importancia de la absorción de riesgo de duración esperada durante la vida residual de los bonos para entender el efecto de las compras de activos de los bancos centrales sobre las curvas de tipos. Motivados por esto, construimos...

The geothermal user's viewpoint in this case is somewhat unique. San Diego Gas & Electric Company, by virtue of its activity in geothermal exploration and development since 1972, is in a position to be considered not only a user of geothermal, but a producer as well through the activities of its...

This report provides a detailed geographic analysis of two specific topics affecting the residential sector. First, we performed an analysis of new construction market trends using annual building permit data. We report summarized tables and national maps to help illustrate market conditions....

Conservation supply curves are a common tool in economic analysis. As such, they provide an important opportunity to include a non-linear representation of technology and technological change in economy-wide models. Because supply curves are closely related to production isoquants, we explore...

The market for small wind systems in the United States, often defined as systems less than or equal to 100 kW that produce power on the customer side of the meter, is small but growing steadily. The installed capacity of domestic small wind systems in 2002 was reportedly 15-18 MW, though the...