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The term premium and the UK economy 1980 - 2007

Dungey, Mardi H.; Vehbi, M. Tugrul - 2010

Persistent link: https://www.econbiz.de/10009384429

Disentangling the predictive power of term spreads under inflation targeting

Lee, Jiyoung - In: International economic journal 29 (2015) 3, pp. 419-450

Persistent link: https://www.econbiz.de/10011341826

Surprises, sentiments, and the expectations hypothesis of the term structure of interest rates

Chen, Cathy Yi-Hsuan; Chiang, Thomas C. - In: Review of quantitative finance and accounting 49 (2017) 1, pp. 1-28

Persistent link: https://www.econbiz.de/10011797010

A comparison of the information in the LIBOR and CMT term structures of interest rates

Brooks, Robert; Cline, Brandon N.; Enders, Walter - In: Journal of banking & finance 54 (2015), pp. 239-253

Persistent link: https://www.econbiz.de/10011377823

Oil price shock in the US and the euro area - evidence from the shadow rate and the term premium

Pažický, Martin - In: Národohospodářský obzor : časopis věnovaný … 21 (2021) 3, pp. 309-346

area. Oil price transmission channel is assessed using Granger causalities and structural vector autoregressive (VAR … confirmed by the outcomes of the Bayesian VAR specification with sign restrictions. The consequences of changes in oil prices …

Persistent link: https://www.econbiz.de/10012651358

Volatility, Money Market Rates, and the Transmission of Monetary Policy

Carpenter, Seth B.; Demiralp, Selva - 2011

policy and for the interpretation of the changes in the Libor-OIS spread during the financial crisis. …

Persistent link: https://www.econbiz.de/10010500183

Volatility, Money Market Rates, and the Transmission of Monetary Policy

Carpenter, Seth B.; Demiralp, Selva - İktisat Bölümü, İktisadi ve İdari Bilimler Fakültesi - 2011

policy and for the interpretation of the changes in the Libor-OIS spread during the financial crisis …

Persistent link: https://www.econbiz.de/10009371669

A comparison of the information in the LIBOR and CMT term structures of interest rates

Brooks, Robert; Cline, Brandon N.; Enders, Walter - In: Journal of Banking & Finance 54 (2015) C, pp. 239-253

We investigate the information contained in the London Interbank Offered Rate (LIBOR) and the U.S. Constant Maturity … information content of CMT and LIBOR are consistent with significant shocks to credit default swap rates and tenor swap rates. …

Persistent link: https://www.econbiz.de/10011264646

A shadow rate without a lower bound constraint

De Rezende, Rafael B.; Ristiniemi, Annukka - 2018

We propose a shadow rate that measures the expansionary (contractionary) interest rate effects of unconventional monetary policies that are present when the lower bound is not binding. Using daily yield curve data we estimate shadow rates for the US, Sweden, the euro-area and the UK, and find...

Persistent link: https://www.econbiz.de/10011868269

A shadow rate without a lower bound constraint

De Rezende, Rafael B.; Ristiniemi, Annukka - 2020

Persistent link: https://www.econbiz.de/10012534336