Showing 1 - 10 of 13
This paper studies the implications of introducing an explicit policy objective to the management of foreign reserves at a central bank. A dynamic model is developed which links together reserves management and the exchange rate by foreign exchange interventions. The exchange rate is modelled as...
Persistent link: https://www.econbiz.de/10011604670
This paper presents a new framework allowing strategic investors to generate yield curve projections contingent on expectations about future macroeconomic scenarios. By consistently linking the shape and location of yield curves to the state of the economy our method generates predictions for...
Persistent link: https://www.econbiz.de/10011604518
This paper develops a new methodology for simulating fixed-income return distributions. It is shown that a traditional factor risk model, when augmented with reference returns, is capable of generating visually consistent return distributions for a broad range of fixed income instruments such as...
Persistent link: https://www.econbiz.de/10011604687
We trace the impact of the ECB's asset purchase programme (APP) on the sovereign yield curve. Exploiting granular information on sectoral asset holdings and ECB asset purchases, we construct a novel measure of the "free-float of duration risk" borne by price-sensitive investors. We include this...
Persistent link: https://www.econbiz.de/10012142137
We trace the impact of the European Central Bank (ECB) asset purchase programme (APP) on the yield curve. Exploiting granular information on sectoral asset holdings and ECB asset purchases, we construct a novel measure of the "free-float of duration risk" borne by pricesensitive investors. We...
Persistent link: https://www.econbiz.de/10012287828
This paper explores how the need to transition to a low-carbon economy influences firm credit risk. It develops a novel dataset which augments data on firms' green-house gas emissions over time with information on climate disclosure practices and forward-looking emission reduction targets,...
Persistent link: https://www.econbiz.de/10012819045
This paper explores how the need to transition to a low-carbon economy influences credit risk. It develops a novel dataset covering firms' greenhouse gas emissions over time alongside information on strategies for managing transition risk, including climate disclosure practices and...
Persistent link: https://www.econbiz.de/10013162042
A factor rotation scheme is applied to the well-known Dynamic Nelson-Siegel model facilitating direct parametrization of the short rate process. The model-implied term structure of term premia is derived in closed-form, and macroeconomic variables are included in a Taylor-rule- type fashion....
Persistent link: https://www.econbiz.de/10011605896
Spillovers between the US and euro area term structures of interest rates are examined. Implications for monetary policy are investigated using term-structure metrics that proxy conventional and unconventional instruments, i.e. the short rate, the 10 year term premium, and the 10 year risk-free...
Persistent link: https://www.econbiz.de/10011606025
This report summarises the findings of the task force. It is organised as follows. Section 2 starts with a discussion of the relevance of credit risk for central banks. It is followed by a short introduction to credit risk models, parameters and systems in Section 3, focusing on models used by...
Persistent link: https://www.econbiz.de/10011606216