Similar Search Results

EXPLORING THE SPANISH INTERBANK YIELD CURVE

Navarro, Leandro; Quilis, Enrique M. - Instituto de Estudios Fiscales, Ministerio de Economía …

. Financial indicators play an important role in short-term monitoring due to its sensitivity to general macroeconomic conditions, their forward-looking nature, and also because of the fast availability of its data of very high frequency. In order to assess this role, we perform an econometric...

Persistent link: https://www.econbiz.de/10005190395

A model of discontinuous interest rate behavior, yield curves, and volatility

Heston, Steven - In: Review of Derivatives Research 10 (2007) 3, pp. 205-225

Persistent link: https://www.econbiz.de/10005678302

Modelling Sovereign Bond Yield Curves of the US, Japan and Germany

Tam, Chi-sang; Yu, Ip-wing - Hong Kong Monetary Authority - 2007

that was first developed by Diebold et al (2006b) to model the sovereign bond yield curves of the US, Japan and Germany. By … correlations of the latent factors to reveal cross-country correlations of the bond markets. …

Persistent link: https://www.econbiz.de/10005690172

Some Potential Linkages for Input-Output Analysis with Flow-of-Funds

Klein, Lawrence - In: Economic Systems Research 15 (2003) 3, pp. 269-277

Three major, interrelated accounting statements, at the frontiers of quantitative economic analysis, are three interrelated systems, namely: (1) National income and product accounts (NIPA), (2) The input-output tableaux, (IO), and (3) flow-of- funds accounts (FF). The third-mentioned system is...

Persistent link: https://www.econbiz.de/10005485002

Designing minimum guaranteed return funds

Dempster, M. A. H.; Germano, M.; Medova, E. A.; … - In: Quantitative Finance 7 (2007) 2, pp. 245-256

, including the zero-coupon bonds used to provide risk management, rather than having to rely on a generalized bond index model. …

Persistent link: https://www.econbiz.de/10005495757

Term Structure Forecasting: No-Arbitrage Restrictions vs Large Information Set

Favero, Carlo A.; Niu, Linlin; Sala, Luca - C.E.P.R. Discussion Papers - 2007

This paper addresses the issue of forecasting the term structure. We provide a unified state-space modelling framework that encompasses different existing discrete-time yield curve models. Within such framework we analyze the impact on forecasting performance of two crucial modelling choices,...

Persistent link: https://www.econbiz.de/10005497801

Explaining Macroeconomic and Term Structure Dynamics Jointly in a Non-linear DSGE Model

Andreasen, Martin Møller - School of Economics and Management, University of Aarhus - 2008

This paper shows how a standard DSGE model can be extended to reproduce the dynamics in the 10 year yield curve for the post-war US economy with a similar degree of precision as in reduced form term structure models. At the same time, we are able to reproduce the dynamics of four key macro...

Persistent link: https://www.econbiz.de/10005440067

Testing for Parameter Stability in Dynamic Models Across Frequencies

Candelon, Bertrand; Cubadda, Gianluca - Centro di Studi Internazionali Sull'Economia e la … - 2006

This paper contributes to the econometric literature on structural breaks by proposing a test for parameter stability in VAR models at a particular frequency w, where w [0, p]. When a dynamic model is affected by a structural break, the new tests allow for detecting which frequencies of the data...

Persistent link: https://www.econbiz.de/10005450632

Interpolation Methods for Curve Construction

Hagan, Patrick; West, Graeme - In: Applied Mathematical Finance 13 (2006) 2, pp. 89-129

This paper surveys a wide selection of the interpolation algorithms that are in use in financial markets for construction of curves such as forward curves, basis curves, and most importantly, yield curves. In the case of yield curves the issue of bootstrapping is reviewed and how the...

Persistent link: https://www.econbiz.de/10005462510

The Target Rate and Term Structure of Interest Rates

Realdon, Marco - Department of Economics and Related Studies, University … - 2006

This paper presents a tractable bond valuation model, which further develops the approach proposed by Piazzesi (2005 …). The short term inter-bank interest rate is equal to the target rate set by the central bank plus a spread. Bond yields are … accurate approximations to the bond pricing equation provide new closed form solutions for discount bond prices that require no …

Persistent link: https://www.econbiz.de/10005523952