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Negative Interest Rate Policy and the Influence of Macroeconomic News on Yields
Fatum, Rasmus - 2020
We consider the influence of domestic and U.S. macroeconomic news surprises on daily bond yields over the January 1999 to January 2018 period for four advanced Negative Interest Rate Policy (NIRP) economies – Germany, Japan, Sweden and Switzerland. Our results suggest that the influence...
Persistent link: https://www.econbiz.de/10012849623
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Identifying factor-augmented vector autoregression models via changes in shock variances
Yamamoto, Yohei; Hara, Naoko - In: Journal of applied econometrics 37 (2022) 4, pp. 722-745
Persistent link: https://www.econbiz.de/10013332683
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The effects of asset purchases and normalization of US monetary policy
Hara, Naoko; Miyao, Ryuzo; Okimoto, Tatsuyoshi - 2019
Persistent link: https://www.econbiz.de/10013454016
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Negative interest rate policy and the influence of macro-economic news on yields
Fatum, Rasmus; Hara, Naoko; Yamamoto, Yohei - In: Journal of money, credit and banking : JMCB 56 (2024) 5, pp. 1261-1285
Persistent link: https://www.econbiz.de/10015116859
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Negative interest rate policy and the influence of macroeconomic news on yields
Fatum, Rasmus; Hara, Naoko; Yamamoto, Yohei - 2019
Persistent link: https://www.econbiz.de/10013448677
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Negative interest rate policy and the influence of macroeconomic news on yields
Fatum, Rasmus; Hara, Naoko; Yamamoto, Yohei - 2019
Persistent link: https://www.econbiz.de/10013448712
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Term structure models with negative interest rates
Ueno, Yoichi - 2017
Persistent link: https://www.econbiz.de/10013273225
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Monetary policy and the yield curve at zero interest
Ichiue, Hibiki; Ueno, Yoichi - In: Journal of the Japanese and international economies : … 38 (2015), pp. 1-12
Persistent link: https://www.econbiz.de/10011480961
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A survey-based shadow rate and unconventional monetary policy effects
Ichiue, Hibiki; Ueno, Yoichi - 2018
Persistent link: https://www.econbiz.de/10013447650
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The impact of COVID-19 on US consumer spending : quantitative analysis using high-frequency state-level data
Kobayashi, Satoshi; Nakahara, Kaori; Oda, Takemasa; … - 2020
Persistent link: https://www.econbiz.de/10012299300