Search Results

Financial Market Functioning and Monetary Policy: Japan's Experience,
Naohiko Baba, in Monetary and Economic Studies (2006)
Keywords: Bank of Japan; Term structure of interest rates; Zero lower bound; Zero interest rates; Quantitative monetary easing policy; Bank risk premium

A Segmented and Observable Yield Curve for Colombia,
Carlos Castro-Iragorri, Juan Felipe Peña and Cristhian Rodríguez, in Journal of Central Banking Theory and Practice (2021)
Keywords: Term structure, Nelson-Siegel, Preferred habitat theory.

Determinants of the Government Bond Yield: Evidence from a Highly Euroised Small Open Economy,
Maja Mihelja ?aja, Drago Jakov?evi? and Lucija Vi?i?, in International Journal of Economic Sciences (2018)
Keywords: government bonds, macroeconomic fundamentals, structural changes, linear regression, The Republic of Croatia

Conditional Correlation on CEE Stock Markets,
Kralik Lóránd István, in Ovidius University Annals, Economic Sciences Series (2018)
Keywords: stock index returns, multivariate GARCH, conditional correlation, diagonal BEKK, financial crises

Capital Asset Pricing Model Using Fuzzy Data and Application for the Russian Stock Market,
A. Brychykova, in Journal of the New Economic Association (2019)
Keywords: fuzzy sets, fuzzy regression, capital asset pricing model, stock market

The Impact of Oil Price Uncertainty on Stock Returns in Gulf Countries,
Shabbir Ahmad, in International Journal of Energy Economics and Policy (2019)
Keywords: GCC, Stock markets, Oil price shocks, Impulse response function, Granger Causality test

Time-Varying Risk Premium in the Czech Capital Market: Did the Market Experience a Structural Shock in 2008–2009?,
Vit Posta, in Czech Journal of Economics and Finance (Finance a uver) (2012)
Keywords: CAPM, CCAPM, multivariate GARCH-in-mean, risk premium, structural changes

Comparacion de modelos de prediccion de retornos accionarios en el Mercado Accionario Chileno: capm, fama y french y reward beta,
Werner Kristjanpoller Rodriguez and Carolina Liberona Maturana, in EconoQuantum, Revista de Economia y Finanzas (2010)
Keywords: CAPM, Reward Beta, Modelo tres Factores de Fama y French.

Volatility Spillovers and Correlation Between Cryptocurrencies and Asian Equity Market,
Nidhi Malhotra and Saumya Gupta, in International Journal of Economics and Financial Issues (2019)
Keywords: Cryptocurrencies, Asian Equity Market, Volatility Spillovers, Dynamic Conditional Correlation

Brazilian Regulatory Interventions, Volatility and Contagion: A VIRF analysis,
Gabriel Godofredo Fiuza de Bragança, Marcelo de Sales Pessoa and Katia Rocha, in Brazilian Review of Finance (2014)
Keywords: Finance, Multivariate GARCH, Regulatory Risk, VIRF

Modelos de Tasas de Interés en Chile: Una Revisión,
Sergio Zúñiga, in Latin American Journal of Economics-formerly Cuadernos de Economía (1999)
Keywords: Term structure, interest rates, GARCH

Modelos de Tasas de Interés en Chile: Una Revisión,
Sergio Zúñiga, in Latin American Journal of Economics-formerly Cuadernos de Economía (1999)
Keywords: Term structure, interest rates, GARCH

YIELD CURVE INVESTING: OPTIMIZING RISKADJUSTED RETURNS,
Charles Corcoran, in Global Journal of Business Research (2013)
Keywords: Yield Curve, Duration, Interest Rate Risk, Maturity, Mean Reversion, Risk-Adjusted Return

Response [Great and Almost-Great Magnitudes for Economists],
Julian L Simon, in Journal of Economic Perspectives (1991)

Inflation expectations and Real Return Bonds,
Agathe Côté, Jocelyn Jacob, John Nelmes and Miles Whittingham, in Bank of Canada Review (1996)

THE COX, INGERSOLL AND ROSS EXTENDED MODEL,
Wojciech Szatzschneider, in Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance) (2002)
Keywords: Term structure of interest rates, Bessel processes, Girsanov theorem, Time transformation, Bonds and option pricing

INTEREST RATE, EXCHANGE RATE AND INFLATION IN ROMANIA. CORRELATES AND INTERCONNECTION,
Gheorghe Morosan and Ioana Madalina Zubas, in Journal of Public Administration, Finance and Law (2015)
Keywords: interest rate, inflation rate, exchange rate,

INTEREST RATE RISK IN BANKING – SOURCES AND EFFECTS,
Igor Zivko, in Economic Thought and Practice (2006)
Keywords: bank, interest rate risk, interest rate risk sources, interest rate risk effects, ALCO

PERFORMANCES OF ENTERPRISES IN CROATIAN INFORMATION-COMMUNICATION SECTOR (ICT),
Zoran Kovacevic and Ksenija Vukovic, in Economic Thought and Practice (2006)
Keywords: post-entry performances, ICT sector, enterprise size, industry heterogeneity

THE ANALYSIS OF TOTAL COMPENSATION OF THE INCREASE IN INSTALLMENTS OF THE LOAN WITH CURRENCY CLAUSE BY EXTENDING PAYMENT PERIOD,
Drago Franciskovic, in Economic Thought and Practice (2011)
Keywords: annuity, instalment, loan, foreign currency clause, loan with a currency clause, compensation, increase in annuity, rate of extension of repayment period

Algorithms For The Processes Of Establishing Prices And Balanced Bank Interests,
Carina-Elena Stegaroiu and Stegaroiu Valentin, in Annals of the University of Petrosani, Economics (2010)
Keywords: market economy, banking interest, cost of resources, economic system

The term structure of interest rates as a leading indicator of economic activity: A technical note,
Kevin Clinton, in Bank of Canada Review (1995)

Libéralisation de la rémunération des dépôts à vue en France: premier bilan,
Elisabeth Fonteny, R. Kierzenkowski and J. Lascar, in Bulletin de la Banque de France (2006)
Keywords: Rémunération des dépôts à vue, coût d’opportunité, placements alternatifs, motif de transaction.

Interpreting the Term Structure of Interbank Rates in Hong Kong,
Stefan Gerlach, from C.E.P.R. Discussion Papers (2002)
Keywords: Term structure of interest rates; Expectations hypothesis; Hong kong

Does the Fisher Effect Apply in Greece? A Cointegration Analysis,
John M. Paleologos and Spyros E. Georgantelis, in Economia Internazionale / International Economics (1999)

Determinants of the Yield Curve - a Model for the Relationship Between Risk and Yield,
Douglas Carr, in Journal of Financial Transformation (2009)
Keywords: Interest rates; yield curve; bond yield; riskless interest rate; expectations; financial markets; interest rate expectations

Paridad entre la tasa de interés real interna y externa: Notas sobre el caso colombiano,
Patricia Correa, in Coyuntura Económica (1992)
Keywords: Informes de Investigación, Tasa de Interés, Teoría

Long-Term Interest Rate Convergence in Europe and the Probability of EMU,
Ignazio Angeloni and Roberto Violi, from Banca Italia - Servizio di Studi (1997)
Keywords: MONETARY AREAS ; INTEREST RATE ; EUROPE

Measuring the long-term perception of monetary policy and the term structure,
Nicolas Rautureau, from Bank of Finland (2004)
Keywords: expectations hypothesis, monetary policy, changepoints

What is the role of the interest rate?,
Luis E. Rivero Medina, in Economía (1988)
Keywords: Sector real, sector financiero, tasa de interés.

Deposit Rate and Lending Rate in Jordan, Which leads Which? A Cointegration Analysis,
Osama Sweidan, in Zagreb International Review of Economics and Business (2012)
Keywords: Monetary policy, Retail interest rate, Symmetric adjustment, Interest rate pass-through, Error correction model.

Market expectations of the short rate and the term structure of interest rates: a new perspective from the classic model,
Xiaoxia Ye, from University Library of Munich, Germany (2012)
Keywords: term structure of interest rates, market expectations, short rate, LSAP, MEP

Zero-coupon yields estimated by zero-degree splines,
Mojmír Simerský, from University Library of Munich, Germany (2018)
Keywords: yield curve estimation, nonparametric regression, penalized splines, bootstrap, Czech bond market

Expectations and Behaviour of the Spanish Treasury Bill Rates Patterns in Neighboring Areas,
Vidal Fernadez Montoro, in Ekonomia (2001)

Evaluating the Effectiveness of Monetary Transmission Channels on Production and Inflation besides Analyzing their Relative Importance in Iran’s Economy (in Persian),
Akbar Komijani and Farhad Alinejad-Mehrabani, in The Journal of Planning and Budgeting (٠صلنامه برنامه ریزی و بودجه) (2012)
Keywords: Monetary Transmission Mechanisms, Monetary Transmission Channels, Policy Tools, Central Bank

UN CONTRASTE ALTERNATIVO DE LA HIPÓTESIS DE LAS EXPECTATIVAS EN SWAPS DE TIPOS DE INTERÉS,
Pilar Abad Romero, from Universidade de Vigo, Departamento de Economía Aplicada (2003)
Keywords: Swaps de tipos de interés, estructura temporal, hipótesis de las expectativas

Determinants of bank interest rates and comparisons between Greece and the euro area,
Sophocles Brissimis and Thomas Vlassopoulos, in Economic Bulletin (2007)
Keywords: interest rate spreads

Choosing the weighting coefficients for estimating the term structure from sovereign bonds,
Victor Lapshin and Sofia Sohatskaya, in International Review of Economics & Finance (2020)
Keywords: Term structure of interest rates; Zero-coupon yield curve; Bond prices; Weights; Cross-validation;

On The Fisher Effect: A Review,
Mpho Bosupeng, from University Library of Munich, Germany (2016)
Keywords: Fisher effect; interest rates; inflation

The Impact of Money Supply Volatility on the Fisher Effect –A Botswana Empirical Perspective,
Mpho Bosupeng and Simangaliso Biza-Khupe, from University Library of Munich, Germany (2015)
Keywords: interest rates; inflation;money supply

The Fisher Effect Using Differences in The Deterministic Term,
Mpho Bosupeng, from University Library of Munich, Germany (2015)
Keywords: Fisher effect;interest rates; inflation;

Rethinking cointegration and the expectation hypothesis of the term structure,
Jing Li and George Davis, in Journal of Empirical Finance (2017)
Keywords: Cointegration; Term structure; Expectation hypothesis; Error correction model;

Canadian Short-Term Interest Rates and the BAX Futures Markets: An Analysis of the Impact of Volatility on Hedging Activity and the Correlation of Returns Between Markets,
David Watt, from Bank of Canada (1997)
Keywords: FINANCIAL MARKET ; INTEREST RATE

The Expectations Hypothesis for the Longer End of the Term Structure: Some Evidence for Canada,
Ron Lange, from Bank of Canada (1999)
Keywords: Interest Rates

Which Model to Forecast the Target Rate?,
Maarten van Oordt, from Bank of Canada (2017)
Keywords: Financial markets; Interest rates

The central bank as shaper and observer of events: The case of the yield spread,
Anna Florio, in Canadian Journal of Economics (2016)

¿Qué información acerca de las tasas de interés spot futuras contiene la estructura temporal de tasas de interés en México?,
Sara Castellanos and Eduardo Camero, in El Trimestre Económico (2003)
Keywords: estructura temporal de tasas de interés, hipótesis de expectativas racionales

The Long-term Decline in Real Interest Rates: Comment,
Gregory Clark, in Journal of Economic Perspectives (1991)

Interpreting the Term Structure of Interbank Rates in Hong Kong,
Stefan Gerlach, from Hong Kong Institute for Monetary Research (2001)
Keywords: term structure of interest rates, expectations hypothesis, Hong Kong

Interest Rate Linkages in the Exchange Rate Mechanism: Tests for Asymmetry, German Dominance and Interest Rate Parity Using Daily Data Over 1990 to 1997,
Rodney Thom, from College Dublin, Department of Political Economy- (1997)
Keywords: INTEREST RATE ; EUROPE ; MONETARY AGREEMENTS

Control of Generalized Error Rates in Multiple Testing,
Joseph P. Romano and Michael Wolf, from Institute for Empirical Research in Economics - University of Zurich
Keywords: Bootstrap, False Discovery Proportion, False Discovery Rate, Generalized Familywise Error Rates, Multiple Testing, Stepdown Procedure.

The Dynamic Relationship Between the Federal Funds rate and the Treasury Bill Rate: An Empirical Investigation,
Lucio Sarno and Daniel Thornton, from C.E.P.R. Discussion Papers (2002)
Keywords: Interest rates; Term structure; Equilibrium correction; Non-linear dynamics

Federal Funds Rate Prediction,
Lucio Sarno, Daniel Thornton and Giorgio Valente, from C.E.P.R. Discussion Papers (2004)
Keywords: E47; Federal fund rate; Forecasting; Term structure; Nonlinearity

Loanable funds, liquidity preference: structure, past and present,
Romar Correa, in The Journal of Philosophical Economics (2009)
Keywords: money, the rate of interest

Monetary Policy Independence and the Strength of the Global Financial Cycle,
Jonathan Witmer, from Bank of Canada (2020)
Keywords: Monetary policy implementation; Payment clearing and settlement systems

Asymmetries in Yield Curves: Some Empirical Evidence from Ghana,
Bernard Njindan Iyke, from University Library of Munich, Germany (2017)
Keywords: Asymmetric Adjustments, Threshold Cointegration, Nonlinear Causality, Yield Curves, Ghana

Analyse du pass-through du taux d’intérêt au Maroc,
Khalid Harraou, from University Library of Munich, Germany (2019)
Keywords: Pass-through, monetary policy, transmission channels, lending rates, credit rates, interbank rate, Error Correction Model (ERM)

The Structure of Interest Rates in Canada: Information Content about Medium-Term Inflation,
Jim Day and Ron Lange, from Bank of Canada (1997)
Keywords: Interest rates; Monetary and financial indicators

La hipótesis de las expectativas en el largo plazo: evidencia en el mercado español de deuda pública,
Magdalena Massot Perelló and Juan M. Nave Pineda, in Investigaciones Economicas (2003)
Keywords: Estructura temporal de tipos de interés, teoría de las expectativas, mercado español de Deuda Pública, modelos VAR.

Tasas de Interés Nominal de Corto Plazo en Chile: Una Comparación Empírica de sus Modelos,
Franco Parisi, in Latin American Journal of Economics-formerly Cuadernos de Economía (1998)
Keywords: Chan, karolyi, longstaff y sanders, método generalizado de momentos, reversión a la media

The Effects of Chinese Interest Rates and Inflation: A Decomposition of The Fisher Effect,
Mpho Bosupeng, from University Library of Munich, Germany (2016)
Keywords: nominal interest rates, real interest rates, inflation, economic growth

Die Wiederkehr des Zinsbonus - Neue empirische Ergebnisse zum Einfluss der europäischen und der amerikanischen auf die schweizerischen Euromarktzinsen,
Gebhard Kirchgässner, in Aussenwirtschaft (2003)

Estructura de Tasas de Interés en Chile: ¿Qué tan Buen Predictor de Crecimiento e Inflación?,
Viviana Fernandez, in Latin American Journal of Economics-formerly Cuadernos de Economía (2000)
Keywords: Granger causality, generalized impulse-response function, interest rates spread, economic growth, inflation

What model for the target rate,
Bruno Feunou, Jean-Sebastien Fontaine and Jin Jianjian, in Studies in Nonlinear Dynamics & Econometrics (2021)
Keywords: financial markets, interest rates

The US Term Structure and Central Bank Policy,
Enzo Weber and Juergen Wolters, from University of Regensburg, Department of Economics (2009)
Keywords: Expectations Hypothesis; Risk Premium; Policy Reaction Function

El tramo Corto de la Estructura a Plazo como predictor de Expectativas de Inflación en Colombia,
Luis Arango Thomas and Angélica María Arosemena, from Banco de la Republica (2003)
Keywords: Estructura a Plazo;

El tramo corto de la estructura a plazo como predictor de expectativas de la actividad económica en Colombia,
Luis Arango Thomas, Luz Florez and Angélica María Arosemena, from Banco de la Republica (2003)
Keywords: Estructura a plazo,

EXPECTATIVAS DE ACTIVIDAD ECONÓMICA EN COLOMBIA Y ESTRUCTURA A PLAZO: UN POCO MÁS DE EVIDENCIA,
Luis Arango Thomas and Luz Florez, from Banco de la Republica (2004)
Keywords: Estructura a plazo,

Indian G-Sec Market II: Anatomy of Short Rates,
Rituparna Das, from University Library of Munich, Germany (2010)
Keywords: yield curve, term structure, treasury bill, dated security, short rate, spot rate, par yield, forward rate

Long-term factorization in Heath–Jarrow–Morton models,
Likuan Qin and Vadim Linetsky, in Finance and Stochastics (2018)
Keywords: Stochastic discount factor, Long-term factorization, Long bond, Long forward measure, HJM models

A general characterization of one factor affine term structure models,
Damir Filipovic, in Finance and Stochastics (2001)
Keywords: Affine Term Structure Models, CBI-Processes, Infinitely Decomposable Processes, Non-continuous Markovian Short Rates

Invariant measures for the Musiela equation with deterministic diffusion term,
Tiziano Vargiolu, in Finance and Stochastics (1999)
Keywords: term structure of interest rates, stochastic partial differential equations, mild solutions, invariant measures, $C^0$-semigroups in Hilbert spaces

The expectations hypothesis with non-negative rates,
Philip S. Griffin, in Finance and Stochastics (2002)
Keywords: Expectations hypothesis, term structure, arbitrage

The pass through of monetary policy to euro area bank interest rates,
Kyriaki LouKa and Nektarios Michail, from Central Bank of Cyprus (2023)
Keywords: pass through, deposit beta, error correction, euro area, asset purchases

Modelos de tasas de interes en Chile: una revision,
Hortensia Fontanals Albiol and Sergio Zuniga, from Universitat de Barcelona. Espai de Recerca en Economia (2002)

A comparison of the information in the LIBOR and CMT term structures of interest rates,
Robert Brooks, Brandon N. Cline and Walter Enders, in Journal of Banking & Finance (2015)
Keywords: Term structure; Expectations hypothesis; LIBOR; Forward rates;

Some Evidence on Secular Drivers of U.S. Safe Real Rates,
Kurt Lunsford and Kenneth West, from National Bureau of Economic Research, Inc (2018)

Reconstructing the Yield Curve,
Yan Liu and Jing Cynthia Wu, from National Bureau of Economic Research, Inc (2020)

Interest Rate Pass-Through Asymmetry: A Meta-Analytical Approach,
Tersoo Iorngurum, from Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies (2024)
Keywords: Interest rate pass-through, asymmetry, meta-analysis

Monetary Policy Surprises and the Expectations Hypothesis at the Short End of the Yield Curve,
Selva Demiralp, from Koc University-TUSIAD Economic Research Forum (2008)
Keywords: Expectations Hypothesis, Policy Path Revisions

Estimating Term Structure Equations Using Macroeconomic Variables,
Ray Fair, from Yale University, Department of Economics (2008)

CHOOSING THE WEIGHTING COEFFICIENTS FOR ESTIMATING THE TERM STRUCTURE FROM SOVEREIGN BONDS,
Victor Lapshin and Sofia Sokhatskaya, from National Research University Higher School of Economics (2018)
Keywords: term structure of interest rates, zero-coupon yield curve, bond prices, weights, cross-validation.

Why are Real Interest Rates in New Zealand so High? Evidence and Drivers,
Natalie Labuschagne and Polly Vowles, from New Zealand Treasury (2010)
Keywords: Real interest rates, neutral interest rate, real exchange rates, Uncovered Interest Parity, internal balance, external balance, saving

Estimation d’une courbe des taux pour Madagascar par le modèle de Nelson-Siegel,
Andrianantenaina Michel Edouard Rasamoelison, from University Library of Munich, Germany (2024)
Keywords: Keywords : Nelson-Siegel model, Madagascar, term structure of interest rates, monetary policy, financial markets.

Some Lessons from the Yield Curve,
John Campbell, in Journal of Economic Perspectives (1995)

Estimating The Term Structure of Interest Rates: The Swiss Case,
Iwan Meier, from Swiss National Bank, Study Center Gerzensee (1999)
Keywords: Term structure of interest rates, Interpolation

Time varying forex market inefficiency,
Camiel de Koning and Stefan Straetmans, from VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics (1998)

An empirical analysis of the German long-term interest rate,
Frank A.G. den Butter and Pieter W. Jansen, from VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics (2001)
Keywords: German interest rate; interest formation at the capital market; Euro rate; co-integration

Did capital market convergence lower the effectiveness of the interest rate as a monetary policy tool?,
Pieter W. Jansen, from VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics (2006)
Keywords: Monetary policy; Term structure of interest rates; International capital market convergence

Low inflation, a high net savings surplus and institutional restrictions keep the Japanese long-term interest rate low,
Pieter W. Jansen, from VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics (2006)
Keywords: Long-term interest rate; Current account balance; Japan; Ricardian equivalence; Ageing