Showing 111 - 118 of 118
Persistent link: https://www.econbiz.de/10013543160
This paper proposes long-run estimates of ex ante real interest rates in Switzerland and other developed economies, and it describes their relative evolution. Our results highlight the decline in-and convergence of-global real interest rates that has unfolded over the last three decades for all...
Persistent link: https://www.econbiz.de/10013407546
ABSTRACT. We study the debt-stabilizing properties of indexing debt to GDP using a consumptionbased macro-finance model. To this end, we derive quasi-analytical pricing formulas for any type of bond/equity by exploiting the discretization of the state-space, making large-scale simulations...
Persistent link: https://www.econbiz.de/10014241580
Persistent link: https://www.econbiz.de/10004978162
This Paper analyses the co-movement in activity, measured by GDP and industrial production, between the G7 countries for the period 1972-2002. For that purpose, a dynamic factor model is estimated using Kalman Filtering techniques. In addition to separating common and country-specific -...
Persistent link: https://www.econbiz.de/10005123891
This paper proposes an overview of the usefulness of the regime switching approach for building various kinds of bond pricing models and of the roles played by the regimes in these models. Both default-free and defaultable bonds are considered. The regimes can be used to capture stochastic...
Persistent link: https://www.econbiz.de/10010746997
This article presents a general discrete-time affine framework aimed at jointly modeling yield curves associated with different debtors. The underlying fixed-income securities may differ in terms of credit quality and/or in terms of liquidity. The risk factors follow conditionally Gaussian...
Persistent link: https://www.econbiz.de/10010690234
In this paper, we present a general discrete-time affine frameworkaimed at jointly modeling yield curves associated with different debtors. Theunderlying fixed-income securities may differ in terms of credit quality and/orin terms of liquidity. The risk factors follow conditionally Gaussian...
Persistent link: https://www.econbiz.de/10008838823