How should we value and manage deposit accounts where deposits have a zero contractual maturity, but which, in practice, remain stable through time and are remunerated below market rates? Does the economic value of the deposit account differ from the face value and can we reliably measure it? To...

We assess the contribution of economic and financial factors in the determination of euro area corporate bond spreads over the period 2001-2015. The proposed multi-market, no-arbitrage affine term structure model is based on the methodology proposed by Dewachter, Iania, Lyrio, and Perea (2015)....

We assess the contribution of economic and financial factors in the determination of euro area corporate bond spreads over the period 2001-2015. The proposed multi-market, no-arbitrage affine term structure model is based on the methodology proposed by Dewachter, Iania, Lyrio, and Perea (2015)....

We use a macro-finance model, incorporating macroeconomic and financial factors, to study the term premium in the U.S. bond market. Estimating the model using Bayesian techniques, we find that a single factor explains most of the variation in bond risk premiums. Furthermore, the model-implied...

We estimate the 'fundamental' component of euro area sovereign bond yield spreads, i.e. the part of bond spreads that can be justified by country-specific economic factors, euro area economic fundamentals, and international influences. The yield spread decomposition is achieved using a...

No-arbitrage term structure models are becoming increasingly important to policy makers and practitioners alike. Several factors justify this trend. First, modeling progress has been tremendous over the last years, allowing a much better fit of actual yield curve dynamics and increased model...

Messung der regimeübergreifenden Geschmeidigkeit von Wechselkursen Dieser Beitrag schlägt einen Rahmen vor für die Untersuchung der regimeübergreifenden Geschmeidigkeit von Wechselkursen und wendet diesen Rahmen an auf die in Deutscher Mark und französischen Francs notierten Kurse des...

Chaos im Dornbusch-Modell für den Wechselkurs Dieser Beitrag beschreibt ein Modell für den Wechselkurs. Er berücksichtigt Interaktionen zwischen unterschiedlichen Kategorien von Akteuren. Wir befassen uns mit zwei dieser Kategorien, nämlich mit den Fundamental-Analysten zum einen, die ihren...

This paper extends the benchmark Macro-Finance model by introducing, next to the standard macroeconomic factors, additional liquidity-related and return forecasting factors. Liquidity factors are obtained from a decomposition of the TED spread while the return-forecasting (risk premium) factor...

In this paper we identify the effects of ageing on the relative price of nontradeables versus tradeables. We consider two cases. In a first specification, age effects only account for short-run dynamics. An alternative case allows for permanent age effects. Estimating the respective cases by...