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  • Search: subject:"Target rate"
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Year of publication
Subject
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Federal funds target rate 7 Bayesian analysis 3 Bayes-Statistik 2 Central Bank Communication 2 Federal Funds Target Rate 2 Federal Reserve Bank 2 Geldmarkt 2 Interest Rate Decision 2 Monetary Policy 2 Monetary policy 2 Probit-Modell 2 Prognoseverfahren 2 Taylor Rule 2 USA 2 Zinspolitik 2 corporate concentration 2 dynamic ordered probit 2 factor analysis 2 federal funds target rate 2 high-frequency data 2 importance sampling 2 interest rate surprises 2 large data sets 2 model instability 2 monetary announcements 2 monopoly 2 oligopoly 2 profit 2 real-time forecasting 2 stock return predictability 2 structural breaks 2 target rate of return 2 variable selection 2 1990-2008 1 Bayesian inference 1 Building block 1 Capital income 1 Dynamic and static asset allocation 1 Dynamic ordered probit 1 Event study 1
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Online availability
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Free 15 CC license 1
Type of publication
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Book / Working Paper 12 Article 2 Other 1
Type of publication (narrower categories)
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Working Paper 5 Article in journal 2 Aufsatz in Zeitschrift 2 Arbeitspapier 1 Graue Literatur 1 Non-commercial literature 1
Language
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English 9 Undetermined 6
Author
All
Paap, Richard 3 Dijk, Dick van 2 Hauwe, Sjoerd van den 2 Hayo, Bernd 2 Neuenkirch, Matthias 2 Nitzan, Jonathan 2 van Dijk, Dick 2 CEUSTER, Marc J.K. DE 1 Chen, Ming-Hsiang 1 Das, Rituparna 1 Dijk, D.J.C. van 1 Fan, Juanjuan 1 Hu, Ling 1 Kim, Dong-soon 1 LI, Jie 1 Lee, Kaun Y. 1 Park, Chunsuk 1 Phillips, Peter C.B. 1 Yoon, Jungyeon 1 ZHANG, Hairui 1 van den Hauwe, Sjoerd 1
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Institution
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Cowles Foundation for Research in Economics, Yale University 1 Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam. 1 Erasmus Research Institute of Management (ERIM), Erasmus Universiteit Rotterdam 1 Faculteit Toegepaste Economische Wetenschappen, Universiteit Antwerpen 1 Tinbergen Instituut 1 Volkswirtschaft Abteilung, Fachbereich Wirtschaftswissenschaften 1 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1
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Published in...
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Discussion Papers, Department of Economics, McGill University 2 Cowles Foundation Discussion Papers 1 Discussion paper / Tinbergen Institute 1 ERIM Inaugural Address Series Research in Management 1 Inaugural Address 1 Journal of derivatives and quantitative studies : Seonmul yeongu 1 Journal of forecasting 1 MAGKS Joint Discussion Paper Series in Economics 1 MAGKS Papers on Economics 1 MPRA Paper 1 Tinbergen Institute Discussion Paper 1 Tinbergen Institute Discussion Papers 1 Working Papers / Faculteit Toegepaste Economische Wetenschappen, Universiteit Antwerpen 1
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Source
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RePEc 7 EconStor 4 ECONIS (ZBW) 3 BASE 1
Showing 1 - 10 of 15
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Forecasting the direction of the Fed's monetary policy decisions using random forest
Yoon, Jungyeon; Fan, Juanjuan - In: Journal of forecasting 43 (2024) 7, pp. 2848-2859
Persistent link: https://www.econbiz.de/10015110569
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Asset allocation efficiency from dynamic and static strategies in underfunded pension funds
Park, Chunsuk; Kim, Dong-soon; Lee, Kaun Y. - In: Journal of derivatives and quantitative studies : … 30 (2022) 1, pp. 2-22
This study attempts to conduct a comparative analysis between dynamic and static asset allocation to achieve the long-term target return on asset liability management (ALM). This study conducts asset allocation using the ex ante expected rate of return through the outlook of future economic...
Persistent link: https://www.econbiz.de/10012887251
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Did federal funds target rate changes affect the market value of insurance compagnies?
CEUSTER, Marc J.K. DE; LI, Jie; ZHANG, Hairui - Faculteit Toegepaste Economische Wetenschappen, … - 2012
changes in the Federal funds target rate over the period 1988-2007. We confirm Bernanke and Kuttner (2005) that, as stocks in … general, insurance stock returns are only sensitive to the unexpected changes in the Federal funds target rate, but not to the …
Persistent link: https://www.econbiz.de/10010797666
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An event study analysis of U.S. hospitality stock prices' reaction to Fed policy announcements
Chen, Ming-Hsiang - 2011
Federal Open Market Committee decisions concerning the federal funds target rate (FFTR). The study first identifies two …
Persistent link: https://www.econbiz.de/10009467980
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Bayesian Forecasting of Federal Funds Target Rate Decisions
van den Hauwe, Sjoerd; van Dijk, Dick; Paap, Richard - 2011
This paper examines which macroeconomic and financial variables are most informative for the federal funds target rate …
Persistent link: https://www.econbiz.de/10010326185
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Bayesian Forecasting of Federal Funds Target Rate Decisions
Hauwe, Sjoerd van den; Dijk, Dick van; Paap, Richard - Tinbergen Instituut - 2011
This paper examines which macroeconomic and financial variables are most informative for the federal funds target rate …
Persistent link: https://www.econbiz.de/10011256487
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Bayesian forecasting of federal funds target rate decisions
Hauwe, Sjoerd van den; Dijk, Dick van; Paap, Richard - 2011
Persistent link: https://www.econbiz.de/10009720780
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Does FOMC communication help predicting federal funds target rate changes?
Hayo, Bernd; Neuenkirch, Matthias - 2009
We explain changes in the federal funds target rate using macroeconomic variables and Federal Open Market Committee … beyond the next meeting. Second, our communication indicators significantly explain target rate changes and improve … (FOMC) communication indicators. Econometrically, we employ an ordered probit model of a Taylor rule to predict 75 target …
Persistent link: https://www.econbiz.de/10010271168
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Do Federal Reserve Communications Help Predict Federal Funds Target Rate Decisions?
Hayo, Bernd; Neuenkirch, Matthias - Volkswirtschaft Abteilung, Fachbereich … - 2009
We explain federal funds target rate decisions using macroeconomic variables and Federal Reserve communication … indicators. Econometrically, we employ an ordered probit model of a Taylor rule to predict 75 target rate decisions between 1998 … and 2006. We find, first, that our communication indicators significantly explain target rate decisions and improve …
Persistent link: https://www.econbiz.de/10005012484
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Indian G-Sec Market: How the Term Structure Reacts to Monetary Policy
Das, Rituparna - Volkswirtschaftliche Fakultät, … - 2009
Against the backdrop of interest rate risk in the fixed income portfolios of the financial institutions in India that arose since the first quarter of the current financial year 2008-09 the influence of monetary policy on the term structure emerged as an important issue for research purposes. In...
Persistent link: https://www.econbiz.de/10005014959
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