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US interest rates : are relations stable?

Karlsson, Sune; Kiss, Tamás; Nguyen, Hoang; … - 2024

In this paper, we assess whether key relations between US interest rates have been stable over time. This is done by estimating trivariate hybrid time-varying parameter Bayesian VAR models with stochastic volatility for the three-month Treasury bill rate, the slope of the Treasury yield curve...

Persistent link: https://www.econbiz.de/10014490330

Measuring the natural interest rate for the Macedonian economy : a multi-model approach

Miteski, Mite; Petrovska, Magdalena; Sulejmani, Artan - 2023

This paper identifies the natural interest rate for the Macedonian economy using quarterly data for 2001Q4-2019Q3. To this end, the estimation is made by using different types of models, such as the Holston, Laubach, and Williams model and the full-fledged country-specific structural MAKPAM...

Persistent link: https://www.econbiz.de/10014324792

Cross-country co-movement in long-term interest rates : a DSGE approach

Chin, Michael; Filippeli, Thomai; Theodoridis, Konstantinos - 2015

Long-term interest rates in a number of small-open inflation targeting economies co-move more strongly with US long-term rates than with short-term rates in those economies. We augment a standard small open-economy model with imperfectly substitutable government bonds and time-varying term...

Persistent link: https://www.econbiz.de/10011337163

The financial market impact of UK quantitative easing

Breedon, Francis J.; Chadha, Jagjit; Water, Alex - 2012

After outlining some of the monetary developments associated with Quantitative Easing (QE), we measure the impact of the UK's initial 2009-10 QE Programme on bonds and other assets. First, we use a macro-finance yield curve both to create a counterfactual path for bond yields and to estimate the...

Persistent link: https://www.econbiz.de/10009580086

Extraction of inflation expectations from financial instruments

Fuertes, Alberto; Gimeno, Ricardo; Marqués, José Manuel - 2018

In this paper we estimate inflation expectations for several Latin American countries using an affine model that takes as factors the observed inflation and the parameters generated from zero-coupon yield curves of nominal bonds. By implementing this approach, we avoid the use of...

Persistent link: https://www.econbiz.de/10011883446

Banking in the negative : a vector error correction analysis of bank-specific lending and deposit rates

Agati, Alessandra; Sigmund, Michael - 2025

cointegration vector that links bank-specific lending rates, deposit rates, the 3-month Euribor, and the ECB Deposit Facility Rate …-specific lending rates, potentially affecting cointegration with the 3-month Euribor. Our findings show a significant spread reduction … after the introduction of negative reference rates, primarily driven by changes in the cointegration relationship between …

Persistent link: https://www.econbiz.de/10015183164

Financing patterns of European SMEs : an empirical taxonomy

Moritz, Alexandra; Block, Jörn; Heinz, Andreas - 2015

This EIF Working Paper takes a holistic approach to investigate SME financing patterns in Europe by performing a … cluster analysis including 12,726 SMEs in 28 European countries. The results reveal that SME financing in Europe is not …

Persistent link: https://www.econbiz.de/10011861130

On within-couple time allocation : gendered disparities in paid work and housework in Europe

Tverdostup, Maryna; Sabouniha, Alireza - 2024

This paper aims to pursue a deeper understanding of gendered within-couple allocation of time into paid work and housework in heterosexual dual-earner couples. Relying on the second wave of Harmonised European Time Use Survey (HETUS) data for 10 European countries, we estimate spousal relative...

Persistent link: https://www.econbiz.de/10014545297

Spurious correlation in estimation of the health production function : a note

Akkoyunlu, Sule; Lichtenberg, Frank R.; Siliverstovs, Boriss - 2009

; Innovation ; Pharmaceuticals ; Health care expenditure ; Cointegration …

Persistent link: https://www.econbiz.de/10003900852

A multivariate cointegration analysis of interest rates in the eurocurrency market

Bremnes, Helge; Gjerde, Øystein; Sættem, Frode - 1995

Persistent link: https://www.econbiz.de/10000925601