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Monetary policy, bond returns and debt dynamics
Berndt, Antje; Yeltekin, Şevin - In: Journal of monetary economics 73 (2015), pp. 119-136
Persistent link: https://www.econbiz.de/10011381760
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Natural rate chimera and bond pricing reality
Brand, Claus; Goy, Gavin; Lemke, Wolfgang - 2020
Incorporating arbitrage-free term-structure dynamics into a semi-structural macro-model, we jointly estimate the real equilibrium interest rate (r*), trend inflation, and term premia for the United States and the euro area, using a Bayesian approach. The natural real rate and trend inflation are...
Persistent link: https://www.econbiz.de/10012425011
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What factors shape the liquidity levels of euro area sovereign bonds?
Jurksas, Linas - In: Open economics 1 (2018) 1, pp. 154-166
hundred bonds from six largest euro area sovereign bond markets. The created variables were used in a cross …-sectional regression model. The results revealed that characteristics of sovereign bonds are indeed highly linked with bond liquidity …
Persistent link: https://www.econbiz.de/10011989217
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Lévy-Vasicek models and the long-bond return process
Brody, Dorje C.; Hughston, Lane P.; Meier, David M. - In: International journal of theoretical and applied finance 21 (2018) 3, pp. 1-26
Persistent link: https://www.econbiz.de/10011889447
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Subjective mortality risk and bequests
Gan, Li; Gong, Guan; Hurd, Michael D.; McFadden, Daniel - In: Journal of econometrics 188 (2015) 2, pp. 514-525
Persistent link: https://www.econbiz.de/10011503653
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Redistributive effects of different pension structures when longevity varies by socioeconomic status in a general equilibrium setting
Sanchez-Romero, Miguel; Lee, Ronald Demos; … - 2019
nonredistributive plan that accounts for differences in mortality, US Social Security reduces regressivity from longevity differences …
Persistent link: https://www.econbiz.de/10012314266
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A panel data approach to price-value correlations
Vaona, Andrea - In: Empirical economics : a journal of the Institute for … 47 (2014) 1, pp. 21-34
Persistent link: https://www.econbiz.de/10010380033
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Modelling long run comovements in equity markets : a flexible approach
Martins, Luís Filipe; Gabriel, Vasco J. - In: Journal of banking & finance 47 (2014), pp. 288-295
Persistent link: https://www.econbiz.de/10010506954
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The relationship between interest rates and inflation : time series evidence from Canada
Fazlollahi, Negar; Ebrahimijam, Saeed - In: New Dynamics in Banking and Finance : 5th International …, (pp. 191-205). 2022
Persistent link: https://www.econbiz.de/10013198534
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Cointegration analysis of non-performing loans and macroeconomic conditions
Kozarić, Kemal; Žunić, Emina - In: Finance in Central and Southeastern Europe, (pp. 89-102). 2017
Persistent link: https://www.econbiz.de/10011922035