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A portfolio-balance approach to the nominal term structure

King, Thomas B. - 2013

Explanations of why changes in the relative quantities of safe debt seem to affect asset prices often appeal informally to a portfolio balance mechanism. I show how this type of effect can be incorporated in a general class of structural, arbitrage-free asset-pricing models using a numerical...

Persistent link: https://www.econbiz.de/10010352163

A search-theoretic model of the term premium

Geromichalos, Athanasios; Herrenbrueck, Lucas M.; … - In: Theoretical Economics 11 (2016) 3, pp. 897-935

A consistent empirical feature of bond yields is that term premia are, on average, positive. The majority of …

Persistent link: https://www.econbiz.de/10011599588

Asymptotic confidence bands for the estimated autocovariance and autocorrelation functions of vector autoregressive models

Coenen, Günter - 2000

This paper provides closed-form formulae for computing the asymptotic standard errors of the estimated autocovariance and autocorrelation functions for stable VAR models by means of the d-method. These standard errors can be used to construct asymptotic confidence bands for the estimated...

Persistent link: https://www.econbiz.de/10011604055

Does the yield spread predict recessions in the euro area?

Moneta, Fabio - 2003

tested using a probit model. The yield spread between the ten-year government bond rate and the three-month interbank rate …

Persistent link: https://www.econbiz.de/10011604340

Level, slope, curvature of the sovereign yield curve, and fiscal behaviour

Afonso, António; Martins, Manuel M.F. - 2010

We study fiscal behaviour and the sovereign yield curve in the U.S. and Germany in the period 1981:I-2009:IV. The latent factors, level, slope and curvature, obtained with the Kalman filter, are used in a VAR with macro and fiscal variables, controlling for financial stress conditions. In the...

Persistent link: https://www.econbiz.de/10011605322

ECB monetary policy surprises: identification through cojumps in interest rates

Winkelmann, Lars; Bibinger, Markus; Linzert, Tobias - 2014

This paper proposes a new econometric approach to disentangle two distinct response patterns of the yield curve to monetary policy announcements. Based on cojumps in intraday tick-data of a short and long term interest rate, we develop a day-wise test that detects the occurrence of a significant...

Persistent link: https://www.econbiz.de/10011605719

Asset purchase programmes and financial markets: lessons from the euro area

Altavilla, Carlo; Carboni, Giacomo; Motto, Roberto - 2015

its main transmission channels. We do so by first extending a term structure model with bond supply effects to account for …

Persistent link: https://www.econbiz.de/10011605909

The interest rate effects of government bond purchases away from the lower bound

De Rezende, Rafael B. - 2016

mechanisms of government bond purchases when interest rates are not constrained by a lower bound. Using dynamic term structure … models and event study regressions I find that government bond purchases have important portfolio balance and signaling … target interest rate policy and government bond purchases operate in different segments of the yield curve. This suggests …

Persistent link: https://www.econbiz.de/10011646682

Quantitative easing in the Euro Area

Urbschat, Florian; Watzka, Sebastian - 2017

development of bond yields and spreads around these releases. More precisely, we try to estimate different asset price channels by … signalling channel, measured by the OIS rate, and the portfolio rebalancing channel, proxied by the conditional bond-OIS spread …

Persistent link: https://www.econbiz.de/10011662696

The transmission of interest rates shocks to Asia: Are effects different below the zero lower bound?

Feldkircher, Martin; Huber, Florian; Punzi, Maria Teresa - 2017

We use a non-linear factor-augmented vector-autoregressive model to evaluate international effects of an unexpected decrease in euro area policy rates. Given the current environment of ultra low or negative interest rates, we especially focus on potential differences in the transmission of the...

Persistent link: https://www.econbiz.de/10011688713