Search Results - subject:"term structure models"

Monetary policy surprises and their transmission through term premia and expected interest rates

Kaminska, Iryna; Mumtaz, Haroon; éSustek, Roman - 2020

Monetary policy moves the yield curve. How much is due to expected interest rates vs. term premia? And does it matter for macroeconomic outcomes? Using an affine term structure model, we shed new light on these questions. Estimation is subject to restrictions addressing an estimation bias in...

Persistent link: https://www.econbiz.de/10012670880

Monetary policy surprises and their transmission through term premia and expected interest rates

Kaminska, Iryna; Mumtaz, Haroon; Šustek, Roman - 2020

Persistent link: https://www.econbiz.de/10012316011

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

Monetary policy surprises and their transmission through term premia and expected interest rates

Kaminska, Iryna; Mumtaz, Haroon; Šustek, Roman - 2020

Persistent link: https://www.econbiz.de/10012501387

Machine learning for multiple yield curve markets : fast calibration in the Gaussian affine framework

Gümbel, Sandrine; Schmidt, Thorsten - In: Risks : open access journal 8 (2020) 2/50, pp. 1-18

applied many times to interest rate markets and term structure models. We find very good results for the single-curve markets …

Persistent link: https://www.econbiz.de/10012292851

Rational savings account models for backward-looking interest rate benchmarks

Macrina, Andrea; Skovmand, David - In: Risks : open access journal 8 (2020) 1/23, pp. 1-18

Interest rate benchmarks are currently undergoing a major transition. The LIBOR benchmark is planned to be discontinued by the end of 2021 and superseded by what ISDA calls an adjusted risk-free rate (RFR). ISDA has recently announced that the LIBOR replacement will most likely be constructed...

Persistent link: https://www.econbiz.de/10012203790