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Displaying results 1 to 9 of 9.

  1. Does communicating a numerical inflation target anchor inflation expectations?
    evidence & bond market implications
    Author: Bundick, Brent; Smith, Andrew Lee
    Published: January 2018
    Publisher:  Federal Research Bank of Kansas City, [Kansas City, Mo.]

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    VS 359 (18,1)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    Series: KcFED research working papers ; RWP 18, 01 (January 2018)
    Subjects: Monetary Policy; Inflation; Structural Breaks; Term Structure of Interest Rates
    Scope: 1 Online-Ressource (circa 28 Seiten), Illustrationen
  2. A simple approach to estimate long-term interest rates
    Author: Driessen, Joost; Nijman, Theodore E.; Simon, Zorka
    Published: [2022]
    Publisher:  Leibniz Institute for Financial Research SAFE, Sustainable Architecture for Finance in Europe, [Frankfurt am Main]

    We propose an easy to implement yield curve extrapolation method to determine long-term interest rates suitable for regulatory valuation. We empirically evaluate this approach for the German nominal bond market, by estimating the model on bonds with... more

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    We propose an easy to implement yield curve extrapolation method to determine long-term interest rates suitable for regulatory valuation. We empirically evaluate this approach for the German nominal bond market, by estimating the model on bonds with maturities up to 20 years and assessing the out-of-sample performance for bonds with maturities beyond 20 years. Even though observed long-term yields are somewhat lower than the predicted yields, the method performs quite well empirically given its simplicity. We perform a case study on pension fund liability valuation and show that our proposed method would have a substantial impact on liability values.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/268747
    Series: SAFE working paper ; no. 238
    Subjects: Sovereign Bonds; Term Structure of Interest Rates; Segmentation; Liquidity; Flight-to-safety; Credit Risk
    Scope: 1 Online-Ressource (circa 45 Seiten), Illustrationen
  3. Equilibrium yield curves with imperfect information
    Author: Tanaka, Hiroatsu
    Published: December 2022
    Publisher:  Divisions of Research & Statistics and Monetary Affairs, Federal Reserve Board, Washington, D.C.

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    VS 412
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Edition: This draft: December 2022
    Series: Finance and economics discussion series ; 2022, 086
    Subjects: Term Premium; Term Structure of Interest Rates; Yield Curve; DSGE Model; Imperfect Information; Learning
    Scope: 1 Online-Ressource (circa 50 Seiten), Illustrationen
  4. Term structure dynamics, macro-finance factors and model uncertainty
    Author: Byrne, Joseph P.; Cao, Shuo; Korobilis, Dimitris
    Published: 2015
    Publisher:  Univ. of Glasgow, Adam Smith Business School, Glasgow

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Discussion paper series / University of Glasgow, Adam Smith Business School ; 2015,08
    Subjects: Term Structure of Interest Rates; Nelson-Siegel; Dynamic Model Averaging; Bayesian Methods; Term Premia
    Scope: Online-Ressource (73 S.), graph. Darst.
  5. Co-movement, spillovers and excess returns in global bond markets
    Author: Byrne, Joseph P.; Cao, Shuo; Korobilis, Dimitris
    Published: 2015
    Publisher:  Univ. of Glasgow, Adam Smith Business School, Glasgow

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Discussion paper series / University of Glasgow, Adam Smith Business School ; 2015,12
    Subjects: Global Bond Markets; Term Structure of Interest Rates; Shocks to Fundamentals and Non-Fundamentals; Co-Movement; Contagion; Excess Return
    Scope: Online-Ressource (77 S.), graph. Darst.
  6. Macroeconomics and term structure of interest rates
    integrated framework, uncertainty and forecasting
    Author: Eggersglüß, Sven
    Published: WS 2020/21

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    Universitätsbibliothek Braunschweig
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    Staats- und Universitätsbibliothek Bremen
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    Universitätsbibliothek Clausthal
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    Fachhochschule Erfurt, Hochschulbibliothek
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    Universitätsbibliothek Freiburg
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    Niedersächsische Staats- und Universitätsbibliothek Göttingen
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    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    Staats- und Universitätsbibliothek Hamburg Carl von Ossietzky
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    Technische Universität Hamburg, Universitätsbibliothek
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    Bibliothek der Hochschule Hannover
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    Bibliothek im Kurt-Schwitters-Forum
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    Technische Informationsbibliothek (TIB) / Leibniz-Informationszentrum Technik und Naturwissenschaften und Universitätsbibliothek
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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Zentrale Hochschulbibliothek Lübeck
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    Leuphana Universität Lüneburg, Medien- und Informationszentrum, Universitätsbibliothek
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    Hochschule Magdeburg-Stendal, Hochschulbibliothek
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    Hochschule Osnabrück, Bibliothek Campus Westerberg
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    Hochschule Magdeburg-Stendal, Standort Stendal, Bibliothek
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    UB Weimar
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    Source: Union catalogues
    Language: English
    Media type: Dissertation
    Format: Online
    Other identifier:
    FRUB-opus-228763
    Subjects: Macroeconomics; Term Structure of Interest Rates; DSGE models; Bayesian Estimation; Term Structure and macroeconomic modeling
    Scope: 1 Online-Ressource (351 Seiten), Diagramme
    Notes:

    Dissertation, Albert-Ludwigs-Universität Freiburg i. Br., 2022
  7. Time-varying vector error-correction models
    estimation and inference
    Author: Gao, Jiti; Peng, Bin; Yan, Yayi
    Published: [2023]
    Publisher:  [Monash University, Department of Econometrics and Business Statistics], [Victoria, Australia]

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 796
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Working paper / Monash University, Department of Econometrics and Business Statistics ; no. 23, 11 (May 2023)
    Subjects: Cointegration; Gaussian Approximations; Granger Representation Theorem; Iterated Time-Varying Functions; Term Structure of Interest Rates
    Scope: 1 Online-Ressource (circa 71 Seiten), Illustrationen
  8. Banks' net interest margin and changes in the term structure
    Author: Memmel, Christoph; Heckmann, Lotta
    Published: [2023]
    Publisher:  Deutsche Bundesbank, Frankfurt am Main

    Understanding the impact of changing interest rates onto banks' net interest margin is of central importance for various stakeholders. The primary focus lies often on changes in the interest level. However, changes in the steepness are a second... more

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    Leibniz-Institut für Wirtschaftsforschung Halle, Bibliothek
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    Understanding the impact of changing interest rates onto banks' net interest margin is of central importance for various stakeholders. The primary focus lies often on changes in the interest level. However, changes in the steepness are a second driver which also significantly impacts banks' interest business. We model the impact of an interest rate shock on a bank's net interest margin, where this shock consists not only of a level shift, but also of a change in the steepness of the term structure. Our simplified model can replicate stylized features of different bank business models.The outcome of our parsimonious model for a bank's interest business is broadly in line with the results of a quantitative survey among German small and medium-sized banks.

     
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    Source: Union catalogues
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9783957299420
    Other identifier:
    hdl: 10419/273723
    Series: Discussion paper / Deutsche Bundesbank ; no 2023, 11
    Subjects: Banks' net interest margin; Term Structure of Interest Rates
    Scope: 1 Online-Ressource (circa 31 Seiten), Illustrationen
  9. Quantitative easing, the repo market, and the term structure of interest rates
    Author: Jappelli, Ruggero; Pelizzon, Loriana; Subrahmanyam, Marti G.
    Published: [2023]
    Publisher:  Leibniz Institute for Financial Research SAFE, Sustainable Architecture for Finance in Europe, [Frankfurt am Main]

    We develop a quantity-driven general equilibrium model that integrates the term structure of interest rates with the repurchase agreements (repo) market to shed light on the combined effects of quantitative easing (QE) on the bond and money markets.... more

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    We develop a quantity-driven general equilibrium model that integrates the term structure of interest rates with the repurchase agreements (repo) market to shed light on the combined effects of quantitative easing (QE) on the bond and money markets. We characterize in closed form the endogenous dynamic interaction between bond prices and repo rates, and show (i) that repo specialness dampens the impact of any given quantity of asset purchases due to QE on the slope of the term structure and (ii) that bond scarcity resulting from QE increases repo specialness, thus strengthening the local supply channel of QE.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/273560
    Series: SAFE working paper ; no. 395 (July 2023)
    Subjects: Term Structure of Interest Rates; Repo Specialness; Money Market; Quantitative Easing
    Scope: 1 Online-Ressource (circa 70 Seiten), Illustrationen