We aim to analyze empirically the long-run interest rate spillovers on the monetary policy of European countries outside the EMU. The analysis covered years from October 1998 to December 2021 and was based on the VEC model and UIP parity, which allowed us to check the potential cointegration of...

Volatility Skew and Smile of Interest Rate products (Swaption and Caplet) are represented by SABR (Stochastic Alpha Beta Rho model). So, the Interest Rate derivatives model for pricing the callable exotic swaps should be comparable to the SABR volatility surface. In the interest rate derivatives...

Obligations are debt securities from the private sector or the government to the public, both domestic and international, with an imbalance of coupons or discounts and principal repayments of more than one year. Coupons are fixed rate or floating rate or a combination of fixed rate and floating rate

Bonds are medium-term and long-term debt securities that can be traded. Bonds contain a promise from the party that issued the shares to pay compensation in the form of interest in a certain period and pay off the principal at the end of a predetermined time, to the buyer of the bonds. Bonds are...

We introduce a real-time measure of conditional biases in firms' earnings forecasts. The measure is defined as the difference between analysts' expectations and a statistically optimal unbiased machine-learning benchmark. Analysts' conditional expectations are, on average, biased upwards, and...

I show that time-varying risk aversion can generate a term structure of equity risk premia that is upward sloping in bad times and downward sloping in good times. I derive three conditions that jointly generate this result. First, risk aversion is negatively correlated with consumption growth....

This paper studies the empirical properties of the term structure of total housing risk in Sweden using a particularly rich dataset of housing transactions. We contrast recent studies by showing that, even after ten years, 75% of the total variation in housing returns will be attributable to the...

The outbreak of the COVID-19 pandemic in early 2020 caused widespread economic uncertainty, prompting government officials to act swiftly to combat potentially severe fallout. On March 23, 2020, the Federal Reserve announced a series of monetary policy measures and established several emergency...

We show that improved hedging of bond portfolios can be achieved by matching generalized durations that are parametrized according to a parsimonious yield curve shape which is dynamically consistent with a new term structure model with stochastic level, slope, and curvature factors. Performance...

In a precautionary measure as the European debt crisis worsened in 2011, the Bank of England created a contingent liquidity insurance facility, the Extended Collateral Term Repo (ECTR) facility. This facility would swap sterling cash for eligible collateral on a short-term basis and could be...