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Forecasting Interest Rates with Shifting Endpoints

van Dijk, Dick; Koopman, Siem Jan; van der Wel, Michel; … - 2012

Many economic studies on inflation forecasting have found favorable results when inflation is modeled as a stationary process around a slowly time-varying trend. In contrast, the existing studies on interest rate forecasting either treat yields as being stationary, without any shifting...

Persistent link: https://www.econbiz.de/10010326362

Die Zinslast des Bundes in der Schuldenkrise: Wie lukrativ ist der 'sichere Hafen'?

Boysen-Hogrefe, Jens - 2012

In the aftermath of the Great Recession and during the debt crisis in the euro area yields on German federal bonds have been exceptionally low. This analysis tries to calculate the profits that the federal government makes due to the low yields. The interest payments that are due to emissions of...

Persistent link: https://www.econbiz.de/10010287008

The Valuation and Hedging of Variable Rate Savings Account

de Jong, Frank; Wielhouwer, Jacco - 2001

paper focusses on measuring the interest rate risk of variable rate savings accounts on a value basis (duration) and on the …

Persistent link: https://www.econbiz.de/10010324863

Panel intensity models with latent factors: An application to the trading dynamics on the foreign exchange market

Nolte, Ingmar; Voev, Valeri - 2007

& Hautsch (2006) to panel duration data. We show how to estimate the model parameters by a simulated maximum likelihood … behavioral biases and discuss implications for portfolio theory. …

Persistent link: https://www.econbiz.de/10010266949

Duration & Dimension

Hallerbach, Winfried G. - 1999

In fixed income analysis, duration plays a central role as a proxy for interestrate risk exposure. Althoughthis role … relies on the interpretation of duration as (minus) theyield elasticity of the bond price, duration ismeasured as a bond …'s present value weighted average time to maturity andexpressed in terms of years. Hence duration is regarded as an elasticity …

Persistent link: https://www.econbiz.de/10010324570

Cross- and Auto-Correlation Effects arising from Averaging: The Case of US Interest Rates and Equity Duration

Hallerbach, Winfried G. - 2000

duration analysis, viz. whenestimating the relationship between interest rates andfinancial market variables like equity or …

Persistent link: https://www.econbiz.de/10010324663

Asymptotic Maturity Behavior of the Term Structure

Schulze, Klaas - 2008

Pricing and hedging of long-term interest rate sensitive products require to extrapolate the term structure beyond observable maturities. For the resulting limiting term structure we show two results by postulating no arbitrage in a bond market with infinitely increasing maturities: long...

Persistent link: https://www.econbiz.de/10010264921

An extended macro-finance model with financial factors

Dewachter, Hans; Iania, Leonardo - 2010

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...

Persistent link: https://www.econbiz.de/10010266074

Level, Slope, Curvature: Characterising the Yield Curve in a Cointegrated VAR Model

Giese, Julia V. - 2008

debated. Using a cointegrated VAR model of US treasury yields, this paper extends a common approach to test the theory. If, as …

Persistent link: https://www.econbiz.de/10010295270

Forecasting the term structure of government bond yields

Diebold, Francis X.; Li, Canlin - 2003

Despite powerful advances in yield curve modeling in the last twenty years, comparatively little attention has been paid to the key practical problem of forecasting the yield curve. In this paper we do so. We use neither the no-arbitrage approach, which focuses on accurately fitting the cross...

Persistent link: https://www.econbiz.de/10010298283