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Rafael B. De Rezende

Personal Details

First Name:Rafael
Middle Name:
Last Name:B. De Rezende
Suffix:
RePEc Short-ID:pre194
[This author has chosen not to make the email address public]
https://www.rafaelbderezende.com/
Amuletum Invest AB Södra Björvikshöjden 5 Sandared, 51832 Sweden Jönköping International Business School Gjuterigatan 5 P.O Box 1026 SE-551 11 Jönköping Sweden
Terminal Degree:2014 Department of Finance; Stockholm School of Economics (from RePEc Genealogy)

Affiliation

(50%) Nationalekonomi
Internationella Handelshögskolan
Jönköping Universitet

Jönköping, Sweden
https://ju.se/forskning/forskningsinriktningar/nationalekonomi.html
RePEc:edi:dehhjse (more details at EDIRC)

(50%) Amuletum Invest AB


https://www.amuletuminvest.com/
Sweden, Sandared
+46 767256582

Research output

as
Jump to: Working papers Articles

Working papers

  1. B De Rezende, Rafael & Ristiniemi, Annukka, 2020. "A shadow rate without a lower bound constraint," Bank of England working papers 864, Bank of England.
  2. De Rezende, Rafael B., 2016. "The interest rate effects of government bond purchases away from the lower bound," Working Paper Series 324, Sveriges Riksbank (Central Bank of Sweden).
  3. De Rezende, Rafael B., 2015. "Risks in macroeconomic fundamentals and excess bond returns predictability," Working Paper Series 295, Sveriges Riksbank (Central Bank of Sweden).
  4. Rafael Barros de Rezende, 2008. "Giving flexibility to the Nelso-Siegel class of term structure models," Anais do XXXVI Encontro Nacional de Economia [Proceedings of the 36th Brazilian Economics Meeting] 200807211322560, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].

Articles

  1. De Rezende, Rafael B. & Ristiniemi, Annukka, 2023. "A shadow rate without a lower bound constraint," Journal of Banking & Finance, Elsevier, vol. 146(C).
  2. De Rezende, Rafael B., 2017. "The interest rate effects of government bond purchases away from the lower bound," Journal of International Money and Finance, Elsevier, vol. 74(C), pages 165-186.
  3. Rafael B. Rezende & Mauro S. Ferreira, 2013. "Modeling and Forecasting the Yield Curve by an Extended Nelson‐Siegel Class of Models: A Quantile Autoregression Approach," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 32(2), pages 111-123, March.
  4. Rafael Barros de Rezende, 2011. "Giving Flexibility to the Nelson-Siegel Class of Term Structure Models," Brazilian Review of Finance, Brazilian Society of Finance, vol. 9(1), pages 27-49.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. B De Rezende, Rafael & Ristiniemi, Annukka, 2020. "A shadow rate without a lower bound constraint," Bank of England working papers 864, Bank of England.

    Cited by:

    1. Forbes, Kristin & Hjortsø, Ida & Nenova, Tsvetelina, 2020. "International Evidence on Shock-Dependent Exchange Rate Pass-Through," CEPR Discussion Papers 15242, C.E.P.R. Discussion Papers.
    2. De Rezende, Rafael B., 2023. "An event-driven bank stress indicator: The case of US regional banks," Finance Research Letters, Elsevier, vol. 56(C).
    3. Michaelis, Henrike, 2024. "Changes in the euro area interest rate pass-through," Discussion Papers 21/2024, Deutsche Bundesbank.
    4. Hakan Yilmazkuday, 2022. "COVID-19 and Exchange Rates: Spillover Effects of U.S. Monetary Policy," Working Papers 2210, Florida International University, Department of Economics.
    5. Armelius, Hanna & Boel, Paola & Claussen, Carl Andreas & Nessén, Marianne, 2018. "The e-krona and the macroeconomy," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, issue 3, pages 43-65.
    6. Katharina Bergant & Francesco Grigoli & Niels-Jakob Hansen & Katharina Damiano Sandri, 2023. "Dampening global financial shocks: can macroprudential regulation help (more than capital controls)?," BIS Working Papers 1097, Bank for International Settlements.
    7. Jérôme Creel & Mehdi El Herradi, 2020. "Income inequality and monetary policy in the Euro Area," SciencePo Working papers Main hal-03389183, HAL.
    8. Christina Anderl & Guglielmo Maria Caporale, 2022. "Forecasting Inflation with a Zero Lower Bound or Negative Interest Rates: Evidence from Point and Density Forecasts," CESifo Working Paper Series 9687, CESifo.
    9. Mazelis, Falk & Motto, Roberto & Ristiniemi, Annukka, 2023. "Monetary policy strategies for the euro area: optimal rules in the presence of the ELB," Working Paper Series 2797, European Central Bank.
    10. Kilman, Josefin, 2022. "Monetary Policy Shocks for Sweden," Working Papers 2022:18, Lund University, Department of Economics.
    11. Jérôme Creel & Mehdi El Herradi, 2019. "Shocking aspects of monetary policy on income inequality in the euro area," Working Papers hal-03403233, HAL.
    12. Karlsson, Sune & Österholm, Pär, 2018. "A Note on the Stability of the Swedish Philips Curve," Working Papers 2018:6, Örebro University, School of Business.
    13. J. E. Boscá & R. Doménech & J. Ferri & R. Méndez & J. F. Rubio-Ramírez, 2018. "Financial and Fiscal Shocks in the Great Recession and Recovery of the Spanish Economy," Working Papers 2018-05, FEDEA.
    14. Corbo, Vesna & Di Casola, Paola, 2022. "Drivers of consumer prices and exchange rates in small open economies," Journal of International Money and Finance, Elsevier, vol. 122(C).
    15. Donato Masciandaro, 2023. "How Elastic and Predictable Money Should Be: Flexible Monetary Policy Rules from the Great Moderation to the New Normal Times (1993-2023)," BAFFI CAREFIN Working Papers 23196, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    16. Kavanagh, Ella & Zhu, Sheng & O’Sullivan, Niall, 2022. "Monetary policy, trade-offs and the transmission of UK Monetary Policy," Journal of Policy Modeling, Elsevier, vol. 44(6), pages 1128-1147.
    17. Nicolas Groshenny & Naveed Javed, 2023. "Dornbusch’s overshooting and the systematic component of monetary policy in SOE-SVARs," TEPP Working Paper 2023-08, TEPP.
    18. Corbo, Vesna & Di Casola, Paola, 2020. "Drivers of consumer prices and exchange rates in small open economies," Working Paper Series 387, Sveriges Riksbank (Central Bank of Sweden).
    19. Junior Maih & Falk Mazelis & Roberto Motto & Annukka Ristiniemi, "undated". "Asymmetric monetary policy rules for the euro area and the US," Working Paper 2021/7, Norges Bank.
    20. Ravenna, Federico & Pellegrino, Giovanni & Züllig, Gabriel, 2020. "The Impact of Pessimistic Expectations on the Effects of COVID-19-Induced Uncertainty in the Euro Area," CEPR Discussion Papers 15321, C.E.P.R. Discussion Papers.
    21. Grahame Johnson & Sharon Kozicki & Romanos Priftis & Lena Suchanek & Jonathan Witmer & Jing Yang, 2020. "Implementation and Effectiveness of Extended Monetary Policy Tools: Lessons from the Literature," Discussion Papers 2020-16, Bank of Canada.
    22. Corbo, Vesna & Di Casola, Paola, 2018. "Conditional exchange rate pass-through: evidence from Sweden," Working Paper Series 352, Sveriges Riksbank (Central Bank of Sweden).
    23. Rant, Vasja & Puc, Anja & Čok, Mitja & Verbič, Miroslav, 2024. "Macroeconomic impacts of monetary and fiscal policy in the euro area in times of shifting policies: A SVAR approach," Finance Research Letters, Elsevier, vol. 64(C).
    24. Jean-Guillaume Sahuc & Grégory Levieuge & José Garcia-Revelo, 2024. "Revisiting 15 Years of Unusual Transatlantic Monetary Policies," Working Papers hal-04563708, HAL.
    25. Ankargren, Sebastian & Shahnazarian, Hovick, 2019. "The Interaction Between Fiscal and Monetary Policies: Evidence from Sweden," Working Paper Series 365, Sveriges Riksbank (Central Bank of Sweden), revised 01 Apr 2019.
    26. Finck, David & Hoffmann, Mathias & Hürtgen, Patrick, 2023. "On the empirical relevance of the exchange rate as a shock absorber at the zero lower bound," Discussion Papers 10/2023, Deutsche Bundesbank.
    27. Akkaya, Yildiz & Belfrage, Carl-Johan & Di Casola, Paola & Strid, Ingvar, 2023. "Effects of foreign and domestic central bank government bond purchases in a small open economy DSGE model: Evidence from Sweden before and during the coronavirus pandemic," Working Paper Series 421, Sveriges Riksbank (Central Bank of Sweden).

  2. De Rezende, Rafael B., 2016. "The interest rate effects of government bond purchases away from the lower bound," Working Paper Series 324, Sveriges Riksbank (Central Bank of Sweden).

    Cited by:

    1. Robert L. Czudaj, 2019. "Is the negative interest rate policy effective?," Chemnitz Economic Papers 034, Department of Economics, Chemnitz University of Technology, revised Dec 2019.
    2. De Rezende, Rafael B. & Ristiniemi, Annukka, 2023. "A shadow rate without a lower bound constraint," Journal of Banking & Finance, Elsevier, vol. 146(C).
    3. Armelius, Hanna & Boel, Paola & Claussen, Carl Andreas & Nessén, Marianne, 2018. "The e-krona and the macroeconomy," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, issue 3, pages 43-65.
    4. Sandström, Maria, 2018. "The impact of monetary policy on household borrowing - a high-frequency IV identification," Working Paper Series 351, Sveriges Riksbank (Central Bank of Sweden).
    5. Jin Cao & Valeriya Dinger & Anna Grodecka-Messi & Ragnar Juelsrud & Xin Zhang, 2020. "The interaction between macroprudential and monetary policies: The cases of Norway and Sweden," Working Paper 2020/8, Norges Bank.
    6. Eric T. Swanson, 2018. "The Federal Reserve Is Not Very Constrained by the Lower Bound on Nominal Interest Rates," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 49(2 (Fall)), pages 555-572.
    7. Di Casola, Paola & Stockhammar, Pär, 2021. "When domestic and foreign QE overlap: evidence from Sweden," Working Paper Series 404, Sveriges Riksbank (Central Bank of Sweden).
    8. Knezevic, David & Nordström, Martin & Österholm, Pär, 2019. "The Relation between Municipal and Government Bond Yields in an Era of Unconventional Monetary Policy," Working Papers 2019:6, Örebro University, School of Business.
    9. Blanka Francová, 2018. "An Analysis of the Impact of Selected Factors on the Bond Market," Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, Mendel University Press, vol. 66(6), pages 1451-1458.
    10. Antonio Diez de los Rios & Maral Shamloo, 2017. "Quantitative Easing and Long-Term Yields in Small Open Economies," Staff Working Papers 17-26, Bank of Canada.
    11. Grahame Johnson & Sharon Kozicki & Romanos Priftis & Lena Suchanek & Jonathan Witmer & Jing Yang, 2020. "Implementation and Effectiveness of Extended Monetary Policy Tools: Lessons from the Literature," Discussion Papers 2020-16, Bank of Canada.
    12. Martin Nordström, 2020. "A forecast evaluation of the Riksbank's policy‐rate projections," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 49(3), September.
    13. João Martins, 2022. "Bond Yields Movement Similarities and Synchronization in the G7: A Time–Frequency Analysis," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 18(2), pages 189-214, July.
    14. Akkaya, Yildiz & Belfrage, Carl-Johan & Di Casola, Paola & Strid, Ingvar, 2023. "Effects of foreign and domestic central bank government bond purchases in a small open economy DSGE model: Evidence from Sweden before and during the coronavirus pandemic," Working Paper Series 421, Sveriges Riksbank (Central Bank of Sweden).
    15. Laséen, Stefan, 2020. "Monetary Policy Surprises, Central Bank Information Shocks, and Economic Activity in a Small Open Economy," Working Paper Series 396, Sveriges Riksbank (Central Bank of Sweden).

  3. Rafael Barros de Rezende, 2008. "Giving flexibility to the Nelso-Siegel class of term structure models," Anais do XXXVI Encontro Nacional de Economia [Proceedings of the 36th Brazilian Economics Meeting] 200807211322560, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].

    Cited by:

    1. Tong, Xiaojun & He, Zhuoqiong Chong & Sun, Dongchu, 2018. "Estimating Chinese Treasury yield curves with Bayesian smoothing splines," Econometrics and Statistics, Elsevier, vol. 8(C), pages 94-124.
    2. Aryo Sasongko & Cynthia Afriani Utama & Buddi Wibowo & Zaäfri Ananto Husodo, 2019. "Modifying Hybrid Optimisation Algorithms to Construct Spot Term Structure of Interest Rates and Proposing a Standardised Assessment," Computational Economics, Springer;Society for Computational Economics, vol. 54(3), pages 957-1003, October.
    3. Vahidin Jeleskovic & Anastasios Demertzidis, 2018. "Comparing different methods for the estimation of interbank intraday yield curves," MAGKS Papers on Economics 201839, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).

Articles

  1. De Rezende, Rafael B. & Ristiniemi, Annukka, 2023. "A shadow rate without a lower bound constraint," Journal of Banking & Finance, Elsevier, vol. 146(C).
    See citations under working paper version above.
  2. De Rezende, Rafael B., 2017. "The interest rate effects of government bond purchases away from the lower bound," Journal of International Money and Finance, Elsevier, vol. 74(C), pages 165-186.
    See citations under working paper version above.
  3. Rafael B. Rezende & Mauro S. Ferreira, 2013. "Modeling and Forecasting the Yield Curve by an Extended Nelson‐Siegel Class of Models: A Quantile Autoregression Approach," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 32(2), pages 111-123, March.

    Cited by:

    1. Tu, Anthony H. & Chen, Cathy Yi-Hsuan, 2018. "A factor-based approach of bond portfolio value-at-risk: The informational roles of macroeconomic and financial stress factors," Journal of Empirical Finance, Elsevier, vol. 45(C), pages 243-268.
    2. Hokuto Ishii, 2018. "Modeling and Predictability of Exchange Rate Changes by the Extended Relative Nelson–Siegel Class of Models," IJFS, MDPI, vol. 6(3), pages 1-15, August.
    3. Oleksandr Castello & Marina Resta, 2023. "A Machine-Learning-Based Approach for Natural Gas Futures Curve Modeling," Energies, MDPI, vol. 16(12), pages 1-22, June.
    4. João Caldeira & Guilherme Moura & André Santos, 2015. "Measuring Risk in Fixed Income Portfolios using Yield Curve Models," Computational Economics, Springer;Society for Computational Economics, vol. 46(1), pages 65-82, June.
    5. Tu, Anthony H. & Chen, Cathy Yi-Hsuan, 2016. "What derives the bond portfolio value-at-risk: Information roles of macroeconomic and financial stress factors," SFB 649 Discussion Papers 2016-006, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    6. Julián Andrada-Félix & Adrian Fernandez-Perez & Fernando Fernández-Rodríguez, 2015. "Fixed income strategies based on the prediction of parameters in the NS model for the Spanish public debt market," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 6(2), pages 207-245, June.
    7. Daniel Vela, 2013. "Forecasting Latin-American yield curves: An artificial neural network approach," Borradores de Economia 10502, Banco de la Republica.
    8. Hokuto Ishii, 2019. "Forecasting Term Structure of Interest Rates in Japan," IJFS, MDPI, vol. 7(3), pages 1-35, July.
    9. Zi‐Yi Guo, 2021. "Out‐of‐sample performance of bias‐corrected estimators for diffusion processes," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(2), pages 243-268, March.
    10. Won Joong Kim & Gunho Jung & Sun-Yong Choi, 2020. "Forecasting CDS Term Structure Based on Nelson–Siegel Model and Machine Learning," Complexity, Hindawi, vol. 2020, pages 1-23, July.
    11. Makram El-Shagi & Lunan Jiang, 2019. "Efficient Dynamic Yield Curve Estimation in Emerging Financial Markets," CFDS Discussion Paper Series 2019/4, Center for Financial Development and Stability at Henan University, Kaifeng, Henan, China.
    12. Oleksandr Castello & Marina Resta, 2022. "Modeling the Yield Curve of BRICS Countries: Parametric vs. Machine Learning Techniques," Risks, MDPI, vol. 10(2), pages 1-18, February.
    13. Daniel Vela, 2013. "Forecasting Latin-American yield curves: An artificial neural network approach," Borradores de Economia 761, Banco de la Republica de Colombia.
    14. Lorenčič Eva, 2016. "Testing the Performance of Cubic Splines and Nelson-Siegel Model for Estimating the Zero-coupon Yield Curve," Naše gospodarstvo/Our economy, Sciendo, vol. 62(2), pages 42-50, June.

  4. Rafael Barros de Rezende, 2011. "Giving Flexibility to the Nelson-Siegel Class of Term Structure Models," Brazilian Review of Finance, Brazilian Society of Finance, vol. 9(1), pages 27-49.
    See citations under working paper version above.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 4 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-MAC: Macroeconomics (4) 2015-02-28 2016-06-14 2018-07-30 2020-06-15
  2. NEP-EEC: European Economics (3) 2016-06-14 2018-07-30 2020-06-15
  3. NEP-MON: Monetary Economics (3) 2016-06-14 2018-07-30 2020-06-15
  4. NEP-CBA: Central Banking (2) 2018-07-30 2020-06-15
  5. NEP-DGE: Dynamic General Equilibrium (2) 2018-07-30 2020-06-15

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