Suche nach Schlagworten '19267-0'

3 entries found on 1 pages. starting on record 1 ending on 3

Sort by: Title, Year, Author (Corp. Body),

« Previous
Next »
Title: Interpreting implied risk-neutral densities
Title (other): the role of risk premia
Abstract
This paper examine differences between risk-neutral and objective probability densities of future interest rates. The identification and quantification of these differences are important when risk-neutral densities (RNDs), such as option-implied RNDs, are used as indicators of actual beliefs of investors. We employ a multi-factor essentially affine modeling framework apllied to German time-series and cross-section term structure data in order to identify both the risk-neutral and the objective term structure dynamics. We find important differences beetween risk-neutral and objective distributions due to risk premia in bond prices. Moreover, the estimated premia vary over time in a quantitatively significant way, which implies that the differences between the objective and the risk neutral distributions also vary over time. We conclude that one should be cautions in interpreting RNDs as representing the true expectations of market participants. The method used in this paper provides an alternative approach to identifying objective probabilities of future interest rates. [Peter Hördahl ; David Vestin]
Author: Hördahl, Peter | Vestin, David
Series Title: Working paper series / European Central Bank ; 274
Publisher: European Central Bank
Year: 2003
Language: en
Ressource: Einzelne Arbeitspapiere, Preprints
Keyword: GermanyRisk neutralityRisk premiumFutures contractTheoryTerm structure of interest rates
Subject: Investment returns. Financial market. Interest rates
Countries Scheme: Germany. General Resources
Online Ressource: vorübergehend nicht erreichbar!
Bitte beachten Sie die urheberrechtlichen Bedingungen der Dokumentenbenutzung / Please observe the copyright when accessing the document | Quelle / Source: Europäische Zentralbank (http://www.ecb.int)
Title: Interest rate reaction functions and the Taylor rule in the euro area
Abstract
Traditional Taylor rules, which are estimated using a level specification linking the short-term interest rate to inflation and the output gap, are unstable when estimated on euro area data and forecast poorly out of sample. We present an alternative reaction function which takes the non-stationarity of the data into account. The estimated interest rate rule is stable and forecasts well. In contrast to the traditional Taylor rule, we find a ignificant role for the long rate, which we argue reflects shifts in the public's perception of the long-run inflation objective. [Petra Gerlach-Kristen]
Author: Gerlach-Kristen, Petra
Series Title: Working paper series / European Central Bank ; 258
Publisher: European Central Bank
Year: 2003
Language: en
Ressource: Einzelne Arbeitspapiere, Preprints
Keyword: EU countriesEuropean Economic and Monetary UnionCointegrationTaylor ruleCentral BankTerm structure of interest rates
Subject: Currency. Monetary policy
Online Ressource: vorübergehend nicht erreichbar!
Bitte beachten Sie die urheberrechtlichen Bedingungen der Dokumentenbenutzung / Please observe the copyright when accessing the document | Quelle / Source: Europäische Zentralbank (http://www.ecb.int)
Title: Does the yield spread predict recessions in the euro area?
Abstract
This paper studies the informational content of the slope of the yield curve as a predictor of recessions in the euro area. In particular, the historical predictive power of ten yield spreads, for different segments of the yield curve, is tested using a probit model. The yield spread between the ten-year government bond rate and the threemonth interbank rate outperforms all the other spreads in predicting recessions in the euro area. The result is confirmed when the autoregressive series of the state of the economy is added in the same model. The forecast accuracy of the spread between 10-year and 3-month interest rates is explored in an exercise of out-of-sample forecasting. This yield spread appears to contain information which goes beyond the information already available in the history of output, providing further evidence of the potential usefulness of this indicator for monetary policy purposes. [Fabio Moneta]
Author: Moneta, Fabio
Series Title: Working paper series / European Central Bank ; 294
Publisher: European Central Bank
Year: 2003
Language: en
Ressource: Einzelne Arbeitspapiere, Preprints
Keyword: EU countriesReturn to capitalShort-term forecastHolding periodProbit modelTerm structure of interest rates
Subject: Business cyclesInvestment returns. Financial market. Interest rates
Online Ressource: vorübergehend nicht erreichbar!
Bitte beachten Sie die urheberrechtlichen Bedingungen der Dokumentenbenutzung / Please observe the copyright when accessing the document | Quelle / Source: Europäische Zentralbank (http://www.ecb.int)
« Previous
Next »
Copyright (C) 2003-2019 European Documentation Centres / Update: 09.10.2019