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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 …, however, from a large bid-ask or YTM spreads, a fact that reflects itself in the YC estimation errors. Some 700 YCs were … 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

Starting from the work by Campbell and Shiller (1987), empirical analysis of interest rates has been conducted in the framework of cointegration. However, parts of this approach have been questioned recently, as the adjustment mechanism may not follow a simple linear rule; another line of...

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

Monetary-Fiscal Forward Guidance

Kopiec, Paweł - 2024

When central banks announce cuts to future interest rates, the expected costs of government debt service decrease, generating additional resources in future budgets. This paper demonstrates that if the rational-expectations assumption is dropped, fiscal authority can exploit those gains by...

Persistent link: https://www.econbiz.de/10015213307

Money and Competing Means of Payment

Geromichalos, Athanasios; Wang, Yijing - 2024

In monetary theory, money is typically introduced as an object that can help agents bypass frictions, such as anonymity …

Persistent link: https://www.econbiz.de/10015213704

Assessing the Relationship between Non-Performing Assets (NPAs) and Profitability of Banks in India

Nikam, Supriya - 2024

The banking sector plays a pivotal role in the economic development and stability of a country, particularly in developing nations like India, where financial systems are predominantly bank-based. Banks act as primary financial intermediaries, converting deposits into productive investments,...

Persistent link: https://www.econbiz.de/10015213830

Resolving Puzzles of Monetary Policy Transmission in Emerging Markets

HA, JONGRIM; Kim, Dohan; Kose, Ayhan M. - 2024

Conventional empirical models of monetary policy transmission in emerging market economies produce puzzling results: monetary tightening often leads to an increase in prices (the price puzzle) and depreciation of the currency (the FX puzzle). We show that incorporating forward-looking...

Persistent link: https://www.econbiz.de/10015214422

Resolving Puzzles of Monetary Policy Transmission in Emerging Markets

HA, JONGRIM; Kim, Dohan; Kose, Ayhan M.; Prasad, Eswar - 2024

Persistent link: https://www.econbiz.de/10015214450