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Stock Returns, Term Structure, Inflation and Real Activity: An International Perspective
Canova, Fabio; de Nicolò, Gianni - C.E.P.R. Discussion Papers - 1997
This paper analyses the empirical interdependence of asset returns, real activity and inflation from a multicountry and international point of view. We find that nominal stock returns are significantly related to inflation only in the United States, that the US term structure of interest rates...
Persistent link: https://www.econbiz.de/10005504379
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Have Long-term Financial Trends Changed the Transmission of Monetary Policy?
Cournède, Boris; Ahrend, Rudiger; Price, Robert W.R. - Economics Department, Organisation de Coopération et … - 2008
This paper addresses the question of whether and how long-term financial trends may have modified the transmission … disruptions created by the 2007-08 financial turmoil which are temporarily affecting the transmission mechanism. The first series … of findings is that a number of factors have worked to strengthen the transmission of monetary policy, including more …
Persistent link: https://www.econbiz.de/10005045625
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Estimating the implied distribution of the future short term interest rate using the Longstaff-Schwartz model
Hördahl, Peter - 2000
This paper proposes the use of the two-factor term-structure model of Longstaff and Schwartz (1992a, LS) to estimate the risk-neutral density (RND) of the future short-term interest rate. The resulting RND can be interpreted as the market's estimate of the density of the future short-term...
Persistent link: https://www.econbiz.de/10011604062
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(Un)naturally low? Sequential Monte Carlo tracking of the US natural interest rate
Lombardi, Marco J.; Sgherri, Silvia - 2007
Following the 2000 stockmarket crash, have US interest rates been held "too low" in relation to their natural level? Most likely, yes. Using a structural neo-Keynesian model, this paper attempts a real-time evaluation of the US monetary policy stance while ensuring consistency between the...
Persistent link: https://www.econbiz.de/10011604840
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Intraday volatility, trading volume and trading intensity in the interbank market e-MID
Engler, Markus; Jeleskovic, Vahidin - 2016
We apply a multivariate multiplicative error model (MMEM) and investigate effects in the simultaneous processes of high-frequency return volatilities, trading volume, and trading intensities on the Italien Electronic Interbank Credit Market (e-MID). Analysing five minutes data from the Italian...
Persistent link: https://www.econbiz.de/10011666920
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Simulación de la estructura temporal de tasas de interés: Una aplicación al cálculo de riesgo de tasas de interés
González, Mirta; Pérez, María Cecilia - 2015
Con el propósito de brindar una herramienta que permita una major gestión de riesgos y una adecuada regulación, en este trabajo se aplica una metodología para la medición de riesgo de tasa de interés. Luego de la estimación y simulación de la estructura temporal de tasas de interés se...
Persistent link: https://www.econbiz.de/10011716913
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Credit Shocks and Macroeconomic Fluctuations in Emerging Markets
Romain, Houssa; Mohimont, Jolan; Otrok, Chris - 2013
In this paper, we examine the role of global and domestic credit supply shocks in macroeconomic fluctuations for Emerging Markets. For this purpose, we impose a set of zero and sign restrictions within a medium-scale Bayesian Vector Auto-Regressive model. Quarterly data from South Africa and G-7...
Persistent link: https://www.econbiz.de/10010317005
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Monetary policy regimes and the volatility of long-term interest rates
Queijo von Heideken, Virginia - 2008
This paper addresses two important questions that have, so far, been studied separately in the literature. First, the paper aims at explaining the high volatility of long-term interest rates observed in the data, which is hard to replicate using standard macro models. Building a small-scale...
Persistent link: https://www.econbiz.de/10010320772
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Monetary policy regimes and the volatility of long-term interest rates
Queijo von Heideken, Virginia (contributor) - 2008
This paper addresses two important questions that have, so far, been studied separately in the literature. First, the paper aims at explaining the high volatility of long-term interest rates observed in the data, which is hard to replicate using standard macro models. Building a small-scale...
Persistent link: https://www.econbiz.de/10003651439
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Simulación de la estructura temporal de tasas de interés : una aplicación al cálculo de riesgo de tasas de interés
González, Mirta; Pérez, María Cecilia - 2015
In order to provide a tool for risk management improvement and appropriate regulation, a methodology for measuring interest rate risk is applied in this paper. After estimating and simulating the interest rate term structure, the value at risk and expected shortfall are calculated on a...
Persistent link: https://www.econbiz.de/10011392440