Iryna Kaminska

Bank of England

Threadneedle Street

London, EC2R 8AH

United Kingdom

SCHOLARLY PAPERS

11

DOWNLOADS

603

SSRN CITATIONS
Rank 26,716

SSRN RANKINGS

Top 26,716

in Total Papers Citations

9

CROSSREF CITATIONS

17

Scholarly Papers (11)

1.

A No-Arbitrage Structural Vector Autoregressive Model of the UK Yield Curve

Bank of England Working Paper No. 357
Number of pages: 33 Posted: 22 Dec 2008
Iryna Kaminska
Bank of England
Downloads 109 (255,730)
Citation 3

Abstract:

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Structural vector autoregression, interest rate risk, essentially affine term structure model

2.

Understanding the Real Rate Conundrum: An Application of No-Arbitrage Finance Models to the UK Real Yield Curve

Bank of England Working Paper No. 358
Number of pages: 46 Posted: 23 Dec 2008
Michael Joyce, Iryna Kaminska and Peter M. Lildholdt
Bank of England - Monetary Analysis, Bank of England and Bank of England - Monetary Analysis
Downloads 85 (301,120)
Citation 10

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Yield curve, term premia, conundrum

3.

A Global Model of International Yield Curves: No-Arbitrage Term Structure Approach

Bank of England Working Paper No. 419
Number of pages: 37 Posted: 13 Apr 2011 Last Revised: 22 Apr 2011
Iryna Kaminska, Andrew Meldrum and James Matthew Smith
Bank of England, Board of Governors of the Federal Reserve System and Bank of England
Downloads 76 (321,842)
Citation 3

Abstract:

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Term structure models, exchange rates

4.

Preferred - Habitat Investors and the US Term Structure of Real Rates

Bank of England Working Paper No. 435
Number of pages: 65 Posted: 28 Jul 2011
Iryna Kaminska, Dimitri Vayanos and Gabriele Zinna
Bank of England, London School of Economics and Bank of Italy
Downloads 72 (331,827)
Citation 12

Abstract:

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foreign reserves, term structure of interest rates, term premium, MCMC

5.

Official Demand for U.S. Debt: Implications for U.S. Real Rates

Number of pages: 94 Posted: 29 Jul 2014 Last Revised: 21 Dec 2018
Iryna Kaminska and Gabriele Zinna
Bank of England and Bank of Italy
Downloads 70 (337,089)

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term structure of real rates; quantitative easing; global imbalances; Bayesian econometrics

6.

A Global Factor in Variance Risk Premia and Local Bond Pricing

Bank of England Working Paper No. 576
Number of pages: 36 Posted: 22 Dec 2015
Iryna Kaminska and Matt Roberts-Sklar
Bank of England and Bank of England
Downloads 63 (356,272)
Citation 4

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Affine term structure models, option implied volatility, realized volatility, risk aversion

7.

The Impact of QE on Liquidity: Evidence from the UK Corporate Bond Purchase Scheme

Bank of England Working Paper No. 782
Number of pages: 48 Posted: 04 Mar 2019
Bank of England, Bank of England, Bank of England, University of Cambridge, Bank of England and Bank of England
Downloads 36 (451,033)
Citation 1

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quantitative easing, market liquidity, market-making, corporate bonds

8.

The Informational Content of Market-Based Measures of Inflation Expectations Derived from Government Bonds and Inflation Swaps in the United Kingdom

Bank of England Working Paper No. 551
Number of pages: 38 Posted: 02 Oct 2015 Last Revised: 09 Oct 2015
Bank of England - Monetary Analysis, Government of the United Kingdom - UK Debt Management Office (DMO), Bank of England and Bank of England
Downloads 34 (459,711)

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Affine arbitrage-free dynamic term structure model, breakeven inflation, inflation expectations, risk premia, funding liquidity, survey expectations

9.

Credit Easing versus Quantitative Easing: Evidence From Corporate and Government Bond Purchase Programs

Bank of England Working Paper No. 825, September 2019
Number of pages: 46 Posted: 25 Sep 2019
Stefania D'Amico and Iryna Kaminska
Federal Reserve Bank of Chicago and Bank of England
Downloads 24 (510,607)

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Quantitative Easing, Corporate Bond Purchase Scheme, Monetary Transmission Mechanism, Corporate Bonds

10.

Volatility in Equity Markets and Monetary Policy Rate Uncertainty

Bank of England Working Paper No. 700
Number of pages: 34 Posted: 07 Mar 2018
Iryna Kaminska and Matt Roberts-Sklar
Bank of England and Bank of England
Downloads 24 (510,607)

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Equity indices, monetary policy rate uncertainty, option implied volatility, realized volatility, risk-free interest rates, volatility forecasting

11.

Official Demand for US Debt: Implications for US Real Rates

Bank of England Working Paper No. 796 (2019)
Number of pages: 63 Posted: 06 May 2019
Iryna Kaminska and Gabriele Zinna
Bank of England and Bank of Italy
Downloads 10 (596,185)

Abstract:

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term structure of real rates, quantitative easing, global imbalances, Bayesian econometrics