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An Infinite Hidden Markov Model with GARCH for Short-Term Interest Rates

Li, Chenxing; Yang, Qiao - 2025

This paper introduces a novel Bayesian time series model that combines the nonparametric features of an infinite hidden Markov model with the volatility persistence captured by the GARCH framework, to effectively model and forecast short-term interest rates. When applied to US 3-month Treasury...

Persistent link: https://www.econbiz.de/10015214745

Macroeconomic Determinants of MIR Rate: Evidence from the Euro area

Anastasiou, Dimitrios - 2017

The objective of this study is to examine the determinants of MIR rate in the Euro area for the period 2003Q1-2015Q3. By employing Fixed Effects, Random Effects and Dynamic OLS (DOLS) as econometric methodologies, I examine if the MIR rate is affected by the following macroeconomic factors:...

Persistent link: https://www.econbiz.de/10015257260

Czech Government Bond yields under FX pressure

Simerský, Mojmír - 2018

This paper presents some results of the yield curve (YC) estimation method proposed in ([Sim]). We focus on the Czech … Government Bond market in the period 2014-2017, when the Czech National Bank (CNB) weakened the CZK exchange rate by long … computed and histograms of yield estimation errors and of YC smoothness are given. Of interest is the comparison of the Czech …

Persistent link: https://www.econbiz.de/10015260249

Nonlinear Adjustment in US Bond Yields: an Empirical Analysis with Conditional Heteroskedasticity

Lucchetti, Riccardo; Palomba, Giulio - 2008

empirically. In this paper, we analyse data on US bond yields by means of an augmented VAR specification which approximates a … generic nonlinear adjustment model. We argue that nonlinearity captures macro information via the shape of the yield curve and …

Persistent link: https://www.econbiz.de/10015269130

ARIMA ve VAR Modellerinin Tahmin Başarılarının Karşılaştırılması

Bilgili, Faik - 2001

This paper considers the forecast accuracies of VAR and ARIMA models. The paper, hence, employs monthly Turkish CPI, Exchange Rate and Interest rate variables for the period 1994:1-200:07, and, observes the ex-post forecast values of the relevant variables. To this end, paper first determines...

Persistent link: https://www.econbiz.de/10015254124

Financial Deepening in Ghana; Does Macroeconomics Matter

Alnaa, Samuel Erasmus; Matey, Juabin - 2024

Financial deepening plays a pivotal role in fostering economic growth, alleviating poverty, and mitigating social inequalities. Employing the Vector Autoregressive Model (VAR), this study examines the implications of per capita gross domestic product (GDP), interest rates, and inflation rates...

Persistent link: https://www.econbiz.de/10015213482

A new measure of fiscal shocks based on budget forecasts and its implications

Pereira, Manuel C - 2009

This paper develops a new measure of US fiscal policy shocks that intends to avoid the anticipation problem affecting conventional measures, being also arguably free from endogeneity. The shocks are intended to capture changes to the component of anticipated fiscal policy that is exogenous to...

Persistent link: https://www.econbiz.de/10015218296

Financing U.S. debt: Is there enough money in the world – and at what cost?

Kitchen, John; Chinn, Menzie - 2010

This paper examines the potential role for foreign official holdings of U.S. Treasury securities and the associated implications for Treasury security interest rates, international portfolio allocations, net international income flows, and the U.S. net international debt position, using a...

Persistent link: https://www.econbiz.de/10015222942

Top tax system: a common taxation system for all nations

Varma, Vijaya Krushna Varma - 2009

I am suggesting new methods, and innovative and alternative policies in the areas of optimal taxation, tax collection, money supply and banking financial system to help remove corruption, tax evasion, economic recession, black money, fake currency and societal inequalities. In my opinion, the...

Persistent link: https://www.econbiz.de/10015224341

Political Constraints and Sovereign Default Premia

Mitra, Nirvana - 2020

I study the relationship between political constraints and the probability of sovereign default on external debt using a dynamic stochastic model of fiscal policy augmented with legislative bargaining and default. I find that political constraints and default probability are inversely related if...

Persistent link: https://www.econbiz.de/10015224956