Showing 1 - 10 of 118
Persistent link: https://www.econbiz.de/10009618709
Persistent link: https://www.econbiz.de/10003761419
Persistent link: https://www.econbiz.de/10003940233
Persistent link: https://www.econbiz.de/10011672607
Term structure models are routinely used by central banks to assess the impact of their communication on market participants' views of future interest rate developments. However, recent studies have pointed out that traditional term structure models can provide misleading indications when policy...
Persistent link: https://www.econbiz.de/10013000972
We propose a general method for the Bayesian estimation of nonlinear no-arbitrage term structure models. The main innovations we introduce are: 1) a computationally efficient method, based on deep learning techniques, for approximating no-arbitrage model-implied bond yields to any desired degree...
Persistent link: https://www.econbiz.de/10012867178
Persistent link: https://www.econbiz.de/10011941279
Persistent link: https://www.econbiz.de/10013439491
Persistent link: https://www.econbiz.de/10013460028
We conduct an empirical analysis of sovereign bond spreads for a selected number of euro area countries. We analyze several methodologies to measure and to assess the relative importance of three components of sovereign spreads: credit premia, liquidity premia and convenience yields. We find...
Persistent link: https://www.econbiz.de/10013012468