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  • Search: subject_exact:"Zinsstruktur"
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Year of publication
Subject
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Zinsstruktur 13,477 Yield curve 13,137 Theorie 4,842 Theory 4,761 Schätzung 2,299 Estimation 2,256 Zins 2,026 USA 2,005 Interest rate 1,990 Geldpolitik 1,984 Risikoprämie 1,963 United States 1,944 Risk premium 1,931 Monetary policy 1,916 Öffentliche Anleihe 1,824 Public bond 1,800 Kreditrisiko 1,244 Credit risk 1,234 Kapitaleinkommen 1,156 Capital income 1,149 EU-Staaten 1,146 EU countries 1,103 Anleihe 1,021 Bond 1,009 Volatilität 984 Volatility 963 Prognoseverfahren 946 Forecasting model 924 Optionspreistheorie 873 Option pricing theory 863 Eurozone 860 Euro area 843 Unternehmensanleihe 767 Corporate bond 766 Interest rate derivative 727 Zinsderivat 727 Deutschland 688 CAPM 687 Germany 637 Rentenmarkt 572
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Online availability
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Free 5,479 Undetermined 1,900
Type of publication
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Book / Working Paper 7,453 Article 6,020 Journal 4
Type of publication (narrower categories)
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Article in journal 5,589 Aufsatz in Zeitschrift 5,589 Working Paper 3,481 Graue Literatur 3,353 Non-commercial literature 3,353 Arbeitspapier 3,268 Aufsatz im Buch 404 Book section 404 Hochschulschrift 387 Thesis 311 Collection of articles written by one author 92 Sammlung 92 Collection of articles of several authors 52 Sammelwerk 52 Bibliografie enthalten 47 Bibliography included 47 Conference paper 38 Konferenzbeitrag 38 Amtsdruckschrift 30 Government document 30 Konferenzschrift 28 Dissertation u.a. Prüfungsschriften 27 Commentary 26 Kommentar 26 Lehrbuch 25 Textbook 23 Aufsatzsammlung 17 Conference proceedings 17 Forschungsbericht 17 Systematic review 17 Übersichtsarbeit 17 Case study 9 Fallstudie 9 Mikroform 7 Article 6 Bibliografie 5 Reprint 5 Amtliche Publikation 4 Glossar enthalten 4 Glossary included 4
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Language
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English 12,718 German 415 Spanish 127 French 123 Portuguese 30 Italian 20 Undetermined 11 Polish 10 Dutch 9 Danish 6 Hungarian 5 Norwegian 5 Czech 2 Finnish 2 Croatian 2 Korean 1 Romanian 1 Russian 1 Turkish 1
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Author
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Rudebusch, Glenn D. 101 Christensen, Jens H. E. 54 Akram, Tanweer 50 Bekaert, Geert 47 Favero, Carlo A. 47 Wright, Jonathan H. 47 Wu, Jing Cynthia 45 Monfort, Alain 44 Diebold, Francis X. 43 Gollier, Christian 43 Afonso, António 42 Chiarella, Carl 41 Krippner, Leo 41 Hördahl, Peter 40 Thornton, Daniel L. 39 Caporale, Guglielmo Maria 38 Hamilton, James D. 38 Renne, Jean-Paul 36 Chernov, Mikhail 35 Campbell, John Y. 34 Dewachter, Hans 34 Mishkin, Frederic S. 34 Kaminska, Iryna 33 Joshi, Mark S. 31 Kim, Don H. 31 Lemke, Wolfgang 31 Schlögl, Erik 31 Goldstein, Robert S. 30 Bauer, Michael D. 29 Friedman, Benjamin M. 29 Gouriéroux, Christian 29 Jarrow, Robert A. 29 Sarno, Lucio 29 Singleton, Kenneth J. 29 Wei, Min 29 Filipović, Damir 28 Guidolin, Massimo 28 Fratzscher, Marcel 27 MacDonald, Ronald 27 Meldrum, Andrew 27
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Institution
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National Bureau of Economic Research 261 Institut für Schweizerisches Bankwesen <Zürich> 19 Centre for Analytical Finance <Århus> 13 Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse 13 Federal Reserve Bank of San Francisco 12 Ekonomiska forskningsinstitutet <Stockholm> 10 Federal Reserve Bank of St. Louis 8 University of Exeter / Department of Economics 7 Banque de France / Direction des Etudes Economiques et de la Recherche 6 Federal Reserve Bank of Cleveland 5 National Centre of Competence in Research North South <Bern> 5 Rodney L. White Center for Financial Research 5 Sonderforschungsbereich Ökonomisches Risiko <Berlin> 5 World Bank 5 Banco Central do Brasil 4 Federal Reserve Bank of New York 4 Federal Reserve System / Division of Research and Statistics 4 Internationaler Währungsfonds / European Department <1> 4 Springer Fachmedien Wiesbaden 4 Unité Mixte de Recherche Théorie Economique, Modélisation et Applications 4 Deutsche Forschungsgemeinschaft 3 Erasmus Research Institute of Management 3 Europäische Zentralbank 3 Innocenzo Gasparini Institute for Economic Research <Mailand> 3 International Center for Financial Asset Management and Engineering 3 Internationaler Währungsfonds 3 Internationaler Währungsfonds / Research Department 3 Internationaler Währungsfonds / Western Hemisphere Department 3 OECD 3 Reserve Bank of New Zealand 3 University of York / Department of Economics and Related Studies 3 Weierstraß-Institut für Angewandte Analysis und Stochastik 3 Bank of Canada 2 Bank of England / Economics Division 2 Center for Economic Analysis <Boulder, Colo.> 2 Center for Economic Research <Tilburg> 2 Charles A. Dice Center for Research in Financial Economics <Columbus, Ohio> 2 Escola de Pós-Graduação em Economia <Rio de Janeiro> 2 Federal Reserve System / Board of Governors 2 Goethe-Universität Frankfurt am Main 2
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Published in...
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NBER working paper series 256 Working paper / National Bureau of Economic Research, Inc. 239 Journal of banking & finance 213 NBER Working Paper 140 The journal of fixed income 140 Discussion paper / Centre for Economic Policy Research 133 Journal of financial economics 112 International journal of theoretical and applied finance 111 Journal of international money and finance 107 Working paper series / European Central Bank 107 ECB Working Paper 102 Finance and economics discussion series 101 Journal of money, credit and banking : JMCB 85 Economics letters 82 Applied economics 78 The review of financial studies 77 Working paper 76 The journal of finance : the journal of the American Finance Association 74 Journal of monetary economics 72 International review of economics & finance : IREF 70 Mathematical finance : an international journal of mathematics, statistics and financial theory 69 Applied financial economics 68 Economic modelling 67 Journal of empirical finance 65 Journal of economic dynamics & control 60 Working papers series / Federal Reserve Bank of San Francisco 59 Journal of financial and quantitative analysis : JFQA 58 International review of financial analysis 57 Applied economics letters 55 Finance research letters 55 The North American journal of economics and finance : a journal of financial economics studies 55 CESifo working papers 54 IMF working paper 53 Journal of international financial markets, institutions & money 53 Staff reports / Federal Reserve Bank of New York 53 Journal of econometrics 51 The journal of futures markets 51 Finance and stochastics 49 Applied mathematical finance 47 The journal of derivatives : the official publication of the International Association of Financial Engineers 45
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Source
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ECONIS (ZBW) 13,155 EconStor 223 USB Cologne (EcoSocSci) 46 USB Cologne (business full texts) 41 RePEc 5 BASE 3 ArchiDok 3 OLC EcoSci 1
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Showing 1 - 50 of 13,477
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The effects of the LIBOR scandal on volatility and liquidity in LIBOR futures markets
Bachmair, Kilian - 2023
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Bankruptcy regime change and credit risk premium on corporate bonds : evidence from the indian economy
Sengupta, Rajeswari; Vardhan, Harsh - 2023
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Forecasting swap rate volatility with information from swaptions
Liu, Xiaoxi - 2023
Persistent link: https://ebtypo.dmz1.zbw/10013502696
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The narrow channel of quantitative easing: Evidence from YCC down under
Lucca, David O.; Wright, Jonathan H. - 2022
We study the recent Australian experience with yield curve control (YCC) of government bonds as perhaps the best evidence of how this policy might work in other developed economies. We interpret the evidence with a simple model in which YCC affects prices of both government and other bonds via...
Persistent link: https://ebtypo.dmz1.zbw/10013432943
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Intermediary balance sheets and the treasury yield curve
Du, Wenxin; Hébert, Benjamin; Li, Wenhao - 2022
We have documented a regime change in the U.S. Treasury market post-Global Financial Crisis (GFC). We first derived bounds on Treasury yields that account for dealer balance sheet costs, which we call the net short and net long curves. We show that actual Treasury yields moved from the net short...
Persistent link: https://ebtypo.dmz1.zbw/10013432953
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The term structure of currency futures' risk premia
Bernoth, Kerstin; Hagen, Jürgen von; Vries, Casper G. de - In: Journal of money, credit and banking : JMCB 54 (2022) 1, pp. 5-38
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Non-linearities and persistence in US long-run interest rates
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - In: Applied economics letters 29 (2022) 4, pp. 366-370
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Quale futuro per i benchmark del mercato monetario in euro?
Della Gatta, Daniela - 2022
Persistent link: https://ebtypo.dmz1.zbw/10012879041
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Statistical and machine learning for credit and market risk management
Nagl, Maximilian - 2022
Persistent link: https://ebtypo.dmz1.zbw/10012880193
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Yield curve dynamics and fiscal policy shocks
Kučera, Adam; Kočenda, Evžen; Maršál, Aleš - 2022
We show that government spending does play a role in shaping the yield curve which has important consequences for the cost of private and government financing. We combine government spending shock identification strategies from the fiscal macro literature with recent advancements in no-arbitrage...
Persistent link: https://ebtypo.dmz1.zbw/10012887223
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Term premium dynamics and its determinants : the Mexican case
Aguilar-Argaez, Ana; Diego-Fernández, María; … - 2022
Persistent link: https://ebtypo.dmz1.zbw/10012888236
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Do Zombies rise when interest rates fall? : a relationship banking model
Herweg, Fabian; Kähny, Maximilian - 2022
An entrepreneur chooses a relationship bank or market finance. The advantage of bank finance is that the quality of the entrepreneur’s project is identified early, allowing to liquidate low-quality projects. The loan contract induces an efficient continuation decision if the entrepreneur has...
Persistent link: https://ebtypo.dmz1.zbw/10013041381
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The bond market impact of the South African Reserve Bank bond purchase programme
Havemann, Roy; Van Vuuren, Henk Janse; Steenkamp, Daan; … - 2022
Persistent link: https://ebtypo.dmz1.zbw/10012939554
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General Bayesian time-varying parameter VARs for modeling government bond yields
Fischer, Manfred M.; Hauzenberger, Niko; Huber, Florian; … - 2022
Persistent link: https://ebtypo.dmz1.zbw/10012498662
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Price impact on term structure
Brigo, Damiano; Graceffa, Federico; Neuman, Eyal - In: Quantitative finance 22 (2022) 1, pp. 171-195
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Central bank credibility during COVID-19 : evidence from Japan
Christensen, Jens H. E.; Spiegel, Mark - 2022
Persistent link: https://ebtypo.dmz1.zbw/10012807300
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How QE changes the nature of sovereign risk
Broeders, Dirk; Haan, Leo de; End, Jan-Willem van den - 2022
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Credit risk in G20 nations : a comparative analysis in international finance using option-adjusted-spreads
Boliari, Natalia; Topyan, Kudret - In: Journal of risk and financial management : JRFM 15 (2022) 1, pp. 1-23
Corporate bond yields are the manifestation of the cost of financing for private firms, and if properly evaluated, they provide researchers with valuable risk information. Within this context, this work is the first study producing corporate yield spreads for all S&P-rated bonds of G20 nations...
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Modelling persistence and non-linearities in the US treasury 10-year bond yields
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Yaya, … - 2022
This paper analyses persistence and non-linearities in quarterly and monthly US Treasury 10-year bond yields over the period 1962-2021 using two different fractional integration approaches including Chebyshev polynomials and Fourier functions respectively. The results for both quarterly and...
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A smooth shadow-rate dynamic Nelson-Siegel Model for yields at the zero lower bound
Opschoor, Daan; Wel, Michel van der - 2022
We propose a smooth shadow-rate version of the dynamic Nelson-Siegel (DNS) model to analyze the term structure of interest rates during the recent zero lower bound (ZLB) period. By relaxing the no-arbitrage restriction, our shadow-rate model becomes highly tractable with a closed-form yield...
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Modeling the yield curve of BRICS countries : parametric vs. machine learning techniques
Castello, Oleksandr; Resta, Marina - In: Risks : open access journal 10 (2022) 2, pp. 1-18
We compare parametric and machine learning techniques (namely: Neural Networks) for in-sample modeling of the yield curve of the BRICS countries (Brazil, Russia, India, China, South Africa). To such aim, we applied the Dynamic De Rezende-Ferreira five-factor model with time-varying decay...
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Monetary policy and asset price overshooting: a rationale for the Wall/Main Street disconnect
Caballero, Ricardo J.; Simsek, Alp - 2022
We analyze optimal monetary policy and its implications for asset prices, when aggregate demand has inertia and responds to asset prices with a lag. If there is a negative output gap, the central bank optimally overshoots aggregate asset prices (asset prices are initially pushed above their...
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The volatility of the "green" option-adjusted spread : evidence before and during the pandemic period
Ortolano, Alessandra; Nissi, Eugenia - In: Risks : open access journal 10 (2022) 3, pp. 1-13
The paper is an investigation on the impact of financial markets on the volatility of the green bonds credit risk component, measured by the option-adjusted spread/swap curve (OAS) before and during the pandemic period. To this purpose, after observing the dynamic joint correlations between all...
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The dynamics of rating based credit benchmark curves
Heidorn, Thomas; Schlamann, Sara - 2022
The paper models and analyses the dynamics of credit spread curves based on ratings over the period from 2004 to 2021. Using more than 1.5 million data points of individual bonds, instead of using index data, monthly asset swap spread (ASW) curves are constructed for all rating levels. The paper...
Persistent link: https://ebtypo.dmz1.zbw/10013207136
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Monetary policy, inflation outlook, and recession probabilities
Ajello, Andrea; Benzoni, Luca; Schwinn, Makena; Timmer, … - 2022
Why does the short-term slope of the yield curve predict recessions? We explore the economic forces underlying Treasury yields' fluctuations and highlight the roles of a tight monetary policy stance and expectations of lower inflation in predicting downturns. While the monetary policy stance is...
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Secular stagnation and low interest rates under the fear of a government debt crisis
Kobayashi, Keiichiro; Ueda, Kozo - In: Journal of money, credit and banking : JMCB 54 (2022) 4, pp. 779-824
Persistent link: https://ebtypo.dmz1.zbw/10013281314
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Treasury supply shocks and the term structure of interest rates in the UK
Lengyel, Andras - 2022
How does the additional debt issued by the government affect the term structure of interest rates? In this paper we identify Treasury supply shocks using intraday high-frequency data, by exploiting the institutional setup of the UK government bond primary market. We find that supply shocks have...
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Functional data analysis for Brazilian term structure of interest rate
Vaz, Lucélia Viviane; Raad, Rodrigo Jardim - In: Revista Brasileira de Finanças : RBFin 20 (2022) 1, pp. 82-104
Persistent link: https://ebtypo.dmz1.zbw/10013257699
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Cross-currency credit spreads : harvesting the idiosyncratic basis as a source of ARP
Henide, Karim - In: Journal of derivatives and quantitative studies 30 (2022) 2, pp. 74-88
This paper identifies the "idiosyncratic basis", the residual premia computed from stripping away the hypothetical cross-currency basis (CCB) from the cross-currency credit spread (CCCS) of eligible senior corporate dollardenominated bonds relative to their hypothetical euro-denominated...
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The Term Structure of Interest Rates as Predictor of Stock Market Volatility
Megaritis, Anastasios; Kontonikas, Alexandros; … - 2022
We examine the forecasting power of the volatility of the slope of the US-Treasury yield curve on US stock-market volatility. Consistent with theoretical asset pricing models, we find that the volatility of the slope of the term structure of interest rates has significant forecasting power on...
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Pricing and hedging bond options and sinking-fund bonds under the CIR model
Larguinho, Manuela; Dias, José Carlos; Braumann, Carlos A. - In: Quantitative finance and economics 6 (2022) 1, pp. 1-34
Persistent link: https://ebtypo.dmz1.zbw/10013494117
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On the deterministic-shift extended CIR model in a negative interest rate framework
Di Francesco, Marco; Kamm, Kevin - In: International Journal of Financial Studies : open … 10 (2022) 2, pp. 1-26
In this paper, we propose a new exogenous model to address the problem of negative interest rates that preserves the analytical tractability of the original Cox-Ingersoll-Ross (CIR) model with a perfect fit to the observed term-structure. We use the difference between two independent CIR...
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Fiscal consolidation under market's scrutiny : how do fiscal announcements affect bond yields
Švéda, Josef; Baxa, Jaromír; Geršl, Adam - 2022
We estimate the short-run reactions of bond spreads of selected EU member states vis-à-vis the German bund on fiscal announcements from January 2000 till December 2019. To avoid selection bias, the announcements are scrapped from the Factiva database, and then, depending on their tone, they are...
Persistent link: https://ebtypo.dmz1.zbw/10013252927
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A GARCH approach to modeling Chilean long-term swap yields
Akram, Tanweer; Mamun, Khawaja Abdullah al - 2022
This paper econometrically models the dynamics of the Chilean interbank swap yields based on macroeconomic factors. It examines whether the month-over-month change in the short-term interest rate has a decisive influence on the long-term swap yield after controlling for other factors, such as...
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Arbitrage-free Nelson-Siegel model for multiple yield curves
Brignone, Riccardo; Gerhart, Christoph; … - In: Mathematics and financial economics 16 (2022) 2, pp. 239-266
Persistent link: https://ebtypo.dmz1.zbw/10013167786
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Term structure modeling under volatility uncertainty
Hölzermann, Julian - In: Mathematics and financial economics 16 (2022) 2, pp. 317-343
Persistent link: https://ebtypo.dmz1.zbw/10013167938
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Mortgage-backed securities
Fuster, Andreas; Lucca, David O.; Vickery, James - 2022
Persistent link: https://ebtypo.dmz1.zbw/10013168786
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Stripping the discount curve : a robust machine learning approach
Filipović, Damir; Pelger, Markus; Ye, Ye - 2022
We introduce a robust, flexible and easy-to-implement method for estimating the yield curve from Treasury securities. This method is non-parametric and optimally learns basis functions in reproducing Hilbert spaces with an economically motivated smoothness reward. We provide a closed-form...
Persistent link: https://ebtypo.dmz1.zbw/10013169176
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A comparative analysis of parsimonious yield curve models with focus on the Nelson-Siegel, Svensson and Bliss versions
Wahlstrøm, Ranik Raaen; Paraschiv, Florentina; … - In: Computational economics 59 (2022) 3, pp. 967-1004
Persistent link: https://ebtypo.dmz1.zbw/10013169206
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Demand-supply imbalance risk and long-term swap spreads
Hanson, Samuel G.; Malkhozov, Aytek; Venter, Gyuiri - 2022
Persistent link: https://ebtypo.dmz1.zbw/10013172797
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Surges and instability : the maturity shortening channel
Li, Xiang; Su, Dan - 2022 - This version: April 8, 2022
Capital inflow surges destabilise the economy through a maturity shortening mechanism. The underlying reason is that firms have incentives to redeem their debt on demand to accommodate the potential liquidity needs of global investors, which makes international borrowing endogenously fragile....
Persistent link: https://ebtypo.dmz1.zbw/10013174516
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Demand-supply imbalance risk and long-term swap spreads
Hanson, Samuel G.; Malkhozov, Aytek; Venter, Gyuiri - 2022
Persistent link: https://ebtypo.dmz1.zbw/10013175025
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Crisis liquidity facilities with nonbank counterparties : lessons from the term Asset-Backed Securities Loan Facility
Meisenzahl, Ralf R.; Pence, Karen M. - 2022
The Term Asset-Backed Securities Loan Facility (TALF), which addressed strains in the asset-backed securities market, was an unusual crisis facility because it provided loans to a wide range of nonbank financial institutions. Using new, detailed loan-level data, we study whether institutional...
Persistent link: https://ebtypo.dmz1.zbw/10013175070
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What drives long-term interest rates? : evidence from the entire Swiss franc history 1852-2020
Hauzenberger, Niko; Kaufmann, Daniel; Stuart, Rebecca; … - 2022
We study domestic and international drivers of long-term interest rates using newly compiled financial market data for Switzerland starting in 1852. We use a time-varying parameter vector autoregressive model to estimate long-term trends in nominal interest rates, exchange rate growth, and...
Persistent link: https://ebtypo.dmz1.zbw/10013175583
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(Un)expected monetary policy shocks and term premia
Kliem, Martin; Meyer-Gohde, Alexander - In: Journal of applied econometrics 37 (2022) 3, pp. 477-499
Persistent link: https://ebtypo.dmz1.zbw/10013186692
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Long-run scarring effects of meltdowns in a small-scale nonlinear quadratic model
Lucidi, Francesco Simone; Semmler, Willi - 2022
Persistent link: https://ebtypo.dmz1.zbw/10013190436
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Economic Policy Uncertainty and the Yield Curve
Leippold, Markus; Matthys, Felix - 2022
Persistent link: https://ebtypo.dmz1.zbw/10013192097
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Agent-based model generating stylized facts of fixed income markets
Kopp, Antoine; Westphal, Rebecca; Sornette, Didier - 2022
Persistent link: https://ebtypo.dmz1.zbw/10013192099
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Stability of deposits in different interest rate regimes
Di Virgilio, Domenica - 2022
Persistent link: https://ebtypo.dmz1.zbw/10013192530
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The narrow channel of quantitative easing : evidence from YCC down under
Lucca, David O.; Wright, Jonathan H. - 2022
We study the recent Australian experience with yield curve control (YCC) of government bonds as perhaps the best evidence of how this policy might work in other developed economies. We interpret the evidence with a simple model in which YCC affects prices of both government and other bonds via...
Persistent link: https://ebtypo.dmz1.zbw/10013193336
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