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A Quantitative Mirror on the Euribor Market Using Implied Probability Density Functions

de Vincent-Humphreys, Rupert - 2011

This paper presents a set of probability density functions for Euribor outturns in three months' time, estimated from the prices of options on Euribor futures. It is the first official and freely available dataset to span the complete history of Euribor futures options, thus comprising over ten...

Persistent link: https://www.econbiz.de/10013132237

Financial Frictions : Micro vs Macro Volatility

Lee, Seungcheol; Luetticke, Ralph; Ravn, Morten O. - 2021

We introduce frictional ﬁnancial intermediation into a HANK model. Households are subject to idiosyncratic and aggregate risk and smooth consumption through savings and consumer loans intermediated by banks. The banking friction introduces an endogenous countercyclical spread between the...

Persistent link: https://www.econbiz.de/10013312156

Interest rates and output in the long-run

Aksoy, Yunus; León-Ledesma, Miguel A. - 2005

In this paper we argue that both statistics and economic theory-based evidence largely indicate the absence of long run relationships between the real output and the most relevant monetary indicator for the U.K. and the U.S, short term interest rates. These findings are not only a full sample...

Persistent link: https://www.econbiz.de/10011604480

How Informative are the Subjective Density Forecasts of Macroeconimists?

Kenny, Geoff - 2012

improvement in the relative performance of expert densities during the recent period of macroeconomic volatility. However, our …

Persistent link: https://www.econbiz.de/10013104608

The Information Content of Money and Credit for US Activity

Albuquerque, Bruno - 2016

We analyse the forecasting power of different monetary aggregates and credit variables for US GDP. Special attention is paid to the influence of the recent financial market crisis. For that purpose, in the first step we use a three-variable single-equation framework with real GDP, an interest...

Persistent link: https://www.econbiz.de/10013004517

Investors with Too Many Options?

Dorn, Daniel - 2010

During the last decade, markets for covered warrants (bank-issued options) have flourished in Europe and Asia. In these markets, investors often face a choice between many instruments that differ only slightly from each other. Based on retail trades in call options on the German DAX index, this...

Persistent link: https://www.econbiz.de/10013143634

The impact of the euro on financial markets

Cappiello, Lorenzo; Hördahl, Peter; Kadareja, Arjan; … - 2006

We assess whether the euro had an impact first on the degree of integration of European financial markets, and, second, on the euro area term structure. We propose two methodologies to measure integration: one relies on time-varying GARCH correlations, and the other one on a regression...

Persistent link: https://www.econbiz.de/10011604644

The determinants of public deficit volatility

Agnello, Luca; Sousa, Ricardo M. - 2009

This paper empirically analyzes the political, institutional and economic sources of public deficit volatility. Using … show that higher public deficit volatility is typically associated with higher levels of political instability and less … democracy. In addition, public deficit volatility tends to be magnified for small countries, in the outcome of hyper …

Persistent link: https://www.econbiz.de/10011605088

Finance and diversification

Manganelli, Simone; Popov, Alexander - 2010

aggregate output across industrial sectors which minimize the economy’s long-term volatility for a given level of long …

Persistent link: https://www.econbiz.de/10011605305

Starting from a Blank Page? Semantic Similarity in Central Bank Communication and Market Volatility

Ehrmann, Michael - 2017

. It shows that similar press releases generate less market volatility, but that more substantial textual changes after a … sequence of very similar statements lead to much larger volatility …

Persistent link: https://www.econbiz.de/10012962430