Search Results - subject:"Shadow rate"

Oil price shock in the US and the euro area - evidence from the shadow rate and the term premium

Pažický, Martin - In: Národohospodářský obzor : časopis věnovaný … 21 (2021) 3, pp. 309-346

The aim of this article is to investigate the consequences of oil price changes for the economy of the US and the euro area. Oil price transmission channel is assessed using Granger causalities and structural vector autoregressive (VAR) specifications (applying the Cholesky factorization and the...

Persistent link: https://www.econbiz.de/10012651358

The macroeconomic effects of unconventional monetary policy : comparing euro area and US models with shadow rates

Hohberger, Stefan; Ratto, Marco; Vogel, Lukas - In: Economic modelling 127 (2023), pp. 1-12

Persistent link: https://www.econbiz.de/10014464149

Computing arbitrage-free yields in multi-factor Gaussian shadow rate term structure models

Priebsch, Marcel A. - In: The Quarterly Journal of Finance : QJF 13 (2023) 4, pp. 1-30

Persistent link: https://www.econbiz.de/10014490266

On the predictive value of the (shadow) real interest rate for the realized volatility of gold-price returns

Pierdzioch, Christian; Rohloff, Sebastian; Campe, Roland von - In: Annals of financial economics 18 (2023) 1, pp. 1-16

Persistent link: https://www.econbiz.de/10014442354

Are shadow rate models of the Treasury yield curve structurally stable?

Kim, Don H.; Priebsch, Marcel A. - 2020

Persistent link: https://www.econbiz.de/10012389081

Causality of risks, cost of equity and shading of the enterprise income

Tereshchenko, Oleh; Babiak, Nataliia - In: Baltic Journal of Economic Studies 6 (2020) 2, pp. 61-68

Persistent link: https://www.econbiz.de/10012216339

Bond risk premiums at the zero lower bound

Andreasen, Martin Møller; Jørgensen, Kasper; Meldrum, … - 2019

Persistent link: https://www.econbiz.de/10012063987

The empirical relevance of the shadow rate and the zero lower bound

Ellington, Michael - In: Journal of money, credit and banking : JMCB 54 (2022) 6, pp. 1605-1635

Persistent link: https://www.econbiz.de/10013466474

Monetary policy reaction to uncertainty in Japan : evidence from a quantile-on-quantile interest rate rule

Christou, Christina; Naraidoo, Ruthira; Gupta, Rangan; … - In: International journal of finance & economics : IJFE 27 (2022) 2, pp. 2041-2053

Persistent link: https://www.econbiz.de/10013184644

Non-linear cointegration between oil and stock prices : the role of interest rates

Martínez Cañete, Ana Rosa; Márquez De la Cruz, Elena; … - In: Research in international business and finance 59 (2022), pp. 1-14

Persistent link: https://www.econbiz.de/10013402061