Long Term Rates

S’adapter à un univers de taux durablement bas
(Contribution from a SCOR expert to an external publication) Les institutions ayant des engagements de long terme sont…
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Gamma discounters are short-termist
Weitzman (1998, 2001) proposed a simple “gamma discounting” method to characterize the term structure of discount rates…
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This paper studies the evolution of the equilibrium real interest rate (ie natural or neutral interest rate)…
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The nominal long-term interest rate decreased in the past decades due to the decrease in (expected) inflation…
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Long-term interest rates in a number of small open inflation-targeting economies co-move more strongly with US long-term…
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This paper estimates a time-varying AR-GARCH model of inflation producing measures of inflation uncertainty for the euro…
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On 19–20 June 2006, the BIS held its fifth Annual Conference, on "Financial Globalisation", in Brunnen, Switzerland.…
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Long-term bond yields have been low in recent years both in nominal and real terms, and .…
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Foreign flows have an economically large and statistically significant impact on long term interest rates. Controlling for…
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In this paper we argue that both statistics and economic theory-based evidence largely indicate the absence of…
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This paper re-examines the empirical content of the expectations theory of the term structure by employing the…
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In this paper a model is presented and estimated that explains real long-term interest rates in terms…
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Expectations about macroeconomic developments are important determinants of long term interest rates. In this paper, I compare…
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This paper assesses the dynamics of the term structure of interest rates in the United States in…
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This paper discusses the estimation of models of the term structure of interest rates. After reviewing the…
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This study calibrates the term structure of risk premia before and during the 2007/2008 financial crisis using…
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This paper tests the expectations hypothesis (EH) of the term structure of interest rates in US data,…
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This paper estimates the size and dynamics of inflation risk premia in the euro area, based on…
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This paper reviews a simple three-factor arbitrage-free term structure model estimated by Federal Reserve Board staff and…
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In this paper we show that a two-factor constant volatility model provides an adequate description of the…
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This paper uses an intertemporal general equilibrium asset pricing model to study the term structure of interest…
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Models which represent long-term interest rates as long averages of expected short-term interest rates imply, because of…
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This paper examines the effects of long-term interest rates on bank loan supply. Using a simple mean-variance…
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The primary goal of this paper is to explore rising interest rates, but that is not possible…
In this article, time-series models are developed to represent three alternative, potential monetary policy regimes as monetary…
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Solvency II requires a stochastic valuation for most products with guarantees. This is done in order to…
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The global long-term interest rate now matters much more for the monetary policy choices facing emerging market…
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Large-scale central bank purchases of government bonds have made the long-term interest rate key in the monetary…
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In a model where the risk premium on long-term debt is, in part, endogenously determined, we study…
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Despite its important role in monetary policy and finance, the expectations hypothesis (EH) of the term structure…
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Macroeconomists want to understand the effects of fiscal policy on interest rates, while financial economists look for…
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We estimate Taylor (1993) rules and identify monetary policy shocks using no-arbitrage pricing techniques. Long-term interest rates…
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This paper examines the role of the natural rate of interest in the conduct of monetary policy.…
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The real rate of interest is a central concept in economics. It represents the price of the…
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This paper empirically evaluates the validity of the term structure of interest rates in a lowinterest-rate environment.…
The term structure of interest rates has been extensively studied by economists. It is of interest to…
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(Restricted access) According to the Fisher hypothesis, an increase (decrease) in the spread between the long-term, or…
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It is generally believed that monetary policy actions are transmitted to the economy through their effect on…
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