Search Results - subject:"Term Structure of Interest Rates"

Quantitative easing, bond risk premia and the exchange rate in a small open economy

Christensen, Jens H. E.; Zhang, Xin - 2024

We assess the impact of large-scale asset purchases, commonly known as quantitative easing (QE), conducted by Sveriges Riksbank and the European Central Bank (ECB) on bond risk premia in the Swedish government bond market. Using a novel arbitrage-free dynamic term structure model of nominal and...

Persistent link: https://www.econbiz.de/10014517711

Is there hope for the expectations hypothesis?

Crump, Richard K.; Eusepi, Stefano; Mönch, Emanuel - 2024

bridging the gap between the term structure of expectations and the term structure of interest rates. Not only is the EH …Most macroeconomic models impose a tight link between expected future short rates and the term structure of interest … rates via the expectations hypothesis (EH). While the EH has been systematically rejected in the data, existing work …

Persistent link: https://www.econbiz.de/10014519064

How do interest rates effect consumption in the UK?

O'Donnell, Matthew; Vasilev, Aleksandar - 2024

This chapter analyses the link between interest rates and consumption in the UK and will allow better understanding of the relationship between these two variables, as this is extremely important to the Bank of England and the monetary policy that it adopts. Analysis of the empirical evidence...

Persistent link: https://www.econbiz.de/10014519394

Dynamic models for multi-dimensional time series

Wiersma, Quint - 2024

Persistent link: https://www.econbiz.de/10014534933

Sovereign risk and economic complexity

Gómez González, José Eduardo; Uribe, Jorge; … - 2024

This paper investigates how a country's economic complexity influences its sovereign yield spread with respect to the United States. Notably, a one-unit increase in the Economic Complexity Index is associated with a reduction of about 87 basis points in the 10-year yield spread. However, this...

Persistent link: https://www.econbiz.de/10014536288

SOFR term structure dynamics : discontinuous short rates and stochastic volatility forward rates

Brace, Alan; Gellert, Karol; Schlögl, Erik - In: The journal of futures markets 44 (2024) 6, pp. 936-985

Persistent link: https://www.econbiz.de/10014536708

The influence of climate risk on interest spread in the banking sector performance in Kenya

Maru, Lucy; Makambi, Steve Anyona - 2024

One of the most important steps towards a greener economy is assessing the path through which climate risks are internalized in to bank portfolios. Aligned with literature on market risks and credit risks emanating from climate risk exposure, this paper sought to assess the feedback effect...

Persistent link: https://www.econbiz.de/10014541601

The term structure of judgement : interpreting survey disagreement

Brenna, Federica; Budrys, Žymantas - 2024

Persistent link: https://www.econbiz.de/10014553879

Expectations for the MPC chair and interest rate persistence

Saito, Yuta - In: Mathematical social sciences 128 (2024), pp. 25-30

Persistent link: https://www.econbiz.de/10014558636

The limits of limitless debt

Osband, Kent; Filoso, Valerio; Capasso, Salvatore - In: Journal of macroeconomics 79 (2024), pp. 1-19

Persistent link: https://www.econbiz.de/10014558690