This paper provides empirical evidence on monetary policy making for the US, the UK and the EMU using the decomposition in persistent and transitory monetary shocks proposed in Andolfatto, Hendry, and Moran [Journal of Monetary Economics 55 (2008) 406–422]. We use the particle filter to...

Financially distressed economies inside the European Union (EU) are being blamed for producing a general increase in borrowing costs. This article analyzes the channels of default risk transmission within the EU countries using the information content in the sovereign Credit Default Swap (CDS)...

The behaviour of volatility across the term structure of interest rate swaps is characterized in three currencies (Deutsche mark, Japanese yen and US dollar). For that purpose, a modified GARCH-in mean model is used allowing for seasonal patterns in the mean and variance of interest rates and...