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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

Assessing the Compensation for Volatility Risk Implicit in Interest Rate Derivatives

Fornari, Fabio - 2021

volatility risk, for dollar, euro and pound rates at a daily frequency, between October 1998 and August 2006. The measurement of … the volatility risk premium rests on a simple model according to which variance forecasts are generated under the … large - negative - compensation for volatility risk, a component which was smaller in absolute terms - but not relative to …

Persistent link: https://www.econbiz.de/10013316627

Is the corporate bond market forward looking?

Hilscher, Jens - 2007

This paper presents empirical evidence that the corporate bond market is forward looking with respect to volatility. I … use the Merton (1974) model to calculate a measure of implied volatility from corporate bond yield spreads. I find that … corporate bond transaction prices contain substantial information about future volatility: When predicting future volatility in …

Persistent link: https://www.econbiz.de/10011604846

Assessing the compensation for volatility risk implicit in interest rate derivatives

Fornari, Fabio - 2008

Persistent link: https://www.econbiz.de/10011604905

Would the Bundesbank Have Prevented the Great Inflation in the United States?

Benati, Luca - 2009

Policy counterfactuals based on estimated structural VARs routinely suggest that bringing Alan Greenspan back in the 1970s' United States would not have prevented the Great Inflation. We show that a standard policy counterfactual suggests that the Bundesbank – which is near-universally...

Persistent link: https://www.econbiz.de/10013153230

On Approximating DSGE Models by Series Expansions

Lombardo, Giovanni - 2010

We show how to use a simple perturbation method to solve non-linear rational expectation models. Drawing from the applied mathematics literature we propose a method consisting of series expansions of the non-linear system around a known solution. The variables are represented in terms of their...

Persistent link: https://www.econbiz.de/10013136525

Balance Sheet Interlinkages and Macro-Financial Risk Analysis in the Euro Area

Castrén, Olli - 2009

leverage and asset volatility. We conclude that the bilateral cross-sector exposures in the euro area financial system … financial intermediaries playing a key role in the processes. High financial leverage and high asset volatility are found to …

Persistent link: https://www.econbiz.de/10013153431

Between hawks and doves: Measuring central bank communication

Tobback, Ellen; Nardelli, Stefano; Martens, David - 2017

We propose a Hawkish-Dovish (HD) indicator that measures the degree of 'hawkishness' or 'dovishness' of the media's perception of the ECB's tone at each press conference. We compare two methods to calculate the indicator: semantic orientation and Support Vector Machines text classification. We...

Persistent link: https://www.econbiz.de/10011804400

A theory of pruning

Lombardo, Giovanni; Uhlig, Harald - 2014

Often, numerical simulations for dynamic, stochastic models in economics are needed. Higher order methods can be attractive, but bear the danger of generating explosive solutions in originally stationary models. Kim-Kim-Schaumburg-Sims (2008) proposed pruning to deal with this challenge for...

Persistent link: https://www.econbiz.de/10011605741

Between Hawks and Doves : Measuring Central Bank Communication

Tobback, Ellen - 2017

Persistent link: https://www.econbiz.de/10012952829