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  1. Discount rates, debt maturity, and the fiscal theory
    Autor*in: Corhay, Alexandre; Kind, Thilo; Kung, Howard; Morales, Gonzalo
    Erschienen: [2021]
    Verlag:  Leibniz Institute for Financial Research SAFE, Sustainable Architecture for Finance in Europe, [Frankfurt am Main]

    This paper examines how the transmission of government portfolio risk arising from maturity operations depends on the stance of monetary/fiscal policy. Accounting for risk premia in the fiscal theory allows the government portfolio to affect the... mehr

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    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 431
    Fernleihe:
    keine Fernleihe

     

    This paper examines how the transmission of government portfolio risk arising from maturity operations depends on the stance of monetary/fiscal policy. Accounting for risk premia in the fiscal theory allows the government portfolio to affect the expected inflation, even in a frictionless economy. The effects of maturity rebalancing on expected inflation in the fiscal theory directly depend on the conditional nominal term premium, giving rise to an optimal debt maturity policy that is state dependent. In a calibrated macro-finance model, we demonstrate that maturity operations have sizable effects on expected inflation and output through our novel risk transmission mechanism.

     
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/243282
    Schriftenreihe: SAFE working paper ; no. 323
    Schlagworte: Term structure of interest rates; Fiscal theory of the price level; Bond risk premia; Government debt; DSGE models; Nonlinear solution methods
    Umfang: 1 Online-Ressource (circa 63 Seiten), Illustrationen
  2. Tracing the impact of the ECB's asset purchase programme on the yield curve
    Autor*in: Eser, Fabian; Lemke, Wolfgang; Nyholm, Ken; Radde, Sören; Vladu, Andreea L.
    Erschienen: 31 January 2020
    Verlag:  Verein für Socialpolitik, [Köln]

    We trace the impact of the European Central Bank (ECB) asset purchase programme (APP) on the yield curve. Exploiting granular information on sectoral asset holdings and ECB asset purchases, we construct a novel measure of the "free-float of duration... mehr

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    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DSM 13
    Fernleihe:
    keine Fernleihe

     

    We trace the impact of the European Central Bank (ECB) asset purchase programme (APP) on the yield curve. Exploiting granular information on sectoral asset holdings and ECB asset purchases, we construct a novel measure of the "free-float of duration risk" borne by pricesensitive investors. We include this supply variable in an arbitrage-free term structure model in which central bank purchases reduce the free-float of duration risk and hence compress term premia of yields. We estimate the stock of current and expected future APP holdings to reduce the 10y term premium by almost one percentage point. This reduction is persistent, with a half-life of five years. The expected length of the reinvestment period after APP net purchases has a significant impact on term premia.

     
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/224540
    Schriftenreihe: Jahrestagung 2020 / Verein für Socialpolitik ; 41
    Schlagworte: Term structure of interest rates; term premia; central bank asset purchases; monetarypolicy; European Central Bank
    Umfang: 1 Online-Ressource (circa 54 Seiten), Illustrationen
  3. Discount rates, debt maturity, and the fiscal theory
    Autor*in: Corhay, Alexandre; Kind, Thilo; Kung, Howard; Morales, Gonzalo
    Erschienen: [2021]
    Verlag:  [University of Toronto - Rotman School of Management], [Toronto]

    This paper examines how the transmission of government portfolio risk arising from maturity operations depends on the stance of monetary/fiscal policy. Accounting for risk premia in the fiscal theory allows the government portfolio to affect the... mehr

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    Resolving-System (kostenfrei)
    Verlag (kostenfrei)

    Standort:
    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
    Fernleihe:
    keine Fernleihe

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Fernleihe:
    keine Fernleihe

     

    This paper examines how the transmission of government portfolio risk arising from maturity operations depends on the stance of monetary/fiscal policy. Accounting for risk premia in the fiscal theory allows the government portfolio to affect the expected inflation, even in a frictionless economy. The effects of maturity rebalancing on expected inflation in the fiscal theory directly depend on the conditional nominal term premium, giving rise to an optimal debt maturity policy that is state dependent. In a calibrated macro-finance model, we demonstrate that maturity operations have sizable effects on expected inflation and output through our novel risk transmission mechanism

     
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    Schriftenreihe: [Rotman School of Management working paper ; no. 3891603]
    Schlagworte: Term structure of interest rates; Fiscal theory of the price level; Bond riskpremia; Government debt; DSGE models; Nonlinear solution methods
    Umfang: 1 Online-Ressource (circa 61 Seiten), Illustrationen
  4. Rigid high street, flexible Wall Street
    Autor*in: Šustek, Roman
    Erschienen: October 14, 2021
    Verlag:  CFM, Centre for Macroeconomics, London

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    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    VS 637
    Fernleihe:
    keine Fernleihe
    Export in Literaturverwaltung   RIS-Format
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Schriftenreihe: CFM discussion paper series ; CFM-DP 2021, 22
    Schlagworte: Term structure of interest rates; recursive preferences; stochastic volatility; hand-to-mouth households; sticky prices
    Umfang: 1 Online-Ressource (circa 58 Seiten), Illustrationen
  5. Shrinking the Term Structure
    Autor*in: Filipović, Damir; Pelger, Markus; Ye, Ye
    Erschienen: [2022]
    Verlag:  SSRN, [S.l.]

    We develop a conditional factor model for the term structure of treasury bonds, which unifies non parametric curve estimation with cross-sectional asset pricing. Our factors correspond to the optimal non-parametric basis functions spanning the... mehr

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    Standort:
    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
    Fernleihe:
    keine Fernleihe

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Fernleihe:
    keine Fernleihe

     

    We develop a conditional factor model for the term structure of treasury bonds, which unifies non parametric curve estimation with cross-sectional asset pricing. Our factors correspond to the optimal non-parametric basis functions spanning the discount curve. They are investable portfolios estimated with cross-sectional ridge regressions and derived from economic first principles. Empirically, we show that four factors explain the discount bond excess return curve and term structure premium. Cash flows are covariances, as cash flows of coupon bonds fully explain the factor exposure. The term structure premium depends on the market complexity measured by the time-varying importance of higher order factors

     
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    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    Schriftenreihe: Swiss Finance Institute Research Paper ; No. 61, 2022
    Schlagworte: Term structure of interest rates; bond returns; factor space; U.S. Treasury securities; non-parametric method; principal components; machine learning in finance; reproducing kernel Hilbert space
    Weitere Schlagworte: Array
    Umfang: 1 Online-Ressource (60 p)
    Bemerkung(en):

    Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August 4, 2022 erstellt
  6. Explaining exchange rate movements using yield curves in emerging countries
    Autor*in: Duran, Murat
    Erschienen: [2018]
    Verlag:  Central Bank of the Republic of Turkey, Head Office, Structural Economic Research Department, Ankara, Turkey

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    VS 496
    Fernleihe:
    keine Fernleihe
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    Hinweise zum Inhalt
    Volltext (kostenfrei)
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Schriftenreihe: Working paper / Türkiye Cumhuriyet Merkez Bankası ; no: 18, 20 (November 2018)
    Schlagworte: Uncovered interest parity; Term structure of interest rates; Exchange rates
    Umfang: 1 Online-Ressource (circa 30 Seiten), Illustrationen