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Interpreting implied risk-neutral densities

Hördahl, Peter; Vestin, David - 2003

This paper examine differences between risk-neutral and objective probability densities of future interest rates. The identification and quantification of these differences are important when risk-neutral densities (RNDs), such as option-implied RNDs, are used as indicators of actual beliefs of...

Persistent link: https://www.econbiz.de/10009635905

Sovereign risk premia in the European government bond market

Bernoth, Kerstin; Hagen, Jürgen/von; Schuknecht, Ludger - 2004

This paper provides a study of bond yield differentials among EU eurobonds issued between 1991 and 2002. Interest differentials between bonds issued by EU countries and Germany or the USA contain risk premia which increase with the debt, deficit and debt-service ratio and depend positively on...

Persistent link: https://www.econbiz.de/10009639423

Inflation risks and inflation risk premia

García, Juan Angel; Werner, Thomas - 2010

This paper investigates the link between the perceived inflation risks in macroeconomic forecasts and the inflation risk premia embodied in financial instruments. We first provide some stylized facts about the term structure of inflation compensation, inflation expectations and inflation risk...

Persistent link: https://www.econbiz.de/10009640397

What explains the surge in euro area sovereign spreads during the financial crisis of 2007-09?

Attinasi, Maria-Grazia; Checherita, Cristina; Nickel, … - 2009

This paper uses a dynamic panel approach to explain the determinants of widening sovereign bond yield spreads vis-à-vis Germany in selected euro area countries during the period end-July 2007 to end-March 2009, when the financial turmoil developed into a full-blown financial and economic...

Persistent link: https://www.econbiz.de/10009640448

The term structure of risk premia

Berg, Tobias - 2010

calibration approach based on credit default swaps. The risk premium term structure was flat before the crisis and downward …

Persistent link: https://www.econbiz.de/10009640393

A quantitative mirror on the Euribor market using implied probability density functions

Vincent-Humphreys, Rupert de; Puigvert Gutiérrez, … - 2010

This paper presents a set of probability density functions for Euribor outturns in three months’ time, estimated from the prices of options on Euribor futures. It is the first official and freely available dataset to span the complete history of Euribor futures options, thus comprising over...

Persistent link: https://www.econbiz.de/10009640514

Volatility of interest rates in the euro area

Cassola, Nuno; Morana, Claudio - 2003

This paper estimates the factors underlying the volatility of the euro overnight interest rate and its transmission …'s operational framework for monetary policy implementation. Strong persistence is detected in all log-volatility processes and and …. the second factor explains the transmission of volatility along the money market yield curve. We find evidence that most …

Persistent link: https://www.econbiz.de/10009635972

Identifying the monetary transmission mechanism using structural breaks

Beyer, Andreas; Farmer, Roger E. A. - 2003

We propose a method for estimating a subset of the parameters of a structural rational expectations model by exploiting changes in policy. We define a class of models, midway between a vector autoregression and a structural model, that we call the recoverable structure. As an application of our...

Persistent link: https://www.econbiz.de/10009635894

Definition of price stability, range and point inflation targets

Castelnuovo, Efrem; Nicoletti-Altimari, Sergio; … - 2003

Announcing a quantitative objective for price developments has become a common practice in modern monetary policy making. While the specific features of such announced objectives vary across countries, a common rationale for this is to help anchoring inflation expectations. We use survey data on...

Persistent link: https://www.econbiz.de/10009635904

A monthly monetary model with banking intermediation for the euro area

Bruggeman, Annick; Donnay, Marie - 2003

for the existence of a bank lending channel. Finally, the estimation of the Structural-VECM highlights very rich dynamics …

Persistent link: https://www.econbiz.de/10009635913