. For this purpose, it first extends the estimation of risk-neutral probability density functions up to tick frequency. In … particular, the non-parametric estimator of these densities, which is based on fitting implied volatility curves, is applied to … triggering an adjustment process for interest rate expectations. - Risk-neutral probability density functions ; option …

is the main determinant of the volatility of the policy spread, but also that private bank credit risk has become more …In this paper we model the volatility of the spread between the overnight interest rate and the central bank policy … 2007. During the crisis, the policy spread exhibited signs of volatility, owing to the breakdown in interbank market …

is the main determinant of the volatility of the policy spread, but also that private bank credit risk has become more …In this paper we model the volatility of the spread between the overnight interest rate and the central bank policy … 2007. During the crisis, the policy spread exhibited signs of volatility, owing to the breakdown in interbank market …

At the zero lower bound, the central bank's inability to offset shocks endogenously generates volatility. In this …-contingent optimal monetary and fiscal policies can attenuate this endogenous volatility by stabilizing the distribution of future … outcomes. Fluctuations in uncertainty and the zero lower bound help our model match the unconditional and stochastic volatility …

At the zero lower bound, the central bank's inability to offset shocks endogenously generates volatility. In this …-contingent optimal monetary and fiscal policies can attenuate this endogenous volatility by stabilizing the distribution of future … outcomes. Fluctuations in uncertainty and the zero lower bound help our model match the unconditional and stochastic volatility …

in EUR swap yields and their volatility. The results of the estimated models of EUR swap yields of different maturity …

increases, so does the risk that a restrictive forward guidance shock will increase rather than decrease stock prices. This …