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  • Search: subject_exact:"Term structure of interest rates"
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Year of publication
Subject
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Zinsstruktur 15,382 Yield curve 15,368 Theorie 6,105 Theory 6,096 Zins 2,673 Interest rate 2,645 Schätzung 2,507 Estimation 2,505 Öffentliche Anleihe 2,468 Public bond 2,467 Risikoprämie 2,387 Risk premium 2,386 Monetary policy 2,301 Geldpolitik 2,299 USA 2,050 United States 2,037 Anleihe 1,694 Bond 1,690 Kapitaleinkommen 1,613 Capital income 1,611 Kreditrisiko 1,586 Credit risk 1,584 Volatilität 1,264 Volatility 1,263 EU-Staaten 1,232 EU countries 1,230 Prognoseverfahren 1,125 Forecasting model 1,122 Optionspreistheorie 1,068 Option pricing theory 1,066 Eurozone 1,009 Euro area 1,008 Corporate bond 998 Unternehmensanleihe 998 Interest rate derivative 980 Zinsderivat 980 CAPM 807 Rentenmarkt 745 Bond market 738 Welt 703
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Online availability
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Free 6,740 Undetermined 2,747 CC license 156
Type of publication
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Book / Working Paper 8,654 Article 7,164 Journal 5 Other 1
Type of publication (narrower categories)
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Article in journal 6,548 Aufsatz in Zeitschrift 6,548 Working Paper 3,758 Graue Literatur 3,745 Non-commercial literature 3,745 Arbeitspapier 3,690 Aufsatz im Buch 428 Book section 428 Hochschulschrift 391 Thesis 307 Collection of articles written by one author 92 Sammlung 92 Collection of articles of several authors 48 Sammelwerk 48 Bibliografie enthalten 46 Bibliography included 46 Conference paper 45 Konferenzbeitrag 45 Konferenzschrift 29 Lehrbuch 24 Aufsatzsammlung 23 Textbook 23 Amtsdruckschrift 21 Forschungsbericht 21 Government document 21 Systematic review 17 Übersichtsarbeit 17 Conference proceedings 16 Mikroform 12 Article 9 Case study 8 Fallstudie 8 Bibliografie 5 Reprint 5 Statistik 5 Glossar enthalten 4 Glossary included 4 Rezension 4 Conference Paper 3 Statistics 3
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Language
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English 14,841 German 373 Undetermined 265 Spanish 133 French 126 Portuguese 29 Italian 20 Polish 10 Dutch 9 Hungarian 7 Danish 6 Norwegian 5 Czech 3 Finnish 2 Croatian 2 Korean 1 Romanian 1 Russian 1 Turkish 1
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Author
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Rudebusch, Glenn D. 103 Christensen, Jens H. E. 71 Akram, Tanweer 70 Favero, Carlo A. 61 Wright, Jonathan H. 56 Wu, Jing Cynthia 56 Bekaert, Geert 52 Hördahl, Peter 50 Krippner, Leo 50 Monfort, Alain 49 Afonso, António 48 Chiarella, Carl 46 Chernov, Mikhail 45 Diebold, Francis X. 45 Renne, Jean-Paul 45 Caporale, Guglielmo Maria 44 Lemke, Wolfgang 43 Campbell, John Y. 42 Gollier, Christian 42 Mishkin, Frederic S. 42 Bauer, Michael D. 41 Hamilton, James D. 41 Schlögl, Erik 40 Kim, Don H. 39 Kaminska, Iryna 38 Wei, Min 37 Thornton, Daniel L. 36 Fabozzi, Frank J. 35 Gouriéroux, Christian 35 Goldstein, Robert S. 34 Joshi, Mark S. 34 Tristani, Oreste 34 Dewachter, Hans 33 Jarrow, Robert A. 32 Sarno, Lucio 32 Singleton, Kenneth J. 32 Filipović, Damir 31 Mönch, Emanuel 31 Valente, Giorgio 31 Batten, Jonathan A. 30
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Institution
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National Bureau of Economic Research 292 C.E.P.R. Discussion Papers 27 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 16 Centre for Analytical Finance <Århus> 14 European Central Bank 13 Society for Computational Economics - SCE 13 Federal Reserve Bank of San Francisco 12 Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse 12 Ekonomiska forskningsinstitutet <Stockholm> 10 Banque de France 9 International Monetary Fund 9 Federal Reserve Bank of St. Louis 8 Suomen Pankki 8 University of Bonn, Germany 8 University of Exeter / Department of Economics 7 Banque de France / Direction des Etudes Economiques et de la Recherche 6 Economics Institute for Research (SIR), Handelshögskolan i Stockholm 6 European Parliament / Directorate-General for Internal Policies of the Union 6 Tilburg University, Center for Economic Research 6 Department of Economics and Business, Universitat Pompeu Fabra 5 Department of Economics, Waikato Management School 5 Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid 5 Federal Reserve Bank of Cleveland 5 OECD 5 Rodney L. White Center for Financial Research 5 Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät 5 Banco Central do Brasil 4 Bank for International Settlements (BIS) 4 Bank of Japan 4 EconWPA 4 Federal Reserve Bank of New York 4 Federal Reserve System / Division of Research and Statistics 4 Finance Discipline Group, Business School 4 Internationaler Währungsfonds / European Department <1> 4 Springer Fachmedien Wiesbaden 4 Sveriges Riksbank 4 Unité Mixte de Recherche Théorie Economique, Modélisation et Applications 4 Weierstraß-Institut für Angewandte Analysis und Stochastik 4 World Bank 4 Department of Economics, Oxford University 3
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Published in...
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NBER working paper series 288 Working paper / National Bureau of Economic Research, Inc. 238 NBER Working Paper 236 Journal of banking & finance 227 The journal of fixed income 137 Journal of international money and finance 132 Discussion paper / Centre for Economic Policy Research 131 Journal of financial economics 127 International journal of theoretical and applied finance 121 Finance and economics discussion series 118 Finance research letters 114 Working paper series / European Central Bank 113 IMF working papers 105 Working paper 101 Economics letters 99 Journal of money, credit and banking : JMCB 99 International review of economics & finance : IREF 98 Applied economics 90 The review of financial studies 86 Journal of empirical finance 82 The journal of finance : the journal of the American Finance Association 82 Economic modelling 80 Applied financial economics 79 Journal of monetary economics 79 ECB Working Paper 75 Journal of economic dynamics & control 75 International review of financial analysis 73 Working papers series / Federal Reserve Bank of San Francisco 72 Mathematical finance : an international journal of mathematics, statistics and financial theory 70 Discussion papers / CEPR 69 Discussion paper 67 Applied economics letters 66 CESifo working papers 66 Journal of international financial markets, institutions & money 66 Journal of financial and quantitative analysis : JFQA 62 The journal of futures markets 62 The North American journal of economics and finance : a journal of financial economics studies 60 The European journal of finance 55 Finance and stochastics 54 Journal of econometrics 53
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Source
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ECONIS (ZBW) 15,362 RePEc 374 EconStor 80 BASE 3 ArchiDok 3 Other ZBW resources 2
Showing 1 - 50 of 15,824
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Modeling the term structure
Memmel, Christoph; Heckmann, Lotta - 2025
Based on an analysis of changes in the yields of German government bonds, we propose a simple model for the term structure of interest rates and show empirically that this model with two parameters (relating to the interest level and slope of the term structure) fits empirically well the data...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015373252
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Dynamic asset pricing in a unified Bachelier-Black-Scholes-Erton model
Lindquist, W. Brent; Račev, Svetlozar T.; Gnawali, Jagdish - In: Risks : open access journal 12 (2024) 9, pp. 1-24
We present a unified, market-complete model that integrates both Bachelier and Black- Scholes-Merton frameworks for asset pricing. The model allows for the study, within a unified framework, of asset pricing in a natural world that experiences the possibility of negative security prices or...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015065971
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Multi-dimensional monetary policy shocks based on heteroscedasticity
Burri, Marc; Kaufmann, Daniel - 2024
We propose a two-step approach to estimate multi-dimensional monetary policy shocks and their causal effects requiring only daily financial market data and policy events. First, we combine a heteroscedasticity-based identification scheme with recursive zero restrictions along the term structure...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015052047
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Comparing term structure estimation techniques : an exercise with Brazilian data
Stivali, Matheus; Fiorucci, José Augusto; Matsushita, … - 2024
This text evaluates the empirical models of the Term Structure of Interest Rates (TSIR), comparing the resulting estimates regarding goodness-of-fit, robustness to outliers, and smoothness. In addition to the descriptive statistics on these metrics, the Friedman test and the multiple comparison...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015076001
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The origins and effects of macroeconomic uncertainty
Bianchi, Francesco; Kung, Howard; Tirskikh, Mikhail - In: Quantitative economics : QE ; journal of the … 14 (2023) 3, pp. 855-896
We estimate a production‐based general equilibrium model featuring demand‐ and supply‐side uncertainty and an endogenous term premium. Using term structure and macroeconomic data, we find sizable effects of uncertainty on risk premia and business cycle fluctuations. Both demand‐ and...
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Monetary policy and long-term interest rates
Amisano, Gianni; Tristani, Oreste - In: Quantitative economics : QE ; journal of the … 14 (2023) 2, pp. 689-716
We study the relationship between monetary policy and long‐term rates in a structural, general equilibrium model estimated on both macro‐ and yield‐data from the United States. Regime shifts in the conditional variance of productivity shocks, or "uncertainty shocks," are a crucial driver...
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Quantitative easing, the repo market, and the term structure of interest rates
Jappelli, Ruggero; Pelizzon, Loriana; Subrahmanyam, Marti G. - 2023
We develop a quantity-driven general equilibrium model that integrates the term structure of interest rates with the repurchase agreements (repo) market to shed light on the combined effects of quantitative easing (QE) on the bond and money markets. We characterize in closed form the endogenous...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014314220
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Forecasting the government yield curve in China : a cyclical reverting mean approach
Li, Songzhuo; Zhang, Fang - In: Romanian journal of economic forecasting 26 (2023) 1, pp. 78-90
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Banks' net interest margin and changes in the term structure
Memmel, Christoph; Heckmann, Lotta - 2023
Understanding the impact of changing interest rates onto banks' net interest margin is of central importance for various stakeholders. The primary focus lies often on changes in the interest level. However, changes in the steepness are a second driver which also significantly impacts banks'...
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Time-varying vector error-correction models : estimation and inference
Gao, Jiti; Peng, Bin; Yan, Yayi - 2023
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014452499
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Money illusion and TIPS demand
Lioui, Abraham; Tarelli, Andrea - In: Journal of money, credit and banking : JMCB 55 (2023) 1, pp. 171-214
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The credit channel of the sovereign spread : a Bayesian SVAR analysis
Cafiso, Gianluca; Missale, Alessandro; Rivolta, Giulia - In: Economic modelling 144 (2025), pp. 1-17
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Green gains : The impact of REITs' environmental performance on sustainability-linked loan interest rates
Artiga González, Tanja; Capera Romero, Laura; … - In: Finance research letters 71 (2025), pp. 1-7
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Determinants of Bank Interest Spreads in Tajikistan
Calice, Pietro - 2025
Despite far-reaching banking sector reforms over the past few years, financial intermediation in Tajikistan continues to lag behind structural peers and the Caucasus and Central Asia region. At the same time, bank interest rate spreads, a standard measure of financial intermediation costs, have...
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Time-varying risk aversion and inflation-consumption correlation in an equilibrium term structure model
Bletzinger, Tilman; Lemke, Wolfgang; Renne, Jean-Paul - 2025
Inflation risk premiums tend to be positive in an economy mainly hit by supply shocks, and negative if demand shocks dominate. Risk premiums also fluctuate with risk aversion. We shed light on this nexus in a linear-quadratic equilibrium macrofinance model featuring time variation in...
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The ECB's APP's impact on non-financial firms' cost of borrowing and debt choice
Kanda, Joana F.; Pinto, João M.; Silva, Beatriz P. - In: Journal of financial stability 77 (2025), pp. 1-18
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German inflation-linked bonds : overpriced, yet undervalued
Christensen, Jens H. E.; Mouabbi, Sarah; Paulson, Caroline - 2025 - This version: January 30, 2025
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Long-Term Debt and Short-Term Rates : Fixed-Rate Mortgages and Monetary Transmission
De Stefani, Alessia - 2025
We study the two-way relationship between fixed-rate mortgages (FRMs) and monetary policy in a panel of up to 35 countries over the last two decades. The dataset includes quarterly information on the composition of mortgage flows and stock by type of rate-fixation and monetary policy shocks...
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What 200 years of data tell us about the predictive variance of long-term bonds?
Della Corte, Pasquale; Gao, Can; Preve, Daniel P.A.; … - 2025
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Monetary policy and the secular decline in long-term interest rates : a global perspective
Hofmann, Boris; Li, Zehao; Wu, Steve Pak Yeung - 2025
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Monetary policy along the yield curve : why can central banks affect long-term real rates?
Beaudry, Paul; Cavallino, Paolo; Willems, Tim - 2025
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015330892
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Sovereign risk premium and macroeconomy
Botey-Fullat, Maria; Marín-Palacios, Cristina; … - 2025
In recent years, because of the 2008 financial crisis and the evolution of the sovereign debt markets, there has been a significant increase in interest in understanding the factors that determine the risk premium, becoming a key indicator of the financial stability of countries, and a measure...
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High-dimensional parameter calibration of interest rate model for the Korean insurance capital standard
Choi, Changhui; Jang, Bong-Gyu - In: Journal of derivatives and quantitative studies : … 33 (2025) 1, pp. 23-44
We propose a method for calibrating high-dimensional parameters in the Hull-White one-factor model using market prices of swaptions, aimed at generating mark-to-market interest rate scenarios in the Korean insurance industry. Our approach integrates a trust region-based Bayesian optimization...
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The global credit spread puzzle
Huang, Jing-Zhi; Nozawa, Yoshio; Shi, Zhan - 2025
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Monetary policy along the yield curve : why can central banks affect long-term real rates?
Beaudry, Paul; Cavallino, Paolo; Willems, Tim - 2025 - This version: April 2025
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Liquidity, collateral quality and interest rate
Ahn, Jung-Hyun; Bignon, Vincent; Breton, Régis; … - 2025
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Bond supply expectations and the term structure of interest rates
Billio, Monica; Busetto, Francesca; Dufour, Alfonso; … - In: Journal of international money and finance 150 (2025), pp. 1-27
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A note on simulating the effect of monetary policy changes using only forward curves as inputs
Rannenberg, Ansgar - 2025
I show that in linear rational expectation models, the effect of a monetary tightening can be simulated using contemporaneous and anticipated monetary policy shocks that replicate the forward curves observed during the period of interest, normalized with the forward curve observed in the quarter...
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Impact of US monetary policy spillovers and yield curve control policy
Nakajima, Jouchi - 2025
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Measure-valued processes for energy markets
Cuchiero, Christa; Di Persio, Luca; Guida, Francesco; … - 2025
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The zero lower bound on deposit rates, monetary policy and bank insolvency risk
Driussi, Lorenz - 2025 - This version: March, 2025
I develop a banking model with monopolistic competition to analyze the effect of reserve rate policy on bank insolvency risk, when banks are constrained by a zero lower bound on deposit rates. When binding, the lower bound compresses the solvency relevant deposit spread and causes it to be a...
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Long-term risk with stochastic interest rates
Severino, Federico - 2025
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The impact of yield curve control under different regimes on Japanese Government Bonds and swap markets in the super long term
Ito, Takayasu - 2025
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US($) interest rate and cross currency swaps after the LIBOR funeral : a corporate treasury primer
Heidorn, Thomas; Liem, Erik; Requardt, Stefan; … - 2025
This paper examines the transition from LIBOR to SOFR in the US and maps out the consequences for European corporate treasurers by showing how the application of SOFR in cash products and derivatives differs from LIBOR. As interest rate and cross-currency swaps transition to compounded SOFR,...
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The term structure of Japanese Government Bonds in the super long term under different aspects of yield curve control
Ito, Takayasu - 2025
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How Emerging Market Companies are Withstanding Global Interest Rate Shifts
Gandolfo, John; Mauro, Paolo - 2025
This International Finance Corporation (IFC) Research Note analyzes the cost of borrowing for firms in emerging and developing economies, changes in their debt structure, and indicators of indebtedness and profitability. It finds reasons for optimism on their resilience, while noting that...
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Monetary policy effectiveness under the ultra-low interest rate environment : evidence from yield curve dynamics in Japan
Shiratsuka, Shigenori - 2025
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A large Bayesian vector autoregression of the yield curve and macroeconomic variables with no-arbitrage restriction
Kang, Kyu Ho - 2025
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The impact of negative interest rate policy on interest rate formation and lending
Haba, Shunsuke; Ito, Yuichiro; Kasai, Yoshiyasu - 2025
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The four R-stars : from interest rates to inflation and back
Reis, Ricardo - 2025
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Forward guidance and its effectiveness : a macro-finance shadow-rate framework
Koeda, Junko; Wei, Bin - 2025 - This Draft: March 2025
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015333527
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US Treasury market default risk and global interbank liquidity risk
Cottrell, Simon; Lei, Jinghua; Ma, Yihong; Delpachitra, … - In: Borsa Istanbul Review 25 (2025) 1, pp. 66-78
Using Credit Default Swaps (CDS) on sovereign bonds, we investigate whether US sovereign default risk is a greater driving factor of domestic interbank funding risk than domestic sovereign default risk across the five Libor counties including Canada and Australia. We use equivalent-country...
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Predictive power of key financial variables during the unconventional monetary policy era
Kuosmanen, Petri; Vataja, Juuso - In: Journal of forecasting 44 (2025) 3, pp. 856-866
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Reassessing the predictive power of the yield spread for recessions in the United States
Coe, Patrick J.; Vahey, Shaun P. - 2025
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015372747
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Stock and sovereign returns linkages : time-varying causality and extreme-quantile determinants
Afonso, António; Alves, José; Grabowski, Wojciech; … - 2025
We employ a cross-quantilogram approach to assess relationships between quantiles of stock returns and sovereign yields, in the U.S. and Germany, in the period 1990-2024. Specifically, we focus on the lowest 5% quantile of stock returns and the highest 5% quantile of bond returns, providing...
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Multi-step double barrier options under time-varying interest rates
Lee, Hangsuck; Kye, Yisub; Kong, Byungdoo; Song, Seongjoo - 2025
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A predictive term-spread model in the age of inflation targeting
Tvedt, Jostein - 2025
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Exploring the drivers of the real term premium in Canada
Tarshi, Zabi; Garriott, Gitanjali Kumar - 2025
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Effects of QE on sovereign bond spreads through the safe asset channel
End, Jan-Willem van den - 2025
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015375249
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Modeling the term structure
Memmel, Christoph; Heckmann, Lotta - 2025
Based on an analysis of changes in the yields of German government bonds, we propose a simple model for the term structure of interest rates and show empirically that this model with two parameters (relating to the interest level and slope of the term structure) fits empirically well the data...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015373549
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