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The Yield Curve as a Predictor and Emerging Economies

Mehl, Arnaud - In: Open Economies Review 20 (2009) 5, pp. 683-716

Persistent link: https://www.econbiz.de/10008531539

Forecasting with a DSGE Model of the term Structure of Interest Rates: The Role of the Feedback

Zagaglia, Paolo - Nationalekonomiska institutionen, Stockholms Universitet - 2009

This paper studies the forecasting performance of the general equilibrium model of bond yields of Marzo, Söderström and …, and for bond yields. …

Persistent link: https://www.econbiz.de/10004972824

The Factor-Spline-GARCH Model for High and Low Frequency Correlations

Rangel, Jose Gonzalo; Engle, Robert F. - Banco de México - 2009

We propose a new approach to model high and low frequency components of equity correlations. Our framework combines a factor asset pricing structure with other specifications capturing dynamic properties of volatilities and covariances between a single common factor and idiosyncratic returns....

Persistent link: https://www.econbiz.de/10004974501

Gradualism, transparency and the improved operational framework: a look at the overnight volatility transmission

Colarossi, Silvio; Zaghini, Andrea - Banca d'Italia - 2009

This paper proposes a possible way of assessing the effect on interest rate dynamics of changes in the decision-making approach, in the communication strategy and in the operational framework of a central bank. Through a GARCH specification we show that the US and the euro area displayed a...

Persistent link: https://www.econbiz.de/10004980173

Is the European Central Bank (and the United States Federal Reserve) predictable?

Quirós, Gabriel Pérez; Sicilia, Jorge - Banco de España - 2002

on bond yields declines with the maturity of the bonds, and that this impact is significantly lower when the shock stems … from a monetary policy meeting of the ECB. Using implicit rates instead of bond yields, we find evidence that the market …

Persistent link: https://www.econbiz.de/10004981007

Determinants of the Yield Curve - a Model for the Relationship Between Risk and Yield

Carr, Douglas - In: Journal of Financial Transformation 26 (2009), pp. 79-84

This paper develops a model explaining the level and structure of bond yields and the yield curve based upon three … principles. 1) Across different maturities along the yield curve, bond yields change with the proportional change in the risk or … potential volatility of the bonds. 2) The incremental yield required as a bond's volatility increases by an infinitesimal amount …

Persistent link: https://www.econbiz.de/10004985626

Taylor Rules and the Predictability of Interest Rates

Söderlind, Paul; Söderström, Ulf; Vredin, Anders - C.E.P.R. Discussion Papers - 2003

Recent research suggests that commonly estimated dynamic Taylor rules augmented with a lagged interest rate imply too much predictability of interest rate changes compared with yield curve evidence. We show that this is not sufficient proof against the Taylor rule: the result could be driven by...

Persistent link: https://www.econbiz.de/10005123552

Dynamic Risk Profile of the US Term Structure by Wavelet MRA

JAMDEE, SUTTHISIT; LOS, CORNELIS A. - EconWPA - 2004

A careful examination of interest rate time series from different U.S. Treasury maturities by Wavelet Multiresolution Analysis (MRA) suggests that the first differences of the term structure of interest rate series are periodic or, at least, cyclic, non-stationary, long-term dependent, in...

Persistent link: https://www.econbiz.de/10005125063

The Macroeconomy and the Yield Curve: A Nonstructural Analysis

Diebold, Francis X.; Rudebusch, Glenn D.; Aruoba, S. Boragan - Department of Economics, University of Pennsylvania - 2003

We estimate a model with latent factors that summarize the yield curve (namely, level, slope, and curvature) as well as observable macroeconomic variables (real activity, inflation, and the stance of monetary policy). Our goal is to provide a characterization of the dynamic interactions between...

Persistent link: https://www.econbiz.de/10005126721

Term Structure of Interest Rates, Yield Curve Residuals, and the Consistent Pricing of Interest Rates and Interest Rate Derivatives

Heidari, Massoud; Wu, Liuren - EconWPA - 2002

Dynamic term structure models (DTSMs) price interest rate derivatives based on the model implied 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...

Persistent link: https://www.econbiz.de/10005134665