Evaluating the impact of unconventional monetary policy measures: Empirical evidence from the ECB׳ s Securities Markets Programme
F Eser, B Schwaab - Journal of Financial Economics, 2016 - Elsevier
We assess the yield impact of asset purchases within the European Central Bank׳ s (ECB)
Securities Markets Programme (SMP) in five euro area sovereign bond markets from 2010 …
Securities Markets Programme (SMP) in five euro area sovereign bond markets from 2010 …
Sovereign credit risk, liquidity, and European Central Bank intervention: Deus ex machina?
We examine the dynamic relation between credit risk and liquidity in the Italian sovereign
bond market during the eurozone crisis and the subsequent European Central Bank (ECB) …
bond market during the eurozone crisis and the subsequent European Central Bank (ECB) …
ECB interventions in distressed sovereign debt markets: The case of Greek bonds
C Trebesch, J Zettelmeyer - IMF Economic Review, 2018 - Springer
We study central bank interventions in times of severe distress (mid-2010), using a unique
bond-level dataset of ECB purchases of Greek sovereign debt. ECB bond buying had a …
bond-level dataset of ECB purchases of Greek sovereign debt. ECB bond buying had a …
Foreign-law bonds: Can they reduce sovereign borrowing costs?
Governments often issue bonds in foreign jurisdictions, which can provide additional legal
protection vis-à-vis domestic bonds. This paper studies the effect of this jurisdiction choice …
protection vis-à-vis domestic bonds. This paper studies the effect of this jurisdiction choice …
From bond yield to macroeconomic instability: A parsimonious affine model
MC Recchioni, G Tedeschi - European Journal of Operational Research, 2017 - Elsevier
We present a hybrid Heston model with a common stochastic volatility to describe
government bond yield dynamics. The model is analytically tractable and, therefore, can be …
government bond yield dynamics. The model is analytically tractable and, therefore, can be …
[图书][B] Dynamic term structure models with score-driven time-varying parameters: estimation and forecasting
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[PDF][PDF] A Bayesian Approach to Yield Curve Modelling and Forecasting with Stochastic Volatility for Interest Rate Risk Management
D Sarkisian - 2024 - repository.tudelft.nl
This thesis explores how forecasts of Dutch government bond yields can be improved by
extending the current Dynamic Nelson-Siegel (DNS) model, used by the Dutch State …
extending the current Dynamic Nelson-Siegel (DNS) model, used by the Dutch State …
Modeling the density of US yield curve using Bayesian semiparametric dynamic Nelson-Siegel model
C Çakmaklı - Econometric Reviews, 2020 - Taylor & Francis
This paper proposes the Bayesian semiparametric dynamic Nelson-Siegel model for
estimating the density of bond yields. Specifically, we model the distribution of the yield …
estimating the density of bond yields. Specifically, we model the distribution of the yield …
Analyzing commodity futures using factor state-space models with Wishart stochastic volatility
A factor state-space approach with stochastic volatility is proposed for modeling and
forecasting the maturity structure of future commodity contracts. The proposed approach …
forecasting the maturity structure of future commodity contracts. The proposed approach …
[PDF][PDF] L'assouplissement quantitatif de la BCE a fait baisser les taux d'intérêt et contribue à la reprise de la zone euro
JC Heam, B Marc, R Lee, M Pak - Insee, Note de conjoncture, décembre, 2015 - insee.fr
Début 2015, la Banque centrale européenne (BCE) a décidé d'un programme d'achats
d'actifs s' étendant aux dettes publiques, largement anticipé par les acteurs des marchés …
d'actifs s' étendant aux dettes publiques, largement anticipé par les acteurs des marchés …