ElasticSearch Score: 9.598702
The author describes the construction of the U.S.-dollar-denominated zero-coupon curve for the supranational asset class from 1995 to 2010. He uses yield data from a crosssection of bonds issued by AAA-rated supranational entities to fit the Svensson (1995) term-structure model.
ElasticSearch Score: 9.578264
We construct a multi-country affine term structure model that contains unspanned macroeconomic and foreign exchange risks. The canonical version of the model is derived and is shown to be easy to estimate.
ElasticSearch Score: 9.49543
The authors address empirically the implications of structural breaks in the variance-covariance matrix of inflation and import prices for changes in pass-through.
ElasticSearch Score: 9.488749
December 13, 2021
Commentary and technical data relating to the 2021 renewal.
ElasticSearch Score: 9.451197
We perform an analysis to determine how well the introduction of a countercyclical loanto- value (LTV) ratio can reduce household indebtedness and housing price fluctuations compared with a monetary policy rule augmented with house price inflation.
ElasticSearch Score: 9.439473
Rising levels of household indebtedness have created concerns about the vulnerabilities of households to adverse economic shocks and the impact on financial stability. To assess these risks, the author presents a formal stress-testing framework that uses microdata to simulate how various economic shocks affect the distribution of the debt-service ratio (DSR) for the household sector.
ElasticSearch Score: 9.352015
The authors analyze the dynamics of national saving–investment relationships to determine the degree of international capital mobility.
ElasticSearch Score: 9.203719
The uncertainty around future changes to the Federal Reserve target rate varies over time. In our results, the main driver of uncertainty is a “path” factor signaling information about future policy actions, which is filtered from federal funds futures data.
ElasticSearch Score: 9.142629
Consumers often purchase more than one differentiated product, assembling a portfolio, which might potentially affect substitution patterns of demand and, as a consequence, oligopolistic firms’ pricing strategies.
ElasticSearch Score: 9.122995
We model the behavior of dealers in Over-the-Counter (OTC) derivatives markets where a small number of dealers trade with a continuum of heterogeneous clients (hedgers). Imperfect competition and (endogenous) default induce a familiar trade-off between competition and risk.