This paper investigates how a country's economic complexity influences its sovereign yield spread with respect to the United States. Notably, a one-unit increase in the Economic Complexity Index is associated with a reduction of about 87 basis points in the 10-year yield spread. However, this...

We show that the stock market price reaction to monetary policy surprises upon announcements of the Federal Open Market Committee (FOMC) is explained mostly by changes in the default-free term structure of yields, not by changes in the equity premium. We reach this conclusion based on a new...

This text evaluates the empirical models of the Term Structure of Interest Rates (TSIR), comparing the resulting estimates regarding goodness-of-fit, robustness to outliers, and smoothness. In addition to the descriptive statistics on these metrics, the Friedman test and the multiple comparison...

We use a proprietary dataset of daily quotations of individual bonds from the period 2005-2018 to assess the appropriateness of three common yield curve intrapolation methods: Nelson-Siegel (NS), Diebold-Li (DL) and cubic splines. Spot (zero-coupon) yield curves derived from the methods are used...

We develop a new series of Canadian monetary policy shocks and analyze their impact on inflation and real GDP from 1996-2020. Our shocks are constructed as the daily change in the Nelson-Siegel yield curve factors after a monetary policy announcement. Because these shocks include information...

Affine term structure models of bond yields are important tools for analyzing fixed income markets and monetary policy. Estimators of Adrian, Crump, and Mönch (2013) and Diez de Los Rios (2015) replace time-consuming nonlinear search procedures with a set of simple linear regressions. However,...

Despite far-reaching banking sector reforms over the past few years, financial intermediation in Tajikistan continues to lag behind structural peers and the Caucasus and Central Asia region. At the same time, bank interest rate spreads, a standard measure of financial intermediation costs, have...

Inflation risk premiums tend to be positive in an economy mainly hit by supply shocks, and negative if demand shocks dominate. Risk premiums also fluctuate with risk aversion. We shed light on this nexus in a linear-quadratic equilibrium macrofinance model featuring time variation in...

We study the two-way relationship between fixed-rate mortgages (FRMs) and monetary policy in a panel of up to 35 countries over the last two decades. The dataset includes quarterly information on the composition of mortgage flows and stock by type of rate-fixation and monetary policy shocks...

• Diese Studie analysiert die Reaktionen der Kapitalmärkte auf Deutschlands jüngste Ankündigung, fiskalische Beschränkungen für Verteidigung und Ausgaben auf Länderebene zu lockern - und gleichzeitig ein 500-Milliarden-Euro-Investitionsfonds für Infrastruktur einzurichten. Insbesondere...

• This study analyzes capital market reactions to Germany's recent announcement of loosening fiscal restrictions for defense and state-level spending, while establishing a €500 billion infrastructure investment fund. In particular, we examine whether surging Bund yields reflect growth...

• Diese Studie analysiert die Reaktionen der Kapitalmärkte auf Deutschlands jüngste Ankündigung, fiskalische Beschränkungen für Verteidigung und Ausgaben auf Länderebene zu lockern - und gleichzeitig ein 500-Milliarden-Euro-Investitionsfonds für Infrastruktur einzurichten. Insbesondere...

I show that in linear rational expectation models, the effect of a monetary tightening can be simulated using contemporaneous and anticipated monetary policy shocks that replicate the forward curves observed during the period of interest, normalized with the forward curve observed in the quarter...

I develop a banking model with monopolistic competition to analyze the effect of reserve rate policy on bank insolvency risk, when banks are constrained by a zero lower bound on deposit rates. When binding, the lower bound compresses the solvency relevant deposit spread and causes it to be a...

This International Finance Corporation (IFC) Research Note analyzes the cost of borrowing for firms in emerging and developing economies, changes in their debt structure, and indicators of indebtedness and profitability. It finds reasons for optimism on their resilience, while noting that...

Using Credit Default Swaps (CDS) on sovereign bonds, we investigate whether US sovereign default risk is a greater driving factor of domestic interbank funding risk than domestic sovereign default risk across the five Libor counties including Canada and Australia. We use equivalent-country...