Is Rotemberg pricing justified by macro data?
Keywords: C11; E43; E58; Bayesian estimation; Calvo pricing; Rotemberg pricing; Zero lower bound;
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An empirical application of the EVA® framework to business cycles
Keywords: E32; E43; G00; Business cycles; EVA®; Economic value added; Average period of production; Roundaboutness;
Country differences in the ECB monetary reaction function
Keywords: E43; E52; E58; European Central Bank; Taylor reaction function; Country dispersion; Standard deviation;
The impact of the ECB's conventional and unconventional monetary policies on stock markets
Keywords: Monetary policy surprises; Stock prices; Event studies approach; Identification through heteroscedasticity; E43; E44; E52;
Time-varying mark-up and the ECB monetary policy transmission in a highly non linear framework
Keywords: E43; E52; F36; C32; Interest rate pass-through; Cointegration; ESTAR/LSTAR parameterization; EMU;
The informational content of the embedded deflation option in TIPS
Keywords: E31; G12; E43; E44; TIPS; Embedded option; Inflation; Deflation; Term structure;
A practical approach to constructing price-based funding liquidity factors
Keywords: G01; G12; G21; G23; E43; Funding liquidity; Flight-to-quality; Affine term structure models; Liquidity premium;
Funding liquidity constraints and the forward premium anomaly in a DSGE model
Keywords: Carry trade; Collateralized loan; Nominal rigidities; E43; E44; G15;
A comparison of the information in the LIBOR and CMT term structures of interest rates
Keywords: E43; Term structure; Expectations hypothesis; LIBOR; Forward rates;
The impact of fiscal policy announcements by the Italian government on the sovereign spread: A comparative analysis
Keywords: Fiscal policy announcements; Political communication; Sovereign debt crisis; Interest rate spread; GARCH models; E43; E62; G01; G12;
A regime-switching Nelson-Siegel term structure model of the macroeconomy
Keywords: E43; E44; G12; Economic activity; Macro factors; MCMC; Nelson-Siegel model; The term structure;
Why do term structures in different currencies co-move?
Keywords: G12; G15; E43; C58Macro-finance term structure model; Interest rates; Cross-country co-movement
Buscando simetrÃas y asimetrÃas en la polÃtica monetaria de la Reserva Federal, 1966-2012
Keywords: banco central; reglas monetarias; asimetrÃas; inflación.; E43; E51; E52; E58.;
Monetary policy and stock prices - Cross-country evidence from cointegrated VAR models
Keywords: E43; E58; Asset prices; Cointegrated VAR Model; Central banks; Monetary policy; Vector error correction model;
GDP growth and the yield curvature
Keywords: E43; E44; E47; G12; Term structure; Economic growth; In-sample; Out-of-sample; Tent-shaped yield curve factor;
Testing for a break in the persistence in yield spreads of EMU government bonds
Keywords: C22; E43; G12; Testing uncovered interest parity; Fractional integration; Changing persistence;
Valuation of quanto options in a Markovian regime-switching market: A Markov-modulated Gaussian HJM model
Keywords: C02; E43; G13; G15; HJM; Markov chain; Esscher transform; Quanto options;
The term structure of interest rates as predictor of stock returns: Evidence for the IBEX 35 during a bear market
Keywords: E43; G15; C20; Term structure of interest rates; Stock returns; Trading strategies;
Price discovery process in the emerging sovereign CDS and equity markets
Keywords: Price discovery; CDS; Equity; Emerging markets; C13; E43; G15;
Adaptive dynamic Nelson-Siegel term structure model with applications
Keywords: C32; C53; E43; E47; Yield curve; Term structure of interest rates; Local parametric models; Forecasting;
What explains deviations in the unbiased expectations hypothesis? Market irrationality vs. the peso problem
Keywords: E43; G12; G14Expectations hypothesis; Term structure of interest rates; Sentiment; Expectation error; Peso problem
La estructura temporal de los tipos de interés: estrategias de negociación en renta fija
Keywords: E43; G12; Estructura temporal de tipos de interés; Duración y convexidad; Estrategias de negociación; Renta fija; E43; G12; Term structure of interest rates; Duration and convexity; Trading strategies; Fixed income;
The pricing of G7 sovereign bond spreads - The times, they are a-changin
Keywords: E43; E44; F34; G15; Sovereign spreads; Fiscal policy; Time-varying coefficients;
Time-changed Lévy LIBOR market model: Pricing and joint estimation of the cap surface and swaption cube
Keywords: C51; E43; G13; LIBOR market models; Time-changed Lévy process; Caps volatilities; Swaption cube; Unscented Kalman filter;
E-stability in the stochastic Ramsey model
Keywords: E62; D84; E21; E43; Euler-equation learning; Infinite-horizon learning; Expectational stability;
Do FOMC forecasts add value to staff forecasts?
Keywords: Federal Open Market Committee; Forecasting; E43; E52;
Modifying Taylor reaction functions in the presence of the zeroâlowerâbound - Evidence for the ECB and the Fed
Keywords: E43; E52; E58; Zeroâlowerâbound; Federal Reserve; European Central Bank; Equilibrium real interest rate; Taylor rule;
The information content of Eonia swap rates before and during the financial crisis
Keywords: D84; E43; G13; EONIA; Euribor; Swap; Expectations hypothesis; Cointegrated VAR models;
No-arbitrage Near-Cointegrated VAR(p) term structure models, term premia and GDP growth
Keywords: C51; E43; E44; E47; G12; Averaging estimators; Persistence problem; Near-cointegration analysis; No-arbitrage affine term structure model; Term premia; GDP growth; New Information Response Functions;
The leading indicator property of the term spread and the monetary policy factors in Japan
Keywords: Leading indicator property of the term spread (LIPTS); Term spread; Future economic activity; Monetary policy; E32; E43; E44;
The interbank market after the financial turmoil: Squeezing liquidity in a “lemons market” or asking liquidity “on tap”
Keywords: E43; E44; E58; G21; Interbank markets; Credit risk; Liquidity risk; Financial crisis; Euribor spread;
What is the risk of European sovereign debt defaults? Fiscal space, CDS spreads and market pricing of risk
Keywords: E43; F30; G01; H631; CDS spreads; Sovereign risk; Fiscal space; Default risk; Eurozone;
Interest rate convergence across maturities: Evidence from bank data in an emerging market economy
Keywords: C33; E43; G21; Convergence clubs; Interest rates; Maturity; Colombia;
The effect of underreporting on LIBOR rates
Keywords: G10; E43; E44LIBOR rate; Default risk; Structural breaks
General equilibrium with heterogeneous participants and discrete consumption times
Keywords: D51; D58; E43; C68General equilibrium; Computable general equilibrium models; Production economies; Term structure of interest rates; Determination of interest rates
Predicting output using the entire yield curve
Keywords: C22; E43; E44; E47Yield curve; Term spread; Nelson–Seigel model; Forecasting
Quantile cointegration analysis of the Fisher hypothesis
Keywords: C32; E31; E43; Fisher hypothesis; Quantile cointegration regression;
New tips from TIPS: Identifying inflation expectations and the risk premia of break-even inflation
Keywords: G12; C32; E43; E31Treasury inflation protected security; Break-even inflation; Inflation expectation; Risk premium; Common factor model; ARCH
Inflation ambiguity and the term structure of U.S. Government bonds
Keywords: D53; D81; E43; E44; E52
Term structure dynamics with macro-factors using high frequency data
Keywords: C13; C32; E43; G12Term structure estimation; Latent macro-factors; Yield forecasts
International Bond Risk Premia
Keywords: E43; F31; G12; G15; Affine model; Local and global factors; Time-varying risk premia;
Competition in banks’ lending business and its interference with ECB monetary policy
Keywords: E43; E52; E58; L16Banking competition; European Monetary Union; Lerner Index; Monetary policy
Why Gaussian macro-finance term structure models are (nearly) unconstrained factor-VARs
Keywords: G12; E43; C58; Macro-finance term structure model; Filtering; No-arbitrage model; Factor model;
The pricing behaviour of Australian banks and building societies in the residential mortgage market
Keywords: E43; E58Mortgage rates; Asymmetric behaviour; Banks; Building societies; Australia
Combining term structure of interest rate forecasts: The Brazilian case
Keywords: C53; E43; E47; G17Interest rate; Forecast model; Combined forecastTaxa de juros; modelo de previsão; previsão combinada
Time-varying monetary-policy rules and financial stress: Does financial instability matter for monetary policy?
Keywords: E43; E52; E58Financial stress; Taylor rule; Monetary policy; Time-varying parameter model; Endogenous regressors
Flow and stock effects of large-scale treasury purchases: Evidence on the importance of local supply
Keywords: E43; E52; E58; E65; G12; G14Yield curve; Quantitative easing; LSAP; Preferred habitat; Limits of arbitrage
Friedman's monetary economics in practice
Keywords: Milton Friedman; Financial crisis; Monetary aggregates; CreditE41; E43; E51; E52
Rare event risk and emerging market debt with heterogeneous beliefs
Keywords: D51; D52; E43; F34; G12Rare event risk; Sovereign debt; Jump-diffusion model; Heterogeneous beliefs; Emerging market
The realized forward term premium in the repo market
Keywords: Expectations hypothesis; State space; Repurchase agreement market; E43; C32; G21;