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1.
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Replication files for: Dahlhaus, T. and Gambetti L., Noisy Monetary Policy Announcements, Journal of Applied Econometrics. MainProg_JAE.m replicates the analysis in Sect[...]
2024 | Dataset | Reproducibility Package - Ensemble de données pour la reproductibilité des résultats de recherche |
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2.
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his paper presents an equilibrium bond-pricing model that jointly explains the upward-sloping nominal and real yield curves and the violation of the expectations hypothes[...]
2020 | Dataset | Reproducibility Package - Ensemble de données pour la reproductibilité des résultats de recherche |
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3.
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Interest rates in China are composed of a mix of both market-determined interest rates (interbank rates and bond yields), and regulated interest rates (retail lending and[...]
2013 | Text | Staff Working Paper - Document de travail du personnel |
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4.
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This paper proposes a novel regression-based approach to the estimation of Gaussian dynamic term structure models that avoids numerical optimization. This new estimator i[...]
2013 | Text | Staff Working Paper - Document de travail du personnel |
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5.
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Most central banks effect changes to their target or policy rate in discrete increments (e.g., multiples of 0.25%) following public announcements on scheduled dates. Stil[...]
2012 | Text | Staff Working Paper - Document de travail du personnel |
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6.
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We provide a decomposition of nominal yields into real yields, expectations of future inflation and inflation risk premiums when real bonds or inflation swaps are unavail[...]
2012 | Text | Staff Working Paper - Document de travail du personnel |
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7.
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We construct a multi-country affine term structure model that contains unspanned macroeconomic and foreign exchange risks. The canonical version of the model is derived a[...]
2012 | Text | Staff Working Paper - Document de travail du personnel |
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8.
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Recent asset pricing models of limits to arbitrage emphasize the role of funding conditions faced by financial intermediaries. In the US, the repo market is the key fundi[...]
2009 | Text | Staff Working Paper - Document de travail du personnel |
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9.
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McCallum (1994a) proposes a monetary rule where policymakers have some tendency to resist rapid changes in exchange rates to explain the forward premium puzzle. We estima[...]
2008 | Text | Staff Working Paper - Document de travail du personnel |
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10.
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Model risk is a constant danger for financial economists using interest-rate forecasts for the purposes of monetary policy analysis, portfolio allocations, or risk-manage[...]
2008 | Text | Staff Working Paper - Document de travail du personnel |
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