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The Term Structure of Interest Rates in a DSGE Model with Recursive Preferences

Binsbergen, Jules H. van; Fernández-Villaverde, Jesús; … - Department of Economics, University of Pennsylvania - 2010

We solve a dynamic stochastic general equilibrium (DSGE) model in which the representative household has Epstein and Zin recursive preferences. The parameters governing preferences and technology are estimated by means of maximum likelihood using macroeconomic data and asset prices, with a...

Persistent link: https://www.econbiz.de/10008550804

Term Structure Dynamics: A Daily View from the Hungarian Foreign Currency Deposits Markets

Konstantinou, Panagiotis - In: Economia Internazionale / International Economics 57 (2004) 3, pp. 315-331

This paper tests the Expectations Hypothesis (EH) for the short-end of the term structure for foreign currency denominated deposits in Hungary. In particular, exploiting the stochastic trends embedded in the time series the EH implications are tested in a multivariate cointegration framework....

Persistent link: https://www.econbiz.de/10008490689

Interest Rates Time Structure and Domestic Bond Prices

Slavík, Michal - In: Czech Journal of Economics and Finance (Finance a uver) 51 (2001) 10, pp. 591-607

This paper considers and provides estimates of the term structure of interest rates based on observable bond prices … coupon bond market. Because of the relatively small number of coupon bonds currently available on the Czech market, the best … results are produced by the Nelson-Siegel model. The growing number of state bond issues on the market, however, should …

Persistent link: https://www.econbiz.de/10008495808

Equilibrium yield curves under regime switching

Verdú, Santiago García - Banco de México - 2010

This paper studies how inflation as a macroeconomic indicator affects nominal bond prices. I consider an economy with a … the extent that inflationary unexpected shocks indicate lower consumption growth, nominal bond holders need to be …

Persistent link: https://www.econbiz.de/10008471278

Macroeconomic and interest rate volatility under alternative monetary operating procedures

Gerlach-Kristen, Petra; Rudolf, Barbara - Schweizerische Nationalbank (SNB) - 2010

During the financial crisis of 2007/08 the level and volatility of interest rate spreads increased dramatically. This paper examines how the choice of the target interest rate for monetary policy affects the volatility of inflation, the output gap and the yield curve. We consider three monetary...

Persistent link: https://www.econbiz.de/10008472268

Yield Curve And Prediction Of Change In A Inflation Rate

Brůha, Jan - In: Bulletin of the Czech Econometric Society 6 (1999)

The aim scope of this paper is the empirical investigation between the yield curve and the future changes in inflation rate. The investigation is based on data of the Czech economy in the years 1993-1998. The strong evidence between these two economic variables was found with use of some...

Persistent link: https://www.econbiz.de/10008528840

The Yield Curve as a Predictor and Emerging Economies

Mehl, Arnaud - In: Open Economies Review 20 (2009) 5, pp. 683-716

Persistent link: https://www.econbiz.de/10008531539

Forecasting with a DSGE Model of the term Structure of Interest Rates: The Role of the Feedback

Zagaglia, Paolo - Nationalekonomiska institutionen, Stockholms Universitet - 2009

This paper studies the forecasting performance of the general equilibrium model of bond yields of Marzo, Söderström and …, and for bond yields. …

Persistent link: https://www.econbiz.de/10004972824

The Factor-Spline-GARCH Model for High and Low Frequency Correlations

Rangel, Jose Gonzalo; Engle, Robert F. - Banco de México - 2009

We propose a new approach to model high and low frequency components of equity correlations. Our framework combines a factor asset pricing structure with other specifications capturing dynamic properties of volatilities and covariances between a single common factor and idiosyncratic returns....

Persistent link: https://www.econbiz.de/10004974501

Gradualism, transparency and the improved operational framework: a look at the overnight volatility transmission

Colarossi, Silvio; Zaghini, Andrea - Banca d'Italia - 2009

This paper proposes a possible way of assessing the effect on interest rate dynamics of changes in the decision-making approach, in the communication strategy and in the operational framework of a central bank. Through a GARCH specification we show that the US and the euro area displayed a...

Persistent link: https://www.econbiz.de/10004980173