Similar Search Results

A Three-Factor Yield Curve Model: Non-Affine Structure, Systematic Risk Sources, and Generalized Duration

Diebold, Francis X.; Ji, Lei; Li, Canlin - Department of Economics, University of Pennsylvania - 2006

We assess and apply the term-structure model introduced by Nelson and Siegel (1987) and re-interpreted by Diebold and Li (2003) as a modern three-factor model of level, slope and curvature. First, we ask whether the model is a member of the affine class, and we find that it is not. Hence the...

Persistent link: https://www.econbiz.de/10005020641

Term Structure Forecasting: No-arbitrage Restrictions Versus Large Information set

Favero, Carlo A.; Niu, Linlin; Sala, Luca - 2013

This paper addresses the issue of forecasting the term structure. We provide a unified state-space modelling framework that encompasses different existing discrete-time yield curve models. Within such framework we analyze the impact of two modelling choices, namely the imposition of no-arbitrage...

Persistent link: https://www.econbiz.de/10010892123

The Predictive Power of the Yield Spread: Further Evidence and A Structural Interpretation

Favero, Carlo A.; Kaminska, Iryna; Söderström, Ulf - C.E.P.R. Discussion Papers - 2005

This paper brings together two strands of the empirical macro literature: the reduced-form evidence that the yield spread helps in forecasting output and the structural evidence on the difficulties of estimating the effect of monetary policy on output in an intertemporal Euler equation. We show...

Persistent link: https://www.econbiz.de/10005791499

Should the Euro Area be Run as a Closed Economy?

Favero, Carlo A.; Giavazzi, Francesco - C.E.P.R. Discussion Papers - 2008

The European Economic and Monetary Union (EMU) has created a new economic area, larger and closer with respect to the rest of the world. Area-specific shocks are thus more important in EMU than country-specific shocks used to be in the previous states, e.g. in Germany. It is thus not surprising...

Persistent link: https://www.econbiz.de/10005136545

Term Structure Forecasting: No-Arbitrage Restrictions vs Large Information Set

Favero, Carlo A.; Niu, Linlin; Sala, Luca - C.E.P.R. Discussion Papers - 2007

This paper addresses the issue of forecasting the term structure. We provide a unified state-space modelling framework that encompasses different existing discrete-time yield curve models. Within such framework we analyze the impact on forecasting performance of two crucial modelling choices,...

Persistent link: https://www.econbiz.de/10005497801

Demographics and the Behavior of Interest Rates

Favero, Carlo A. - 2019

Interest rates are very persistent. Modelling the persistent component of interest rates has important consequences for forecasting. Consider Affine Term Structure Models (ATSM): given the dynamics of the short term rate, a stationary VAR for the factors is used to project the entire term...

Persistent link: https://www.econbiz.de/10012905722

The Predictive Power of the Yield Spread : Further Evidence and a Structural Interpretation

Favero, Carlo A.; Kaminska, Iryna; Söderström, Ulf - 2005

Persistent link: https://www.econbiz.de/10014067148

Term Structure Forecasting : No-Arbitrage Restrictions versus Large Information Set

Favero, Carlo A. - 2009

Persistent link: https://www.econbiz.de/10013160123

Monetary Policy and Bond Prices with Drifting Equilibrium Rates

Favero, Carlo A.; Melone, Alessandro; Tamoni, Andrea - 2021

We study drift and cyclical components in U.S. Treasury bonds. We find that bond yields are drifting because they reflect the drift in monetary policy rates. Empirically, modeling the monetary policy drift using demographics and productivity trends, plus long-term inflation expectations, leads...

Persistent link: https://www.econbiz.de/10013247931

How Does Liquidity Affect Government Bond Yields?

Favero, Carlo A.; Pagano, Marco; von Thadden, Ernst-Ludwig - C.E.P.R. Discussion Papers - 2008

trend in yield differentials, which is correlated with a measure of aggregate risk. In contrast, liquidity differentials … display sizeable heterogeneity and no common factor. We propose a simple model with endogenous liquidity demand, where a bond …'s liquidity premium depends both on its transaction cost and on investment opportunities. The model predicts that yield …

Persistent link: https://www.econbiz.de/10005124174

1
2
3
4
5
6
7
8
9
10
Next
Last