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Do central bank liquidity facilities affect interbank lending rates?

Christensen, Jens H. E.; López, José A.; Rudebusch, … - In: Journal of business & economic statistics : JBES ; a … 32 (2014) 1, pp. 136-151

Persistent link: https://www.econbiz.de/10010380470

Yield curve fitting with data from sovereign bonds

Kochachev, Yavor; Simeonov, Daniel - 2013

Persistent link: https://www.econbiz.de/10010381637

Term premia implications of macroeconomic regime changes

Carboni, Giacomo - 2014

Persistent link: https://www.econbiz.de/10010381950

The financial and macroeconomics effects of OMT announcements

Altavilla, Carlo; Giannone, Domenico; Lenza, Michele - 2014

Persistent link: https://www.econbiz.de/10010382041

The role of a changing market environment for credit default swap pricing

Leppin, Julian S.; Reitz, Stefan - 2014

This paper investigates the impact of a changing market environment on the pricing of CDS spreads written on debt from EURO STOXX 50 firms. A Panel Smooth Transition Regression reveals that parameter estimates of standard CDS fundamentals are time-varying depending on current values of a set of...

Persistent link: https://www.econbiz.de/10010384174