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What's on the ECB's mind? : monetary policy before and after the global financial crisis

Zahner, Johannes; Groß, Jonas - 2020

This paper analyzes the interest rate setting of the European Central Bank (ECB) both before and after the outbreak of the global financial crisis. In the current monetary policy literature, researchers typically select one Taylor rule-based model in order to analyze the interest rate setting of...

Persistent link: https://www.econbiz.de/10012162640

Optimal inflation targeting with anchoring

Michl, Thomas R.; Rowthorn, Bob - In: Review of Keynesian economics 12 (2024) 2, pp. 220-238

Persistent link: https://www.econbiz.de/10014558548

Does rationality matter to the central bank?

Cha, H. E. - In: Economic research 34 (2021) 1,3, pp. 3183-3200

Persistent link: https://www.econbiz.de/10014233037

Yield curve factors, term structure volatility, and bond risk premia

Hautsch, Nikolaus (contributor); Ou, Yangguoyi (contributor) - 2008

We introduce a Nelson-Siegel type interest rate term structure model with the underlying yield factors following … struc- ture and are associated with the time-varying uncertainty of the yield curve's level, slope and curvature. Estimating … the model based on U.S. government bond yields applying Markov chain Monte Carlo techniques we find that the yield factors …

Persistent link: https://www.econbiz.de/10003770770

Risikoexposure deutscher Universal- und Hypothekenbanken gegenüber makroökonomischen Schocks

Behr, Patrick; Sebastian, Steffen - In: Kredit und Kapital 39 (2006) 4, pp. 513-536

Persistent link: https://www.econbiz.de/10003415587

Pricing sovereign bond risk in the European Monetary Union area : an empirical envestigation

Afonso, António; Arghyrou, Michael Georgiou; … - In: International journal of finance & economics : IJFE 19 (2014) 1, pp. 49-56

Persistent link: https://www.econbiz.de/10010470962

Exchange rate risk and local currency sovereign bond yields in emerging markets

Gadanecz, Blaise; Miyajima, Ken; Shu, Chang - 2014

Persistent link: https://www.econbiz.de/10010495632

Inflation risk in the US yield curve : the usefulness of indexed bonds

Gong, Frank Fangxiong; Remolona, Eli M. - 1996

Persistent link: https://www.econbiz.de/10000982933

Sovereign Bond Yield Spreads : A Time-Varying Coefficient Approach

Bernoth, Kerstin - 2010

We study the determinants of sovereign bond yield spreads across 10 EMU countries between Q1/1999 and Q1/2010. We apply … a semiparametric time-varying coefficient model to identify, to what extent an observed change in the yield spread is …

Persistent link: https://www.econbiz.de/10013135691

On the Inflation Risks Embedded in Sovereign Bond Yields : A Revisit

Camba-Mendez, Gonzalo - 2020

We revisit the concept of the cost of hedging inflation risks put forward in Bodie (1976). When doing so, we employ a time-varying vector autoregressive model to describe the dynamics of asset returns. We estimate this model by means of the kernel-based methods discussed in Giraitis et al....

Persistent link: https://www.econbiz.de/10012842461