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Natural rate chimera and bond pricing reality
Brand, Claus; Goy, Gavin; Lemke, Wolfgang - 2020
equilibrium interest rate (r*), trend inflation, and term premia for the United States and the euro area, using a Bayesian … approach. The natural real rate and trend inflation are cornerstones determining equilibrium yields across maturities and …
Persistent link: https://www.econbiz.de/10012425011
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Lévy-Vasicek models and the long-bond return process
Brody, Dorje C.; Hughston, Lane P.; Meier, David M. - In: International journal of theoretical and applied finance 21 (2018) 3, pp. 1-26
Persistent link: https://www.econbiz.de/10011889447
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Banks' holdings of risky sovereign bonds in the absence of the nexus : yield seeking with central bank funding or de-risking?
Frey, Rainer; Weth, Mark - 2019
-stressed country such as Germany. Yield-seeking strategies were predominantly pursued by strong banks in Germany. Thus, with respect to …
Persistent link: https://www.econbiz.de/10012268051
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Monetary policy surprises, credit costs, and economic activity
Gertler, Mark; Karadi, Peter - In: American economic journal : a journal of the American … 7 (2015) 1, pp. 44-76
Persistent link: https://www.econbiz.de/10010517118
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A novel market efficiency index for energy futures and their term structure risk premiums
Kuruppuarachchi, Duminda; Premachandra, I. M.; Roberts, … - In: Energy economics 77 (2019), pp. 23-33
Persistent link: https://www.econbiz.de/10012306336
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Disaster risk and asset returns : an international perspective
Lewis, Karen K.; Liu, Edith X. - In: Journal of international economics 108 (2017), pp. 42-58
Persistent link: https://www.econbiz.de/10011916374
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The financial accelerator in the euro area : new evidence using a mixture VAR model
Bennani, Hamza; Burgard, Jan Pablo; Neuenkirch, Matthias - 2021 - First draft: November 23, 2020 ; this version: May 17, 2021
We estimate a logit mixture vector autoregressive model describing monetary policy transmission in the euro area over the period 2003Q1-2019Q4 with a special emphasis on credit conditions. With the help of this model, monetary policy transmission can be described as mixture of two states (e.g.,...
Persistent link: https://www.econbiz.de/10013328355
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Should the monetary policy rule be different in a financial crisis?
Piazzesi, Monika - In: Journal of economic dynamics & control 49 (2014), pp. 18-20
Persistent link: https://www.econbiz.de/10010486617
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Monetary policy, bond returns and debt dynamics
Berndt, Antje; Yeltekin, Şevin - In: Journal of monetary economics 73 (2015), pp. 119-136
Persistent link: https://www.econbiz.de/10011381760
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Shadow short rate and monetary policy in the Euro area
Damjanović, Milan; Masten, Igor - In: Empirica : journal of european economics 43 (2016) 2, pp. 279-298
Persistent link: https://www.econbiz.de/10011670689