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JEL Code: E43
341,923 Total downloads
Showing Papers 21 - 70 of 1,869
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To Cut or Not to Cut? That is the (Central Bank’s) Question in Search of the Neutral Interest Rate in Latin America IMF Working Paper No. 12/243
Nicolas E. Magud
and
Evridiki Tsounta
Date Posted: April 09, 201311 downloads
New Insights on the US OIS Spreads Term Structure During the Recent Financial Turmoil
Claudio Morana
Date Posted: April 06, 201313 downloads
First Order Replication of Spread Options
Sönke Blunck
Date Posted: April 06, 201337 downloads
Natural Rates of Interest and Sustainable Growth Cato Journal, Vol. 32, No. 2, 2012
Roger W. Garrison
Date Posted: April 06, 20136 downloads
Principal Measures of Investment Risk: The Price Density Function - A Tool for Finding Volatility, Sensitivity, Duration, Convexity
Tinashe Mangoro
Date Posted: April 05, 201323 downloads
Was There a 'Greenspan Conundrum' in the Euro Area? CREST Working Paper No. 2013-07
Gildas Lame
Date Posted: April 05, 20134 downloads
Continuous Time Mean-Variance Optimal Portfolio Allocation Under Jump Diffusion: An Numerical Impulse Control Approach
Duy Minh Dang and
Peter A. Forsyth
Date Posted: April 03, 201333 downloads
Bond Market Clienteles, the Yield Curve, and the Optimal Maturity Structure of Government Debt CEPR Discussion Paper No. DP9407
Stephane Guibaud
,
Yves Nosbusch
and
Dimitri Vayanos
Date Posted: April 03, 20133 downloads
Risk Premia, Volatilities, and Sharpe Ratios in a Non-Linear Term Structure Model
Peter Feldhütter
,
Christian Heyerdahl-Larsen
and
Philipp K. Illeditsch
Date Posted: April 01, 2013Last Revised: May 14, 201359 downloads
An Analytic Approximation Formula for Pricing Zero-Coupon Bonds Finance Research Letters 4 (2007) 116-126, 1997
Youngsoo Choi
and
Tony S. Wirjanto
Date Posted: March 31, 2013
Predicting Bank of England's Asset Purchase Decisions with MPC Voting Records MAGKS Joint Discussion Paper Series in Economics No. 22-2013
Matthias Neuenkirch
Date Posted: March 29, 20131 downloads
Are Public Preferences Reflected in Monetary Policy Reaction Functions? MAGKS Joint Discussion Paper Series in Economics No. 21-2013
Matthias Neuenkirch
Date Posted: March 29, 20133 downloads
A Simple Model of the Nominal Term Structure of Interest Rates
Youngsoo Choi
and
Tony S. Wirjanto
Date Posted: March 27, 201315 downloads
The Predictive Content of the Yield Curve for Inflation
Hans Dewachter ,
Leonardo Iania
and
Marco Lyrio
Date Posted: March 24, 201319 downloads
Information in the Yield Curve: A Macro-Finance Approach
Hans Dewachter ,
Leonardo Iania
and
Marco Lyrio
Date Posted: March 24, 201320 downloads
A Highly Efficient Implementation on GPU Clusters of PDE-Based Pricing Methods for Path-Dependent Foreign Exchange Interest Rate Derivatives
Duy Minh Dang ,
Christina Christara
and
Kenneth R. Jackson
Date Posted: March 23, 2013Last Revised: April 28, 201335 downloads
Determinants of the Rate of the Dutch Unsecured Overnight Money Market De Nederlandsche Bank Working Paper No. 374
Ronald Heijmans
,
Lola Hernández
and
Richard Heuver
Date Posted: March 23, 20137 downloads
High Yield Spreads, Real Economic Activity, and the Financial Accelerator
Pierangelo De Pace and
Kyle D. Weber
Date Posted: March 21, 2013Last Revised: May 10, 201323 downloads
Mortgage Hedging in Fixed Income Markets
Aytek Malkhozov
,
Philippe Mueller
,
Andrea Vedolin and
Gyuri Venter
Date Posted: March 21, 2013Last Revised: May 10, 201370 downloads
Economic Freedom and State Bond Ratings
Ariel R. Belasen
,
Rik W. Hafer
and
Shrikant Jategaonkar
Date Posted: March 20, 2013Last Revised: April 10, 20138 downloads
Corporate Bond Risk Premia
Christian Speck
Date Posted: March 19, 201344 downloads
Economic Crisis and Structural Changes in the Integration Process of Eastern European Countries Proceedings of 8th International Conference «Economic Integration, Competition and Cooperation», 6-9 April, Opatija, University of Rijeka – Faculty of Economics, CD with Full papers,
Giuliana Passamani
Date Posted: March 19, 2013Last Revised: May 21, 20137 downloads
Identification and Inference Using Event Studies CEPR Discussion Paper No. DP9388
Refet S. Gurkaynak and
Jonathan H. Wright
Date Posted: March 19, 20133 downloads
International Parity Relations between Albania and Euro Area Proceedings of 7th International Conference «Economic Integration, Competition and Cooperation», 2-3 April, 2009, Opatija, University of Rijeka – Faculty of Economics, CD with Full papers
,
Giuliana Passamani
and
Eva Perndoj
Date Posted: March 19, 2013Last Revised: May 22, 20131 downloads
Term Structure Dynamics with Macro Factors Using High Frequency Data
Hwagyun Kim
and
Hail Park
Date Posted: March 16, 201319 downloads
Prediction Bias Correction for Dynamic Term Structure Models
Eran Raviv
Date Posted: March 15, 201325 downloads
Monetary Policy Regimes: Implications for the Yield Curve and Bond Pricing
Kameliya Filipova
,
Francesco Audrino
and
Enrico G. De Giorgi
Date Posted: March 14, 201355 downloads
Interest Rate Pass-Through and Monetary Policy Asymmetry: A Journey into the Caucasian Black Box CESifo Working Paper Series No. 4131
Rustam Jamilov
and
Balázs Égert
Date Posted: March 08, 201316 downloads
The Pricing of G7 Sovereign Bond Spreads: The Times, They are A-Changin ECB Working Paper No. 1520
Antonello D'Agostino
and
Michael Ehrmann
Date Posted: March 08, 201323 downloads
The Austerity Paradox: I See Austerity Everywhere, But Not in the Statistics
Georg Erber
Date Posted: March 05, 201333 downloads
A Tractable Multi-Factor Dynamic Term-Structure Model for Risk Management
Michael Henseler
,
Christoph Peters
and
Roland C. Seydel
Date Posted: March 02, 201363 downloads
A Robust Approach to Risk Aversion ETH-RC-13-002
Antoine Bommier
and
Francois Le Grand
Date Posted: February 28, 20138 downloads
The Effect of Underreporting on LIBOR Rates FRB of St. Louis Working Paper No. 2013-008A
Andrea Monticini
and
Daniel L. Thornton
Date Posted: February 27, 201328 downloads
Endogenous Monetary Policy Shifts and the Term Structure: Evidence from Japanese Government Bond Yields
Junko Koeda
Date Posted: February 26, 2013Last Revised: February 28, 2013
On the Time-Varying Relationship between EMU Sovereign Spreads and Their Determinants ISEG Economics Working Paper No. 05/2013/DE/UECE
Antonio Afonso ,
Michael Arghyrou ,
George Bagdatoglou
and
Alexandros Kontonikas
Date Posted: February 25, 201313 downloads
Unconventional Government Debt Purchases as a Supplement to Conventional Monetary Policy Bank of Finland Research Discussion Paper No. 3/2013
Martin Ellison and
Andreas Tischbirek
Date Posted: February 23, 201315 downloads
Viewing Futures Network: Collaborative Learning and Innovation at Rabobank (Chapter 9) Scenarios for Success: Turning Insights into Action Edited by Bill Sharpe and Kees Van der Heijden
© 2007 John Wiley & Sons, Ltd,
Paul A. de Ruijter
Date Posted: February 22, 20135 downloads
Global House Price Fluctuations: Synchronization and Determinants IMF Working Paper No. 13/38
Hideaki Hirata
,
M. Ayhan Kose ,
Christopher Otrok
and
Marco E. Terrones
Date Posted: February 22, 201323 downloads
Asymmetry in Government Bond Returns CAMA Working Paper No. 12/2013
Ippei Fujiwara
and
Lena Koerber
Date Posted: February 21, 201315 downloads
The Sraffa-Hayek Debate on the Natural Rate of Interest
David Glasner
and
Paul R. Zimmerman
Date Posted: February 21, 2013172 downloads
The Fiscal Limit and Non-Ricardian Consumers
Alexander W. Richter
Date Posted: February 20, 20132 downloads
Everything You Always Wanted to Know About Multiple Interest Rate Curve Bootstrapping but Were Afraid to Ask
Ferdinando Ametrano
and
Marco Bianchetti
Date Posted: February 18, 2013Last Revised: April 03, 2013286 downloads
Cost of Borrowing Shocks and Fiscal Adjustment ECB Working Paper No. 1503
Oliver de Groot
,
Federic Holm-Hadulla
and
Nadine Leiner-Killinger
Date Posted: February 14, 201311 downloads
Interest Rate Volatility: A Consol Rate-Based Measure ECB Working Paper No. 1505
Vincent Brousseau and
Alain Durré
Date Posted: February 12, 201320 downloads
Interest Rates and Prices in an Inventory Model of Money with Credit FRB of Philadelphia Working Paper No. 13-5
Michael Dotsey and
Pablo Guerron-Quintana
Date Posted: February 08, 20135 downloads
On the Use of Sterilisation Bonds in Emerging Asia BOFIT Discussion Paper No. 1/2013
Aaron N. Mehrotra
Date Posted: February 05, 20134 downloads
A Robust Approach to Risk Aversion CER-ETH Center of Economic Research at ETH Zurich Working Paper No. 13/172
Antoine Bommier
and
Francois Le Grand
Date Posted: February 03, 2013Last Revised: May 07, 201346 downloads
Real Term Structure Forecasts of Consumption Growth
Efthymios Argyropoulos
and
Elias Tzavalis
Date Posted: February 03, 20134 downloads
Does the Macro Matter in Macro-Finance Term Structure Models?
Kwok Ping Tsang
Date Posted: February 02, 201326 downloads
Term Spread Regressions of the Rational Expectations Hypothesis of the Term Structure Allowing for Risk Premium Effects
Efthymios Argyropoulos
and
Elias Tzavalis
Date Posted: February 02, 20139 downloads
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