In this paper we decompose nominal interest rates into real risk-free rates, inflation expectations and risk premia using an affine model that takes as factors the observed inflation rate and the parameters generated in the zero yield curve estimation. We apply this model to the Spanish economy...

Es difícil cuadrar la reacción asimétrica de las curvas de tipos en el área del euro tras el anuncio del programa de compras de emergencia frente a la pandemia (PEPP, por sus siglas en inglés) del Banco Central Europeo (BCE) con la interpretación ortodoxa de los efectos de las compras de...

Dynamic term structure models (DTSMs) price interest rate derivatives based on the modelimplied fair values of the yield curve, ignoring any pricing residuals on the yield curve that are either from model approximations or market imperfections. In contrast, option pricing in practice often takes...

In this paper we propose an affine model that uses as observed factors the Nelson and Siegel (NS) components summarising the term structure of interest rates. By doing so, we are able to reformulate the Diebold and Li (2006) approach to forecast the yield curve in a way that allows us to...

Es wurde ein Wertpapiermarktmodell entwickelt, in dem Preise explizit in Abhängigkeit der Konsumentenspezifikationen determiniert sind. Die Struktur der überlappenden Generationen diente der Erzeugung von Handel zwischen jungen und alten Konsumenten. Dabei spielte es keine Rolle, ob die...

In the first chapter, I estimate dynamic factors from the term structure of credit spreads and the term structure of equity option implied volatilities, and I provide a comprehensive characterization of the dynamic relationships among those credit spread factors and equity volatility factors. I...