Taux longs
Bank risk-taking, securitization, supervision and low interest rates: Evidence from the euro area and the U.S. lending standards ”.
Economie / Finance > Taux longs10/2010
Using a unique dataset of the Euro area and the U.S. bank lending standards, we find that low (monetary policy)…
Public debt and long-term interest rates: the case of Germany, Italy and the USA
Economie / Finance > Taux longs07/2010
This paper estimates a time-varying AR-GARCH model of inflation producing measures of inflation uncertainty for the euro area, and investigates…
An equilibrum model of "global imbalances" and low interest rates
Economie / Finance > Taux longs12/2006
On 19–20 June 2006, the BIS held its fifth Annual Conference, on "Financial Globalisation", in Brunnen, Switzerland. The event brought…
Long-term bond yields have been low in recent years both in nominal and real terms, and . especially in the…
Foreign flows have an economically large and statistically significant impact on long term interest rates. Controlling for various macroeconomic factors…
In this paper we argue that both statistics and economic theory-based evidence largely indicate the absence of long run relationships…
A defence of the expectations theory as a model of us long-term interest rates
Economie / Finance > Taux longs01/2000
This paper re-examines the empirical content of the expectations theory of the term structure by employing the Campbell-Shiller (1987) methodology…
The Determinants of Real Long-Term Interest Rates 17 Country Pooled-Time-Series Evidence
Economie / Finance > Taux longs01/1995
In this paper a model is presented and estimated that explains real long-term interest rates in terms of developments in…
The Dynamics of the Term Structure of Interest Rates in the United States in Light of the Financial Crisis of 2007-10
Economie / Finance > Taux longs04/2011
This paper assesses the dynamics of the term structure of interest rates in the United States in light of the…
On the Estimation of Term Structure Models and An Application to the United States
Economie / Finance > Taux longs11/2010
This paper discusses the estimation of models of the term structure of interest rates. After reviewing the term structure models,…
The term structure of risk premia: new evidence from the financial crisis
Economie / Finance > Taux longs03/2010
This study calibrates the term structure of risk premia before and during the 2007/2008 financial crisis using a new calibration…
This paper tests the expectations hypothesis (EH) of the term structure of interest rates in US data, using spectral regression…
Inflation risk premia in the term structure of interest rates
Economie / Finance > Taux longs02/2007
This paper estimates the size and dynamics of inflation risk premia in the euro area, based on a joint model…
An Arbitrage-Free Three-Factor Term Structure Model of the Recent Behavior of Long-Term Yields and Distant-Horizon Forward Rates
Economie / Finance > Taux longs08/2005
This paper reviews a simple three-factor arbitrage-free term structure model estimated by Federal Reserve Board staff and reports results obtained…
A two-factor model of the German term structure of interest rates
Economie / Finance > Taux longs03/2001
In this paper we show that a two-factor constant volatility model provides an adequate description of the dynamics and shape…
This paper uses an intertemporal general equilibrium asset pricing model to study the term structure of interest rates. In this…
The volatility of long-term interest rates and Expectations Models of the Term Structure
Economie / Finance > Taux longs12/1979
Models which represent long-term interest rates as long averages of expected short-term interest rates imply, because of the smoothing implicit…
Long-term interest rates, risk premia and unconventional monetary policy
Economie / Finance > Taux longs04/2011
In a model where the risk premium on long-term debt is, in part, endogenously determined, we study two kinds of…
Predictions of short-term rates and the expectations hypothesis of the term structure of interest rates
Economie / Finance > Taux longs12/2008
Despite its important role in monetary policy and finance, the expectations hypothesis (EH) of the term structure of interest rates…
Macroeconomists want to understand the effects of fiscal policy on interest rates, while financial economists look for the factors that…
No-Arbitrage Taylor Rules”Federal Reserve Bank of San Francisco Economic Letter 2005-12
Economie / Finance > Taux longs08/2005
We estimate Taylor (1993) rules and identify monetary policy shocks using no-arbitrage pricing techniques. Long-term interest rates are risk-adjusted expected…
This paper examines the role of the natural rate of interest in the conduct of monetary policy. The natural rate…
The Term Structure of Interest Rates and Monetary Policy During a Zero-Interest-Rate Period
Economie / Finance > Taux longs04/2003
The real rate of interest is a central concept in economics. It represents the price of the intertemporal allocation of…
The Term Structure of Interest Rates and Monetary Policy During a Zero-Interest-Rate Period
Economie / Finance > Taux longs03/2003
This paper empirically evaluates the validity of the term structure of interest rates in a lowinterest-rate environment. Applying a time-series…
It is generally believed that monetary policy actions are transmitted to the economy through their effect on market interest rates.…
Does the Long-Term Interest Rate Predict Future Inflation? A Multi-Country Analysis
Economie / Finance > Taux longs02/1995
(Restricted access) According to the Fisher hypothesis, an increase (decrease) in the spread between the long-term, or multiperiod, interest rate…
Do Long-Term Interest Rates Overreact to Short-Term Interest Rates?
Economie / Finance > Taux longs11/1999
The term structure of interest rates has been extensively studied by economists. It is of interest to financial economists because…
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