Hans Dewachter
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.Wikipedia or ReplicationWiki mentions
(Only mentions on Wikipedia that link back to a page on a RePEc service)- Marco Lyrio & Hans Dewachter & Konstantijn Maes, 2006.
"A joint model for the term structure of interest rates and the macroeconomy,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(4), pages 439-462.
- Hans Dewachter & Marco Lyrio & Konstantijn Maes, 2006. "A joint model for the term structure of interest rates and the macroeconomy," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(4), pages 439-462, May.
- Hans Dewachter & Marco Lyrio & Konstantijn Maes, 2001. "A Joint Model for the Term Structure of Interest Rates and the Macroeconomy," International Economics Working Papers Series wpie002, Katholieke Universiteit Leuven, Centrum voor Economische Studiën, International Economics.
Mentioned in:
Working papers
- De Backer, Bruno & Dewachter, Hans & Iania, Leonardo, 2021.
"Macrofinancial information on the post- COVID-19 economic recovery: will it be V, U or L-shaped?,"
LIDAM Discussion Papers LFIN
2021002, Université catholique de Louvain, Louvain Finance (LFIN).
- De Backer, Bruno & Dewachter, Hans & Iania, Leonardo, 2021. "Macrofinancial information on the post-COVID-19 economic recovery: Will it be V, U or L-shaped?," Finance Research Letters, Elsevier, vol. 43(C).
- De Backer, Bruno & Dewachter, Hans & Iania, Leonardo, 2021. "Macrofinancial information on the post-COVID-19 economic recovery: Will it be V, U or L-shaped?," LIDAM Reprints LFIN 2021007, Université catholique de Louvain, Louvain Finance (LFIN).
Cited by:
- Cugno, Monica & Castagnoli, Rebecca & Büchi, Giacomo & Pini, Marco, 2022. "Industry 4.0 and production recovery in the covid era," Technovation, Elsevier, vol. 114(C).
- Iyer, Subramanian Rama & Simkins, Betty J., 2022. "COVID-19 and the Economy: Summary of research and future directions," Finance Research Letters, Elsevier, vol. 47(PB).
- Xin‐Xin Zhao & Jun Wen & Xing‐Yun Zou & Quan‐jing Wang & Chun‐Ping Chang, 2023. "Strategies for the sustainable development of China in the post‐epidemic era," Sustainable Development, John Wiley & Sons, Ltd., vol. 31(1), pages 426-438, February.
- Ruqia Ayoub & Saloni Devi, 2024. "Subjective well-being of entrepreneurs during COVID-19 pandemic: a bibliometric analysis," Journal of Global Entrepreneurship Research, Springer;UNESCO Chair in Entrepreneurship, vol. 14(1), pages 1-18, December.
- Olivier De Jonghe & Hans Dewachter & Klaas Mulier & Steven Ongena & Glenn Schepens, 2019.
"Some Borrowers are More Equal than Others: Bank Funding Shocks and Credit Reallocation,"
Swiss Finance Institute Research Paper Series
19-45, Swiss Finance Institute.
- Olivier De Jonghe & Hans Dewachter & Klaas Mulier & Steven Ongena & Glenn Schepens, 2020. "Some Borrowers Are More Equal than Others: Bank Funding Shocks and Credit Reallocation [A theory of systemic risk and design of prudential bank regulation]," Review of Finance, European Finance Association, vol. 24(1), pages 1-43.
- De Jonghe, Olivier & Dewachter, Hans & Mulier, Klaas & Ongena, Steven & Schepens, Glenn, 2019. "Some borrowers are more equal than others: bank funding shocks and credit reallocation," Working Paper Series 2230, European Central Bank.
- Olivier De Jonghe & Hans Dewachter & Klaas Mulier & Steven Ongena & Glenn Schepens, 2018. "Some borrowers are more equal than others: Bank funding shocks and credit reallocation," Working Paper Research 361, National Bank of Belgium.
Cited by:
- Reint Gropp & Thomas C. Mosk & Steven Ongena & Carlo Wix, 2016.
"Bank Response to Higher Capital Requirements: Evidence from a Quasi-Natural Experiment,"
Swiss Finance Institute Research Paper Series
16-70, Swiss Finance Institute.
- Gropp, Reint E. & Mosk, Thomas & Ongena, Steven & Wix, Carlo, 2018. "Bank response to higher capital requirements: Evidence from a quasi-natural experiment," SAFE Working Paper Series 156, Leibniz Institute for Financial Research SAFE, revised 2018.
- Reint Gropp & Thomas Mosk & Steven Ongena & Carlo Wix, 2019. "Banks Response to Higher Capital Requirements: Evidence from a Quasi-Natural Experiment," The Review of Financial Studies, Society for Financial Studies, vol. 32(1), pages 266-299.
- Gropp, Reint E. & Mosk, Thomas & Ongena, Steven & Wix, Carlo, 2016. "Bank response to higher capital requirements: Evidence from a quasi-natural experiment," IWH Discussion Papers 33/2016, Halle Institute for Economic Research (IWH).
- Doerr, Sebastian & Kabaş, Gazi & Ongena, Steven, 2024.
"Population Aging and Bank Risk-Taking,"
Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 59(7), pages 3037-3061, November.
- Sebastian Doerr & Gazi Kabas & Steven Ongena, 2022. "Population aging and bank risk-taking," BIS Working Papers 1050, Bank for International Settlements.
- Sebastian Doerr & Gazi Kabas & Steven Ongena, 2020. "Population Aging and Bank Risk-Taking," Swiss Finance Institute Research Paper Series 20-62, Swiss Finance Institute.
- Doerr, Sebastian & Kabas, Gazi & Ongena, Steven, 2022. "Population aging and bank risk-taking," MPRA Paper 112426, University Library of Munich, Germany.
- David Elliott & Ralf R. Meisenzahl & José-Luis Peydró & Bryce C. Turner, 2019.
"Nonbanks, Banks, and Monetary Policy: U.S. Loan-Level Evidence since the 1990s,"
Working Papers
1129, Barcelona School of Economics.
- Peydró, José-Luis & Elliott, David & Meisenzahl, Ralf & Turner, Bryce C., 2020. "Nonbanks, Banks, and Monetary Policy: U.S. Loan-Level Evidence since the 1990s," CEPR Discussion Papers 14989, C.E.P.R. Discussion Papers.
- Elliott, David & Meisenzahl, Ralf & Peydró, José-Luis & Turner, Bryce C., 2019. "Nonbanks, Banks, and Monetary Policy: U.S. Loan-Level Evidence since the 1990s," EconStor Preprints 216796, ZBW - Leibniz Information Centre for Economics.
- David Elliott & Ralf R. Meisenzahl & José-Luis Peydró & B.C. Turner, 2019. "Nonbanks, banks, and monetary policy: U.S. loan-level evidence since the 1990s," Economics Working Papers 1679, Department of Economics and Business, Universitat Pompeu Fabra, revised Jun 2022.
- Elliott, David & Meisenzahl, Ralf & Peydró, José-Luis & Turner, Bryce, 2020. "Nonbanks, Banks, and Monetary Policy: U.S. Loan-Level Evidence since the 1990s," VfS Annual Conference 2020 (Virtual Conference): Gender Economics 224554, Verein für Socialpolitik / German Economic Association.
- Lara Coulier & Alessio Reghezza, 2024.
"Are low interest rates firing back? Interest rate risk in the banking book and bank lending in a rising interest rate environment,"
BIS Working Papers
1202, Bank for International Settlements.
- Lara Coulier & Cosimo Pancaro & Alessio Reghezza, 2024. "Are low interest rates firing back? Interest rate risk in the banking book and bank lending in a rising interest rate environment," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 24/1091, Ghent University, Faculty of Economics and Business Administration.
- Coulier, Lara & Pancaro, Cosimo & Reghezza, Alessio, 2024. "Are low interest rates firing back? Interest rate risk in the banking book and bank lending in a rising interest rate environment," Working Paper Series 2950, European Central Bank.
- Ralf R. Meisenzahl, 2023. "How Climate Change Shapes Bank Lending: Evidence from Portfolio Reallocation," Working Paper Series WP 2023-12, Federal Reserve Bank of Chicago.
- Kazakov, Aleksandr & Koetter, Michael & Titze, Mirko & Tonzer, Lena, 2024. "The effect of firm subsidies on credit markets," IWH Discussion Papers 24/2022, Halle Institute for Economic Research (IWH), revised 2024.
- Anne Duquerroy & Clément Mazet-Sonilhac & Jean-Stéphane Mésonnier & Daniel Paravisini, 2022.
"Bank Local Specialization,"
SciencePo Working papers Main
hal-03812807, HAL.
- Anne Duquerroy & Clément Mazet-Sonilhac & Jean-Stéphane Mésonnier & Daniel Paravisini, 2022. "Bank Local Specialization," SciencePo Working papers hal-03812807, HAL.
- Anne Duquerroy & Clément Mazet-Sonilhac & Jean-Stéphane Mésonnier & Daniel Paravisini, 2022. "Bank Local Specialization," Working papers 865, Banque de France.
- Anne Duquerroy & Clément Mazet-Sonilhac & Jean-Stéphane Mésonnier & Daniel Paravisini, 2022. "Bank Local Specialization," Working Papers hal-03812807, HAL.
- Aleksandra Baros & Ettore Croci & Mattia Girotti & Federica Salvadè, 2023. "Information Salience and Credit Supply: Evidence from Payment Defaults on Trade Bills," Working papers 918, Banque de France.
- Aldasoro, Inaki & Doerr, Sebastian & Zhou, Haonan, 2024.
"Non-bank lending during crises,"
CEPR Discussion Papers
18989, C.E.P.R. Discussion Papers.
- Iñaki Aldasoro & Sebastian Doerr & Haonan Zhou, 2023. "Non-bank lending during crises," BIS Working Papers 1074, Bank for International Settlements.
- Gete, Pedro, 2018. "Lending standards and macroeconomic dynamics," Working Paper Series 2207, European Central Bank.
- Degryse, Hans & Mariathasan, Mike & Tang, Thi Hien, 2020. "GSIB status and corporate lending: An international analysis," CEPR Discussion Papers 15564, C.E.P.R. Discussion Papers.
- Bednarek, Peter & Briukhova, Olga & Ongena, Steven & von Westernhagen, Natalja, 2023. "Effects of bank capital requirements on lending by banks and non-bank financial institutions," Discussion Papers 26/2023, Deutsche Bundesbank.
- Mayer, Thierry & Berthou, Antoine & Mésonnier, Jean-Stéphane, 2021.
"Good connections : bank specialization and the tariff elasticity of exports,"
CEPR Discussion Papers
15890, C.E.P.R. Discussion Papers.
- Berthou Antoine, & Mayer Thierry, & Mésonnier Jean-Stéphane., 2021. "Good Connections: Bank Specialization and the Tariff Elasticity of Exports," Working papers 814, Banque de France.
- Hans Degryse & Roman Goncharenko & Carola Theunisz & Tamas Vadasz, 2020.
"When green meets green,"
Working Paper Research
392, National Bank of Belgium.
- Degryse, Hans & Goncharenko, Roman & Theunisz, Carola & Vadasz, Tamas, 2021. "When Green Meets Green," CEPR Discussion Papers 16536, C.E.P.R. Discussion Papers.
- Degryse, Hans & Goncharenko, Roman & Theunisz, Carola & Vadasz, Tamas, 2023. "When green meets green," Journal of Corporate Finance, Elsevier, vol. 78(C).
- Farinha, Luísa & Spaliara, Marina-Eliza & Tsoukas, Serafeim, 2019.
"Bank shocks and firm performance: New evidence from the sovereign debt crisis,"
Journal of Financial Intermediation, Elsevier, vol. 40(C).
- Luísa Farinha & Marina-Eliza Spaliara, 2018. "Bank shocks and firm performance: New evidence from the sovereign debt crisis," Working Papers w201824, Banco de Portugal, Economics and Research Department.
- Bakkar, Yassine & De Jonghe, Olivier & Tarazi, Amine, 2023.
"Does banks’ systemic importance affect their capital structure and balance sheet adjustment processes?,"
Journal of Banking & Finance, Elsevier, vol. 151(C).
- Yassine Bakkar & Olivier De Jonghe & Amine Tarazi, 2023. "Does banks’ systemic importance affect their capital structure and balance sheet adjustment processes?," Post-Print hal-04678216, HAL.
- Bakkar, Yassine & De Jonghe, Olivier & Tarazi, Amine, 2022. "Does banks’ systemic importance affect their capital structure and balance sheet adjustment processes?," Other publications TiSEM b83f43a7-0f39-4d07-babc-9, Tilburg University, School of Economics and Management.
- Yassine Bakkar & Olivier De Jonghe & Amine Tarazi, 2019. "Does banks’ systemic importance affect their capital structure and balance sheet adjustment processes?," Working Paper Research 369, National Bank of Belgium.
- Yassine Bakkar & Olivier De Jonghe & Amine Tarazi, 2019. "Does banks' systemic importance affect their capital structure and balance sheet adjustment processes?," Post-Print hal-02059939, HAL.
- Yassine Bakkar & Olivier De Jonghe & Amine Tarazi, 2017. "Does banks' systemic importance affect their capital structure and balance sheet adjustment processes?," Working Papers hal-01636253, HAL.
- Fabiana Sabatini, 2022. "The impact of sovereign tensions on bank lending: identifying the channels at work," Temi di discussione (Economic working papers) 1397, Bank of Italy, Economic Research and International Relations Area.
- Paul Pelzl & María Teresa, 2023. "Capital Regulations and the Management of Credit Commitments during Crisis Times," Review of Finance, European Finance Association, vol. 27(5), pages 1781-1821.
- Jiang, Shuyi & Li, Jay Y., 2022. "He who lends knows," Journal of Banking & Finance, Elsevier, vol. 138(C).
- Raja, Akash, 2023. "The impact of changes in bank capital requirements," Bank of England working papers 1004, Bank of England.
- Sebastian Doerr, 2019. "Unintended side effects: stress tests, entrepreneurship, and innovation," BIS Working Papers 823, Bank for International Settlements.
- Kosekova, Kamelia & Maddaloni, Angela & Papoutsi, Melina & Schivardi, Fabiano, 2023.
"Firm-bank relationships: a cross-country comparison,"
Working Paper Series
2826, European Central Bank.
- Kosekova, Kamelia & Maddaloni, Angela & Papoutsi, Melina & Schivardi, Fabiano, 2023. "Firm-bank relationships: A cross-country comparison," SAFE Working Paper Series 390, Leibniz Institute for Financial Research SAFE.
- Sebastian Doerr & Philipp Schaz, 2018.
"Bank loan supply during crises: the importance of geographic diversification,"
ECON - Working Papers
288, Department of Economics - University of Zurich, revised Mar 2019.
- Sebastian Doerr & Philipp Schaz, 2019. "Bank loan supply during crises: the importance of geographic diversification," BIS Working Papers 827, Bank for International Settlements.
- Ramon Moreno & José María Serena Garralda, 2018. "Firms' credit risk and the onshore transmission of the global financial cycle," BIS Working Papers 712, Bank for International Settlements.
- Marie Finnegan & Supriya Kapoor, 2023. "ECB unconventional monetary policy and SME access to finance," Small Business Economics, Springer, vol. 61(3), pages 1253-1288, October.
- Goedde-Menke, Michael & Ingermann, Peter-Hendrik, 2024. "Loan officer specialization and credit defaults," Journal of Banking & Finance, Elsevier, vol. 161(C).
- Sumit Agarwal & Ricardo Correa & Bernardo Morais & Jessica Roldán & Claudia Ruiz-Ortega, 2020.
"Owe a Bank Millions, the Bank Has a Problem: Credit Concentration in Bad Times,"
International Finance Discussion Papers
1288, Board of Governors of the Federal Reserve System (U.S.).
- Agarwal,Sumit & Correa,Ricardo & Morais,Bernardo & Roldan,Jessica & Ruiz Ortega,Claudia, 2020. "Owe a Bank Millions, the Bank Has a Problem : Credit Concentration in Bad Times," Policy Research Working Paper Series 9202, The World Bank.
- De Jonghe, Olivier & Dewachter, Hans & Ongena, Steven, 2020.
"Bank capital (requirements) and credit supply: Evidence from pillar 2 decisions,"
Journal of Corporate Finance, Elsevier, vol. 60(C).
- Olivier De Jonghey & Hans Dewachter & Steven Ongenax, 2016. "Bank capital (requirements) and credit supply: Evidence from pillar 2 decisions," Working Paper Research 303, National Bank of Belgium.
- Sheng Huang & Ruichang Lu & Anand Srinivasan, 2022. "Bank Dependence and Bank Financing in Corporate M&A," Management Science, INFORMS, vol. 68(3), pages 2250-2283, March.
- Suarez, Javier & Mendicino, Caterina & Nikolov, Kalin & Rubio-RamÃrez, Juan Francisco & Supera, Dominik, 2020.
"Twin Defaults and Bank Capital Requirements,"
CEPR Discussion Papers
14427, C.E.P.R. Discussion Papers.
- Mendicino, Caterina & Nikolov, Kalin & Ramirez, Juan-Rubio & Suarez, Javier & Supera, Dominik, 2020. "Twin defaults and bank capital requirements," Working Paper Series 2414, European Central Bank.
- Xiangming Fang & David Jutrsa & Maria Soledad Martinez Peria & Mr. Andrea F Presbitero & Mr. Lev Ratnovski & Mr. Felix J Vardy, 2018. "The Effects of Higher Bank Capital Requirements on Credit in Peru," IMF Working Papers 2018/222, International Monetary Fund.
- Nicholas Apergis & Sayantan Ghosh Dastidar, 2022. "The determinants of aggregate fluctuations: The role of firm‐borrowing channels," Manchester School, University of Manchester, vol. 90(1), pages 20-34, January.
- Accetturo, Antonio & Barboni, Giorgia & Cascarano, Michele & Garcia-Appendini, Emilia & Tomasi, Marco, 2022.
"Credit supply and green Investments,"
CAGE Online Working Paper Series
615, Competitive Advantage in the Global Economy (CAGE).
- Antonio Accetturo & Giorgia Barboni & Michele Cascarano & Emilia Garcia-Appendini & Marco Tomasi, 2024. "Credit supply and green investments," Temi di discussione (Economic working papers) 1456, Bank of Italy, Economic Research and International Relations Area.
- Samuel Ligonnière & Salima Ouerk, 2024.
"The unequal distribution of credit: Is there any role for monetary policy?,"
Working Papers of BETA
2024-19, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
- Samuel Ligonnière & Salima Ouerk, 2024. "The unequal distribution of credit: Is there any role for monetary policy?," French Stata Users' Group Meetings 2024 08, Stata Users Group.
- Auer, Raphael & Ongena, Steven, 2019.
"The countercyclical capital buffer and the composition of bank lending,"
CEPR Discussion Papers
13942, C.E.P.R. Discussion Papers.
- Raphael Auer & Steven Ongena, 2016. "The countercyclical capital buffer and the composition of bank lending," BIS Working Papers 593, Bank for International Settlements.
- Raphael Auer & Alexandra Matyunina & Steven Ongena, 2021. "The countercyclical capital buffer and the composition of bank lending," Swiss Finance Institute Research Paper Series 21-66, Swiss Finance Institute.
- Auer, Raphael & Matyunina, Alexandra & Ongena, Steven, 2022. "The countercyclical capital buffer and the composition of bank lending," Journal of Financial Intermediation, Elsevier, vol. 52(C).
- Raphael A. Auer & Steven Ongena, 2019. "The Countercyclical Capital Buffer and the Composition of Bank Lending," CESifo Working Paper Series 7815, CESifo.
- Doerr, Sebastian & Schaz, Philipp, 2021. "Geographic diversification and bank lending during crises," Journal of Financial Economics, Elsevier, vol. 140(3), pages 768-788.
- Guler, Ozan & Mariathasan, Mike & Mulier, Klaas & Okatan, Nejat G., 2019. "The Real Effects of Credit Supply: Review, Synthesis, and Future Directions," MPRA Paper 96542, University Library of Munich, Germany.
- Anne Duquerroy & Adrien Matray & Farzad Saidi, 2022.
"Tracing Banks' Credit Allocation to their Funding Costs,"
ECONtribute Discussion Papers Series
150, University of Bonn and University of Cologne, Germany.
- Duquerroy, Anna & Matray, Adrien & Saidi, Farzad, 2022. "Tracing Banks' Credit Allocation to their Funding Costs," CEPR Discussion Papers 17072, C.E.P.R. Discussion Papers.
- Borsuk, Marcin & Kowalewski, Oskar & Qi, Jianping, 2023. "The dark side of bank taxes," Journal of Banking & Finance, Elsevier, vol. 157(C).
- Beck, Thorsten & Da-Rocha-Lopes, Samuel & Silva, Andre F., 2017.
"Sharing the Pain? Credit Supply and Real Effects of Bank Bail-ins,"
CEPR Discussion Papers
12058, C.E.P.R. Discussion Papers.
- Thorsten Beck & Samuel Da-Rocha-Lopes & André F Silva & Francesca Cornelli, 2021. "Sharing the Pain? Credit Supply and Real Effects of Bank Bail-ins [High wage workers and high wage firms]," The Review of Financial Studies, Society for Financial Studies, vol. 34(4), pages 1747-1788.
- Di, Wenhua & Pattison, Nathaniel, 2023. "Industry Specialization and Small Business Lending," Journal of Banking & Finance, Elsevier, vol. 149(C).
- Luísa Farinha & Sotirios Kokas, 2022. "Real effects of imperfect bank-firm matching," Working Papers w202210, Banco de Portugal, Economics and Research Department.
- Antoniades, Adonis, 2021. "Monetary easing and the lending concentration channel of monetary policy transmission," Journal of Banking & Finance, Elsevier, vol. 133(C).
- Rhys Bidder & John Krainer & Adam Shapiro, 2020.
"Online Appendix to "De-leveraging or de-risking? How banks cope with loss","
Online Appendices
19-100, Review of Economic Dynamics.
- Rhys Bidder & John Krainer & Adam Shapiro, 2021. "De-leveraging or de-risking? How banks cope with loss," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 39, pages 100-127, January.
- Caterina Mendicino & Kalin Nikolov & Juan Rubio-Ramirez & Javier Suarez & Dominik Supera, 2020.
"Twin Default Crises,"
Working Papers
wp2020_2006, CEMFI.
- Caterina Mendicino & Kalin Nikolov & Juan Rubio-Ramirez & Javier Suarez, 2020. "Twin Default Crises," Working Papers 2020-01, FEDEA.
- Ozan Güler & Mike Mariathasan & Klaas Mulier & Nejat G. Okatan, 2021. "The real effects of banks' corporate credit supply: A literature review," Economic Inquiry, Western Economic Association International, vol. 59(3), pages 1252-1285, July.
- Iñaki Aldasoro & Sebastian Doerr & Haonan Zhou, 2022. "Non-bank lenders in the syndicated loan market," BIS Quarterly Review, Bank for International Settlements, March.
- Degryse, Hans & Mariathasan, Mike & Tang, Hien T., 2023. "GSIB status and corporate lending," Journal of Corporate Finance, Elsevier, vol. 80(C).
- Gropp, Reint & Koetter, Michael & McShane, William, 2020. "The Corona recession and bank stress in Germany," IWH Online 4/2020, Halle Institute for Economic Research (IWH).
- Minetti, Raoul & Murro, Pierluigi & Peruzzi, Valentina, 2022. "Out of sight, out of mind? Global chains, export, and credit allocation in bad times," Working Papers 2022-2, Michigan State University, Department of Economics.
- M. Ali Choudhary & Anil K. Jain, 2017.
"Finance and Inequality : The Distributional Impacts of Bank Credit Rationing,"
International Finance Discussion Papers
1211, Board of Governors of the Federal Reserve System (U.S.).
- Choudhary, M. Ali & Jain, Anil, 2022. "Finance and inequality: The distributional impacts of bank credit rationing," Journal of Financial Intermediation, Elsevier, vol. 52(C).
- Davide Castellani & Elisa Giaretta, 2024. "Multimarket Banks, Local Economic Shocks, and Lending Behavior: When the Effect is on Cost but not on the Amount of Deposit Fundings," Journal of Financial Services Research, Springer;Western Finance Association, vol. 66(2), pages 193-225, October.
- Marco Pelosi & Giacomo Rodano & Enrico Sette, 2021. "Zombie firms and the take-up of support measures during Covid-19," Questioni di Economia e Finanza (Occasional Papers) 650, Bank of Italy, Economic Research and International Relations Area.
- Hoffmann, Mathias & Okubo, Toshihiro, 2022.
"‘By a silken thread’: Regional banking integration and credit reallocation during Japan's lost decade,"
Journal of International Economics, Elsevier, vol. 137(C).
- Mathias Hoffmann & Toshihiro Okubo, 2012. "'By a Silken Thread': regional banking integration and credit reallocation during Japan’s Lost Decade," ECON - Working Papers 102, Department of Economics - University of Zurich, revised May 2021.
- Kazakov, Aleksandr & Koetter, Michael & Titze, Mirko & Tonzer, Lena, 2022. "Firm subsidies, financial intermediation, and bank risk," IWH Discussion Papers 2/2022, Halle Institute for Economic Research (IWH).
- Dursun-de Neef, H. Özlem, 2023. "Bank specialization, mortgage lending and house prices," Journal of Banking & Finance, Elsevier, vol. 151(C).
- Gómez, Esteban & Murcia, Andrés & Lizarazo, Angélica & Mendoza, Juan Carlos, 2020.
"Evaluating the impact of macroprudential policies on credit growth in Colombia,"
Journal of Financial Intermediation, Elsevier, vol. 42(C).
- Esteban Gómez & Angélica Lizarazo & Juan Carlos Mendoza & Andrés Murcia Pabón, 2017. "Evaluating the impact of macroprudential policies on credit growth in Colombia," BIS Working Papers 634, Bank for International Settlements.
- Thiago Christiano Silva & Carlos Eduardo de Almeida & Solange Maria Guerra & Benjamin Miranda Tabak, 2024. "COVID-19 and Credit Reallocation: evidence from bank branch lending in Brazil," Working Papers Series 601, Central Bank of Brazil, Research Department.
- Hagendorff, Jens & Nguyen, Duc Duy & Sila, Vathunyoo, 2022. "Does marriage equality promote credit access? Evidence from same-sex marriage laws," Journal of Corporate Finance, Elsevier, vol. 77(C).
- Giebel, Marek & Kraft, Kornelius, 2020. "Bank credit supply and firm innovation behavior in the financial crisis," Journal of Banking & Finance, Elsevier, vol. 121(C).
- Yassine Bakkar & Olivier De Jonghe & Amine Tarazi, 2017. "Does banks' systemic importance affect their capital structure adjustment process?," Working Papers hal-01546995, HAL.
- Koray Aktaş & Gian Paolo Barbetta, 2023. "The Effect of Giving Credit to Social Enterprises: Evidence From Italy," Italian Economic Journal: A Continuation of Rivista Italiana degli Economisti and Giornale degli Economisti, Springer;Società Italiana degli Economisti (Italian Economic Association), vol. 9(1), pages 235-263, March.
- Thorsten Beck & Olivier De Jonghe & Klaas Mulier, 2022. "Bank Sectoral Concentration and Risk: Evidence from a Worldwide Sample of Banks," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 54(6), pages 1705-1739, September.
- Sobiech, Anna L. & Chronopoulos, Dimitris K. & Wilson, John O.S., 2021. "The real effects of bank taxation: Evidence for corporate financing and investment," Journal of Corporate Finance, Elsevier, vol. 69(C).
- Müller, Isabella & Nguyen, Huyen & Nguyen, Trang, 2024. "Carbon transition risk and corporate loan securitization," IWH Discussion Papers 22/2022, Halle Institute for Economic Research (IWH), revised 2024.
- Aiba, Daiju, 2023. "Bank dependency on foreign funding and global liquidity shocks: The importance of US monetary policy for a developing country," Journal of Asian Economics, Elsevier, vol. 84(C).
- Ferrando, Annalisa & Mulier, Klaas, 2022. "The real effects of credit constraints: Evidence from discouraged borrowers," Journal of Corporate Finance, Elsevier, vol. 73(C).
- Sonny Biswas & Bálint L. Horváth & Wei Zhai, 2022. "Eliminating the Tax Shield through Allowance for Corporate Equity: Cross‐Border Credit Supply Effects," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 54(6), pages 1803-1837, September.
- Behr, Patrick & Wang, Weichao, 2020. "The (un)intended effects of government bailouts: The impact of TARP on the interbank market and bank risk-taking," Journal of Banking & Finance, Elsevier, vol. 116(C).
- Rhys M. Bidder & John Krainer & Adam Hale Shapiro, 2019.
"De-leveraging or De-risking? How Banks Cope with Loss,"
Working Paper Series
2017-3, Federal Reserve Bank of San Francisco.
- Rhys Bidder & John Krainer & Adam Shapiro, 2021. "De-leveraging or de-risking? How banks cope with loss," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 39, pages 100-127, January.
- Raupach, Peter & Memmel, Christoph, 2021. "Banks' credit losses and lending dynamics," Discussion Papers 36/2021, Deutsche Bundesbank.
- Izadi, Mohammad & Saadi, Vahid, 2023. "Banking Market Structure and Trade Shocks," Journal of Banking & Finance, Elsevier, vol. 153(C).
- Aleksandr Kazakov & Michael Koetter & Mirko Titze & Lena Tonzer, 2022. "Firm subsidies, financial intermediation, and bank stability," Tinbergen Institute Discussion Papers 22-078/IV, Tinbergen Institute.
- Nicholas Garvin & David W Hughes & José-Luis Peydró, 2021. "The Role of Collateral in Borrowing," RBA Research Discussion Papers rdp2021-01, Reserve Bank of Australia.
- Ebrahimi, Sajad & Ebrahimnejad, Ali & Rastad, Mahdi, 2023. "Number of creditors and the real effects of credit supply disruptions," Emerging Markets Review, Elsevier, vol. 55(C).
- Raschid Amamou & Áron Gereben & Marcin Wolski, 2023. "Assessing the impact of the EIB’s intermediated lending to SMEs during funding shocks," Small Business Economics, Springer, vol. 60(3), pages 975-1007, March.
- Beck, Thorsten & De Jonghe, Olivier & Mulier, Klaas, 2017. "Bank sectoral concentration and (systemic) risk: Evidence from a worldwide sample of banks," CEPR Discussion Papers 12009, C.E.P.R. Discussion Papers.
- Katarzyna Budnik & Gaia Barbic & Giulio Nicoletti & Massimiliano Affinito & Fabrizio Venditti & Saiffedine Ben Hadj & Hans Dewachter & Edouard Chretien & Clara Isabel González & Javier Mencía & Jenny , 2019.
"The benefits and costs of adjusting bank capitalisation: evidence from euro area countries,"
Working Papers
1923, Banco de España.
- Budnik, Katarzyna & Affinito, Massimiliano & Barbic, Gaia & Ben Hadj, Saiffedine & Chretien, Edouard & Dewachter, Hans & Gonzalez, Clara Isabel & Hu, Jenny & Jantunen, Lauri & Jimborean, Ramona & Mann, 2019. "The benefits and costs of adjusting bank capitalisation: evidence from euro area countries," Working Paper Series 2261, European Central Bank.
Cited by:
- Valerio Paolo Vacca & Fabian Bichlmeier & Paolo Biraschi & Natalie Boschi & Antonio J. Bravo Alvarez & Luciano Di Primio & André Ebner & Silvia Hoeretzeder & Elisa Llorente Ballesteros & Claudia Mian, 2021.
"Measuring the impact of a bank failure on the real economy. An EU-wide analytical framework,"
Questioni di Economia e Finanza (Occasional Papers)
626, Bank of Italy, Economic Research and International Relations Area.
- Vacca, Valerio Paolo & Bichlmeier, Fabian & Biraschi, Paolo & Boschi, Natalie & Álvarez, Antonio J. Bravo & Di Primio, Luciano & Ebner, André & Hoeretzeder, Silvia & Ballesteros, Elisa Llorente & Mian, 2021. "Measuring the impact of a bank failure on the real economy: an EU-wide analytical framework," ESRB Working Paper Series 122, European Systemic Risk Board.
- Kimundi, Gillian, 2024. "Heterogeneity in bank responsiveness to policy and economic shocks: The role of capitalization," KBA Centre for Research on Financial Markets and Policy Working Paper Series 81, Kenya Bankers Association (KBA).
- Rünstler, Gerhard & Balfoussia, Hiona & Burlon, Lorenzo & Buss, Ginters & Comunale, Mariarosaria & De Backer, Bruno & Dewachter, Hans & Guarda, Paolo & Haavio, Markus & Hindrayanto, Irma & Iskrev, Nik, 2018.
"Real and financial cycles in EU countries - Stylised facts and modelling implications,"
Occasional Paper Series
205, European Central Bank.
Cited by:
- Eyno Rots, 2018. "Business, Housing, and Credit Cycles – The Case of Hungary," Financial and Economic Review, Magyar Nemzeti Bank (Central Bank of Hungary), vol. 17(4), pages 5-22.
- Mariarosaria Comunale & Markus Eller & Mathias Lahnsteiner, 2020. "Assessing Credit Gaps in CESEE Based on Levels Justified by Fundamentals – A Comparison Across Different Estimation Approaches (Mariarosaria Comunale, Markus Eller, Mathias Lahnsteiner)," Working Papers 229, Oesterreichische Nationalbank (Austrian Central Bank).
- Potjagailo, Galina & Wolters, Maik H., 2019.
"Global financial cycles since 1880,"
IMFS Working Paper Series
132, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
- Potjagailo, Galina & Wolters, Maik H., 2019. "Global financial cycles since 1880," Kiel Working Papers 2122, Kiel Institute for the World Economy (IfW Kiel).
- Potjagailo, Galina & Wolters, Maik H, 2020. "Global financial cycles since 1880," Bank of England working papers 867, Bank of England.
- Potjagailo, Galina & Wolters, Maik H., 2023. "Global financial cycles since 1880," Journal of International Money and Finance, Elsevier, vol. 131(C).
- Kohler, Karsten & Tippet, Ben & Stockhammer, Engelbert, 2022.
"House price cycles, housing systems, and growth models,"
IPE Working Papers
194/2022, Berlin School of Economics and Law, Institute for International Political Economy (IPE).
- Karsten Kohler & Benjamin Tippet & Engelbert Stockhammer, 2023. "House price cycles, housing systems, and growth models," European Journal of Economics and Economic Policies: Intervention, Edward Elgar Publishing, vol. 20(3), pages 461-490, December.
- Xin Tian & Jan Jacobs & Jakob de Haan, 2022. "Alternative Measures for the Global Financial Cycle: Do They Make a Difference?," CESifo Working Paper Series 9730, CESifo.
- Amat Adarov, 2019.
"Financial Cycles in Europe: Dynamics, Synchronicity and Implications for Business Cycles and Macroeconomic Imbalances,"
wiiw Working Papers
166, The Vienna Institute for International Economic Studies, wiiw.
- Amat Adarov, 2023. "Financial cycles in Europe: dynamics, synchronicity and implications for business cycles and macroeconomic imbalances," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 50(2), pages 551-583, May.
- Hiona Balfoussia & Heather D. Gibson & Dimitris Malliaropulos & Dimitris Papageorgiou, 2020. "The economic impact of pandemics: real and financial transmission channels," Working Papers 283, Bank of Greece.
- Davor Kunovac & Martin Mandler & Michael Scharnagl, 2018.
"Financial cycles in euro area economies: a cross-country perspective,"
Working Papers
55, The Croatian National Bank, Croatia.
- Kunovac, Davor & Mandler, Martin & Scharnagl, Michael, 2018. "Financial cycles in euro area economies: A cross-country perspective," Discussion Papers 04/2018, Deutsche Bundesbank.
- Mariarosaria Comunale & Markus Eller & Mathias Lahnsteiner, 2020. "Assessing credit gaps in CESEE based on levels justified by fundamentals – a comparison across different estimation approaches," Bank of Lithuania Working Paper Series 74, Bank of Lithuania.
- Maximilien Coussin & Anne-Laure Delatte, 2019. "Les cycles financiers convergent-ils en zone euro? En phase oui, en amplitude non," La Lettre du CEPII, CEPII research center, issue 403.
- Jesper Pedersen, 2019. "What Are the Effects of Changes in Taxation and New Types of Mortgages on the Real Economy? The Case of Denmark during the 2000s," International Journal of Central Banking, International Journal of Central Banking, vol. 15(5), pages 47-99, December.
- Chikako Baba & Mr. Salvatore Dell'Erba & Ms. Enrica Detragiache & Olamide Harrison & Ms. Aiko Mineshima & Anvar Musayev & Asghar Shahmoradi, 2020. "How Should Credit Gaps Be Measured? An Application to European Countries," IMF Working Papers 2020/006, International Monetary Fund.
- Gabriel Zsurkis, 2022. "Determinants of cost of equity for listed euro area banks," Working Papers w202209, Banco de Portugal, Economics and Research Department.
- Lenarčič, Črt, 2021. "Estimating business and financial cycles in Slovenia," MPRA Paper 109977, University Library of Munich, Germany.
- Filippo Gusella, 2022.
"Detecting And Measuring Financial Cycles In Heterogeneous Agents Models: An Empirical Analysis,"
Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd., vol. 25(02n03), pages 1-22, March.
- Filippo Gusella, 2022. "Detecting and Measuring Financial Cycles in Heterogeneous Agents Models: An Empirical Analysis," Working Papers - Economics wp2022_02.rdf, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
- Jasper de Winter & Siem Jan Koopman & Irma Hindrayanto, 2022. "Joint Decomposition of Business and Financial Cycles: Evidence from Eight Advanced Economies," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 84(1), pages 57-79, February.
- Davor Kunovac & Ivan Žilić, 2020. "Home sweet home: The effects of housing loan subsidies on the housing market in Croatia," Working Papers 60, The Croatian National Bank, Croatia.
- Mariarosaria Comunale & Francesco Paolo Mongelli, 2021.
"Tracking growth in the euro area subject to a dimensionality problem,"
Applied Economics, Taylor & Francis Journals, vol. 53(57), pages 6611-6625, December.
- Comunale, Mariarosaria & Mongelli, Francesco Paolo, 2021. "Tracking growth in the euro area subject to a dimensionality problem," Working Paper Series 2591, European Central Bank.
- Jitka Pomenkova & Eva Klejmova & Zuzana Kucerova, 2019. "Cyclicality in lending activity of Euro area in pre- and post- 2008 crisis: a local-adaptive-based testing of wavelets," Baltic Journal of Economics, Baltic International Centre for Economic Policy Studies, vol. 19(1), pages 155-175.
- Mariarosaria Comunale & Dmitrij Celov, 2021.
"Business cycles in the EU: A comprehensive comparison across methods,"
Bank of Lithuania Discussion Paper Series
26, Bank of Lithuania.
- Dmitrij Celov & Mariarosaria Comunale, 2022. "Business Cycles in the EU: A Comprehensive Comparison Across Methods," Advances in Econometrics, in: Essays in Honour of Fabio Canova, volume 44, pages 99-146, Emerald Group Publishing Limited.
- Mariarosaria Comunale, 2020. "New synchronicity indices between real and financial cycles: Is there any link to structural characteristics and recessions in European Union countries?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 25(4), pages 617-641, October.
- Ernest Gnan & Claudia Kwapil & Maria Teresa Valderrama, 2018. "Monetary policy after the crisis: mandates, targets, and international linkages," Monetary Policy & the Economy, Oesterreichische Nationalbank (Austrian Central Bank), issue Q2/18, pages 8-33.
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- Lang, Jan Hannes & Welz, Peter, 2018. "Semi-structural credit gap estimation," Working Paper Series 2194, European Central Bank.
- Rob Luginbuhl, 2020. "Estimation of the Financial Cycle with a Rank-Reduced Multivariate State-Space Model," CPB Discussion Paper 409, CPB Netherlands Bureau for Economic Policy Analysis.
- Chalmovianský, Jakub & Němec, Daniel, 2022. "Assessing uncertainty of output gap estimates: Evidence from Visegrad countries," Economic Modelling, Elsevier, vol. 116(C).
- Martin Mandler & Michael Scharnagl, 2022. "Financial Cycles in Euro Area Economies: A Cross‐Country Perspective Using Wavelet Analysis," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 84(3), pages 569-593, June.
- Andreea Maria Muraru, 2020. "The Impact of Global Tensions on the Economic and Financial Cycle in Romania," Postmodern Openings, Editura Lumen, Department of Economics, vol. 11(3), pages 115-128, October.
- Paolo Guarda & Alban Moura, 2019. "Measuring real and financial cycles in Luxembourg: An unobserved components approach," BCL working papers 126, Central Bank of Luxembourg.
- O'Brien, Martin & Velasco, Sofia, 2020. "Unobserved components models with stochastic volatility for extracting trends and cycles in credit," Research Technical Papers 09/RT/20, Central Bank of Ireland.
- Mariarosaria Comunale & Francesco Paolo Mongelli, 2019.
"Who did it? A European Detective Story. Was it Real, Financial, Monetary and/or Institutional: Tracking Growth in the Euro Area with an Atheoretical Tool,"
Bank of Lithuania Working Paper Series
70, Bank of Lithuania.
- Mariarosaria Comunale & Francesco Paolo Mongelli, 2020. "Who did it? A European detective story was it real, financial, monetary and/or institutional: Tracking growth in the Euro area with an atheoretical tool," CAMA Working Papers 2020-05, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Mariarosaria Comunale & Francesco Paolo Mongelli, 2020. "Who did it? A European Detective Story Was it Real, Financial, Monetary and/or Institutional: Tracking Growth in the Euro Area with an Atheoretical Tool," CEIS Research Paper 481, Tor Vergata University, CEIS, revised 11 May 2020.
- Mandler, Martin & Scharnagl, Michael, 2022.
"Financial cycles across G7 economies: A view from wavelet analysis,"
The Journal of Economic Asymmetries, Elsevier, vol. 26(C).
- Mandler, Martin & Scharnagl, Michael, 2019. "Financial cycles across G7 economies: A view from wavelet analysis," Discussion Papers 22/2019, Deutsche Bundesbank.
- Jaromir Baxa & Jan Zacek, 2022. "Monetary Policy and the Financial Cycle: International Evidence," Working Papers 2022/4, Czech National Bank.
- Mariarosaria Comunale & Francesco Paolo Mongelli, 2019. "Euro Area Growth and European Institutional Reforms," Bank of Lithuania Occasional Paper Series 24, Bank of Lithuania.
- Scharnagl Michael & Mandler Martin, 2019. "Real and Financial Cycles in Euro Area Economies: Results from Wavelet Analysis," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 239(5-6), pages 895-916, October.
- Yannis Dafermos & Daniela Gabor & Jo Michell, 2023. "Institutional supercycles: an evolutionary macro-finance approach," New Political Economy, Taylor & Francis Journals, vol. 28(5), pages 693-712, September.
- Dewachter, Hans & Iania, Leonardo & Lemke, Wolfgang & Lyrio, Marco, 2018.
"A macro-financial analysis of the corporate bond market,"
Working Paper Series
2214, European Central Bank.
- Hans Dewachter & Leonardo Iania & Wolfgang Lemke & Marco Lyrio, 2019. "A macro–financial analysis of the corporate bond market," Empirical Economics, Springer, vol. 57(6), pages 1911-1933, December.
- Hans Dewachter & Leonardo Iania & Wolfgang Lemke & Marco Lyrio, 2018. "A macro-financial analysis of the corporate bond market," Working Paper Research 360, National Bank of Belgium.
- Dewacther, Hans & Iania, Leonardo & Lemke, Wolfgang & Lyrio, Marco, 2019. "A Macro-Financial Analysis of the Corporate Bond Market," LIDAM Reprints LFIN 2019008, Université catholique de Louvain, Louvain Finance (LFIN).
Cited by:
- De Backer, Bruno & Dewachter, Hans & Iania, Leonardo, 2021.
"Macrofinancial information on the post- COVID-19 economic recovery: will it be V, U or L-shaped?,"
LIDAM Discussion Papers LFIN
2021002, Université catholique de Louvain, Louvain Finance (LFIN).
- De Backer, Bruno & Dewachter, Hans & Iania, Leonardo, 2021. "Macrofinancial information on the post-COVID-19 economic recovery: Will it be V, U or L-shaped?," Finance Research Letters, Elsevier, vol. 43(C).
- De Backer, Bruno & Dewachter, Hans & Iania, Leonardo, 2021. "Macrofinancial information on the post-COVID-19 economic recovery: Will it be V, U or L-shaped?," LIDAM Reprints LFIN 2021007, Université catholique de Louvain, Louvain Finance (LFIN).
- Alena Audzeyeva & Xu Wang, 2023. "Fundamentals, real-time uncertainty and CDS index spreads," Review of Quantitative Finance and Accounting, Springer, vol. 61(1), pages 1-33, July.
- Olivier De Jonghey & Hans Dewachter & Steven Ongenax, 2016.
"Bank capital (requirements) and credit supply: Evidence from pillar 2 decisions,"
Working Paper Research
303, National Bank of Belgium.
- De Jonghe, Olivier & Dewachter, Hans & Ongena, Steven, 2020. "Bank capital (requirements) and credit supply: Evidence from pillar 2 decisions," Journal of Corporate Finance, Elsevier, vol. 60(C).
Cited by:
- Nezih Guner & Yuliya Kulikova & Joan Llull, 2016.
"Marriage and Health: Selection, Protection, and Assortative Mating,"
Working Papers
wp2016_1612, CEMFI.
- Nezih Guner & Yuliya Kulikova & Joan Llull, 2017. "Marriage and health: selection, protection, and assortative mating," Working Papers 1745, Banco de España.
- Guner, Nezih & Kulikova, Yuliya & Llull, Joan, 2018. "Marriage and health: Selection, protection, and assortative mating," European Economic Review, Elsevier, vol. 104(C), pages 138-166.
- Finaldi Russo, Paolo & Nigro, Valentina & Pastorelli, Sabrina, 2024.
"Bank lending to small firms: Metamorphosis of a financing model,"
International Review of Economics & Finance, Elsevier, vol. 90(C), pages 13-31.
- Paolo Finaldi Russo & Valentina Nigro & Sabrina Pastorelli, 2022. "Bank lending to small firms: metamorphosis of a financing model," Temi di discussione (Economic working papers) 1383, Bank of Italy, Economic Research and International Relations Area.
- Cappelletti, Giuseppe & Reghezza, Alessio & Rodríguez d'Acri, Costanza & Spaggiari, Martina, 2022. "Compositional effects of bank capital buffers and interactions with monetary policy," Journal of Banking & Finance, Elsevier, vol. 140(C).
- Goel, Tirupam & Lewrick, Ulf & Mathur, Aakriti, 2021.
"Does regulation only bite the less profitable? Evidence from the too-big-to-fail reforms,"
Bank of England working papers
946, Bank of England.
- Tirupam Goel & Ulf Lewrick & Aakriti Mathur, 2021. "Does regulation only bite the less profitable? Evidence from the too-big-to-fail reforms," BIS Working Papers 922, Bank for International Settlements.
- Aurore Burietz & Steven Ongena & Matthieu Picault, 2022.
"Taxing Banks Leverage and Syndicated Lending: A Cross-Country Comparison,"
Swiss Finance Institute Research Paper Series
22-17, Swiss Finance Institute.
- Burietz, A. & Ongena, S. & Picault, M., 2023. "Taxing banks leverage and syndicated lending: A cross-country comparison," International Review of Law and Economics, Elsevier, vol. 73(C).
- Aurore Burietz & Steven Ongena & Matthieu Picault, 2023. "Taxing Banks Leverage and Syndicated Lending: A Cross-Country Comparison," Post-Print hal-03810450, HAL.
- Pacicco, Fausto & Serati, Massimiliano & Venegoni, Andrea, 2022. "The Euro Area credit crunch conundrum: Was it demand or supply driven?," Economic Modelling, Elsevier, vol. 106(C).
- Farkas, Walter & Fringuellotti, Fulvia & Tunaru, Radu, 2020.
"A cost-benefit analysis of capital requirements adjusted for model risk,"
Journal of Corporate Finance, Elsevier, vol. 65(C).
- Walter Farkas & Fulvia Fringuellotti & Radu Tunaru, 2020. "A Cost-Benefit Analysis of Capital Requirements Adjusted for Model Risk," Swiss Finance Institute Research Paper Series 20-86, Swiss Finance Institute.
- Chokri Zehri & Zagros Madjd‐Sadjadi, 2024. "Capital flow management and monetary policy to control credit growth," Economics and Politics, Wiley Blackwell, vol. 36(2), pages 637-676, July.
- Cao, Jin & Dinger, Valeriya & Grodecka, Anna & Juelsrud, Ragnar & Zhang, Xin, 2020.
"The interaction between macroprudential and monetary policies: The cases of Norway and Sweden,"
Working Paper Series
392, Sveriges Riksbank (Central Bank of Sweden).
- 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.
- Jin Cao & Valeriya Dinger & Anna Grodecka‐Messi & Ragnar Juelsrud & Xin Zhang, 2021. "The interaction between macroprudential and monetary policies: The cases of Norway and Sweden," Review of International Economics, Wiley Blackwell, vol. 29(1), pages 87-116, February.
- Nina Boyarchenko & Giovanni Favara & Moritz Schularick, 2022.
"Financial Stability Considerations for Monetary Policy: Empirical Evidence and Challenges,"
Finance and Economics Discussion Series
2022-006, Board of Governors of the Federal Reserve System (U.S.).
- Nina Boyarchenko & Giovanni Favara & Moritz Schularick, 2022. "Financial Stability Considerations for Monetary Policy: Empirical Evidence and Challenges," Staff Reports 1003, Federal Reserve Bank of New York.
- Beck, Thorsten & Peltonen, Tuomas & Perotti, Enrico & Sánchez Serrano, Antonio & Suarez, Javier, 2023. "Corporate credit and leverage in the EU: recent evolution, main drivers and financial stability implications," Report of the Advisory Scientific Committee 14, European Systemic Risk Board.
- Avril Pauline & Levieuge Grégory & Turcu Camelia, 2022.
"Natural Disasters and Financial Stress: Can Macroprudential Regulation Tame Green Swans?,"
Working papers
874, Banque de France.
- Pauline Avril & Gregory Levieuge & Camelia Turcu, 2021. "Natural Disasters and Financial Stress: Can Macroprudential Regulation Tame Green Swans?," Working Papers 2021.13, International Network for Economic Research - INFER.
- Pauline AVRIL & Grégory LEVIEUGE & Camélia TURCU, 2021. "Natural Disasters and Financial Stress: Can Macroprudential Regulation Tame Green Swans?," LEO Working Papers / DR LEO 2913, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
- Lang, Jan Hannes & Menno, Dominik, 2023.
"The state-dependent impact of changes in bank capital requirements,"
Discussion Papers
19/2023, Deutsche Bundesbank.
- Lang, Jan Hannes & Menno, Dominik, 2023. "The state-dependent impact of changes in bank capital requirements," Working Paper Series 2828, European Central Bank.
- Marina-Eliza Spaliara & Serafeim Tsoukas & Paul Lavery, 2021. "Private equity and bank capital requirements: Evidence from European firms," Working Papers 2021_11, Business School - Economics, University of Glasgow.
- Ibrahim Khalil ALLOUCHE & Nancy HIJAZI, 2024. "Financial Stability in the MENA Region: The Impact of Banking Capitalization and Institutional Environment on Credit Availability," International Business Research, Canadian Center of Science and Education, vol. 17(1), pages 1-1, February.
- Mattia Girotti & Guillaume Horny, 2024.
"Bank Market Value and Loan Supply,"
Post-Print
hal-04659945, HAL.
- Mattia Girotti & Guillaume Horny, 2024. "Bank Market Value and Loan Supply," Journal of Financial Services Research, Springer;Western Finance Association, vol. 66(2), pages 171-192, October.
- Neryvia Pillay & Konstantin Makrelov, 2024. "The lending implications of banks holding excess capital," Working Papers 11056, South African Reserve Bank.
- Ambrocio, Gene & Hasan, Iftekhar & Jokivuolle, Esa & Ristolainen, Kim, 2020.
"Are bank capital requirements optimally set? Evidence from researchers' views,"
Bank of Finland Research Discussion Papers
10/2020, Bank of Finland.
- Ambrocio, Gene & Hasan, Iftekhar & Jokivuolle, Esa & Ristolainen, Kim, 2020. "Are bank capital requirements optimally set? Evidence from researchers’ views," Journal of Financial Stability, Elsevier, vol. 50(C).
- Couaillier, Cyril & Reghezza, Alessio & Rodriguez d’Acri, Costanza & Scopelliti, Alessandro, 2022. "How to release capital requirements during a pandemic? Evidence from euro area banks," Working Paper Series 2720, European Central Bank.
- Simona Malovaná & Dominika Ehrenbergerová, 2022.
"The effect of higher capital requirements on bank lending: the capital surplus matters,"
Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 49(3), pages 793-832, August.
- Dominika Kolcunová & Simona Malovaná, 2019. "The Effect of Higher Capital Requirements on Bank Lending: The Capital Surplus Matters," Working Papers IES 2019/5, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Apr 2019.
- Dominika Kolcunova & Simona Malovana, 2019. "The Effect of Higher Capital Requirements on Bank Lending: The Capital Surplus Matters," Working Papers 2019/2, Czech National Bank.
- Miguel, Faruk & Pedraza, Alvaro & Ruiz-Ortega, Claudia, 2024. "Climate-change regulations: Bank lending and real effects," Journal of Financial Stability, Elsevier, vol. 70(C).
- Irani, Rustom M & Iyer, Rajkamal & Meisenzahl, Ralf R & Peydró, José-Luis, 2018.
"The Rise of Shadow Banking: Evidence from Capital Regulation,"
CEPR Discussion Papers
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- Rustom M. Irani & Rajkamal Iyer & Ralf R. Meisenzahl & José-Luis Peydró, 2019. "The Rise of Shadow Banking: Evidence from Capital Regulation," Working Papers 1098, Barcelona School of Economics.
- Rustom M. Irani & Rajkamal Iyer & Ralf R. Meisenzahl & José-Luis Peydró, 2018. "The Rise of Shadow Banking : Evidence from Capital Regulation," Finance and Economics Discussion Series 2018-039, Board of Governors of the Federal Reserve System (U.S.).
- Rustom M. Irani & Rajkamal Iyer & Ralf R. Meisenzahl & José-Luis Peydró, 2018. "The rise of shadow banking: evidence from capital regulation," Economics Working Papers 1652, Department of Economics and Business, Universitat Pompeu Fabra, revised Jul 2020.
- Irani, Rustom & Iyer, Rajkamal & Meisenzahl, Ralf & Peydró, José-Luis, 2021. "The rise of shadow banking: Evidence from capital regulation," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 34(5), pages 2181-2235.
- Rustom M Irani & Rajkamal Iyer & Ralf R Meisenzahl & José-Luis Peydró, 2021. "The Rise of Shadow Banking: Evidence from Capital Regulation [Securities trading by banks and credit supply: Micro-evidence from the crisis]," The Review of Financial Studies, Society for Financial Studies, vol. 34(5), pages 2181-2235.
- Irani, Rustom & Iyer, Rajkamal & Peydró, José-Luis & Meisenzahl, Ralf, 2020. "The Rise of Shadow Banking: Evidence from Capital Regulation," EconStor Preprints 216799, ZBW - Leibniz Information Centre for Economics.
- Mary Everett & Jakob de Haan & David‐Jan Jansen & Peter McQuade & Anna Samarina, 2021. "Mortgage lending, monetary policy, and prudential measures in small euro‐area economies: Evidence from Ireland and the Netherlands," Review of International Economics, Wiley Blackwell, vol. 29(1), pages 117-143, February.
- Alexandra Matyunina & Steven Ongena, 2022. "Bank capital buffer releases, public guarantee programs, and dividend bans in COVID-19 Europe: an appraisal," European Journal of Law and Economics, Springer, vol. 54(1), pages 127-152, August.
- Fang, Xiang & Jutrsa, David & Peria, Soledad Martinez & Presbitero, Andrea F. & Ratnovski, Lev, 2022. "Bank capital requirements and lending in emerging markets: The role of bank characteristics and economic conditions," Journal of Banking & Finance, Elsevier, vol. 135(C).
- Cappelletti, Giuseppe & Ponte Marques, Aurea & Varraso, Paolo & Budrys, Žymantas & Peeters, Jonas, 2019. "Impact of higher capital buffers on banks’ lending and risk-taking: evidence from the euro area experiments," Working Paper Series 2292, European Central Bank.
- De Marco, Filippo & Kneer, Christiane & Wieladek, Tomasz, 2021.
"The real effects of capital requirements and monetary policy: Evidence from the United Kingdom,"
Journal of Banking & Finance, Elsevier, vol. 133(C).
- De Marco, Filippo & Wieladek, Tomasz, 2015. "The real effects of capital requirements and monetary policy: evidence from the United Kingdom," Bank of England working papers 573, Bank of England.
- Filippo De Marco & Tomasz Wieladek, 2016. "The Real Effects of Capital Requirements and Monetary Policy: Evidence from the United Kingdom," BAFFI CAREFIN Working Papers 1640, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
- Wieladek, Tomasz & De Marco, Filippo, 2016. "The Real Effects of Capital Requirements and Monetary Policy: Evidence from the United Kingdom," CEPR Discussion Papers 11265, C.E.P.R. Discussion Papers.
- Bichsel, Robert & Lambertini, Luisa & Mukherjee, Abhik & Wunderli, Dan, 2022. "The pass-through of bank capital requirements to corporate lending spreads," Journal of Financial Stability, Elsevier, vol. 58(C).
- Paul Pelzl & María Teresa, 2023. "Capital Regulations and the Management of Credit Commitments during Crisis Times," Review of Finance, European Finance Association, vol. 27(5), pages 1781-1821.
- Sergio Mayordomo & María Rodríguez-Moreno, 2017.
"Did the bank capital relief induced by the supporting factor enhance SME lending?,"
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1746, Banco de España.
- Mayordomo, Sergio & Rodríguez-Moreno, María, 2018. "Did the bank capital relief induced by the Supporting Factor enhance SME lending?," Journal of Financial Intermediation, Elsevier, vol. 36(C), pages 45-57.
- Jing, Zhongbo & Liu, Zhidong & Qi, Liyao & Zhang, Xuan, 2022. "Spillover effects of banking systemic risk on firms in China: A financial cycle analysis," International Review of Financial Analysis, Elsevier, vol. 82(C).
- Björn Imbierowicz & Axel Löffler & Ursula Vogel, 2021. "The transmission of bank capital requirements and monetary policy to bank lending in Germany," Review of International Economics, Wiley Blackwell, vol. 29(1), pages 144-164, February.
- Grégory LEVIEUGE & Jose David GARCIA REVELO, 2020.
"When could macroprudential and monetary policies be in conflict?,"
LEO Working Papers / DR LEO
2749, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
- Jose Garcia Revelo & Grégory Levieuge, 2022. "When Could Macroprudential and Monetary Policies Be in Conflict?," Working papers 871, Banque de France.
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201903, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
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"A tale of fragmentation: corporate funding in the euro-area bond market,"
Temi di discussione (Economic working papers)
1104, Bank of Italy, Economic Research and International Relations Area.
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"Dynamic integration and network structure of the EMU sovereign bond markets,"
Annals of Operations Research, Springer, vol. 281(1), pages 297-314, October.
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- Valerio Filoso & Carlo Panico & Erasmo Papagni & Francesco Purificato & Marta Vázquez Suarez, 2017.
"Causes and timing of the European debt crisis: An econometric evaluation,"
EERI Research Paper Series
EERI RP 2017/03, Economics and Econometrics Research Institute (EERI), Brussels.
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- García, Juan Angel & Werner, Sebastian E. V., 2016. "Bond risk premia, macroeconomic factors and financial crisis in the euro area," Working Paper Series 1938, European Central Bank.
- Uddin, Gazi Salah & Yahya, Muhammad & Park, Donghyun & Hedström, Axel & Tian, Shu, 2024. "Bond market spillover networks of ASEAN-4 markets: Is the global pandemic different?," International Review of Economics & Finance, Elsevier, vol. 92(C), pages 1028-1044.
- De Backer, Bruno & Dewachter, Hans & Iania, Leonardo, 2021.
"Macrofinancial information on the post- COVID-19 economic recovery: will it be V, U or L-shaped?,"
LIDAM Discussion Papers LFIN
2021002, Université catholique de Louvain, Louvain Finance (LFIN).
- De Backer, Bruno & Dewachter, Hans & Iania, Leonardo, 2021. "Macrofinancial information on the post-COVID-19 economic recovery: Will it be V, U or L-shaped?," Finance Research Letters, Elsevier, vol. 43(C).
- De Backer, Bruno & Dewachter, Hans & Iania, Leonardo, 2021. "Macrofinancial information on the post-COVID-19 economic recovery: Will it be V, U or L-shaped?," LIDAM Reprints LFIN 2021007, Université catholique de Louvain, Louvain Finance (LFIN).
- Stelios Bekiros & Shawkat Hammoudeh & Rania Jammazi & Duc Khuong Nguyen, 2018.
"Sovereign bond market dependencies and crisis transmission around the eurozone debt crisis: a dynamic copula approach,"
Applied Economics, Taylor & Francis Journals, vol. 50(47), pages 5031-5049, October.
- Stelios Bekiros & Shawkat Hammoudeh & Rania Jammazi & Duc Khuong Nguyen, 2017. "Sovereign Bond Market Dependencies and Crisis Transmission around the Eurozone Debt Crisis: A Dynamic Copula Approach," Working Papers 2017-008, Department of Research, Ipag Business School.
- Andrea Zaghini, 2017.
"The CSPP at work: yield heterogeneity and the portfolio rebalancing channel,"
Temi di discussione (Economic working papers)
1157, Bank of Italy, Economic Research and International Relations Area.
- Zaghini, Andrea, 2019. "The CSPP at work - yield heterogeneity and the portfolio rebalancing channel," Working Paper Series 2264, European Central Bank.
- Zaghini, Andrea, 2019. "The CSPP at work: Yield heterogeneity and the portfolio rebalancing channel," Journal of Corporate Finance, Elsevier, vol. 56(C), pages 282-297.
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- Christina Erlwein-Sayer, 2018. "Macroeconomic News Sentiment: Enhanced Risk Assessment for Sovereign Bonds," Risks, MDPI, vol. 6(4), pages 1-27, December.
- Donato Ceci & Marcello Pericoli, 2022. "Sovereign spreads and economic fundamentals: an econometric analysis," Questioni di Economia e Finanza (Occasional Papers) 713, Bank of Italy, Economic Research and International Relations Area.
- Filipa Fernandes & Charalampos Stasinakis & Zivile Zekaite, 2019. "Forecasting government bond spreads with heuristic models: evidence from the Eurozone periphery," Annals of Operations Research, Springer, vol. 282(1), pages 87-118, November.
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"Affine arbitrage-free yield net models with application to the euro debt crisis,"
Journal of Econometrics, Elsevier, vol. 230(1), pages 201-220.
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- Yelkesen, OÄŸuzhan, 2022. "The Dynamic Link between Bond Spreads and Fiscal Indicators: An Empirical Investigation of Turkey," Asian Journal of Applied Economics, Kasetsart University, Center for Applied Economics Research, vol. 29(2).
- Giuseppe Ambrosini & Francesco Menoncin, 2018. "Optimal Portfolios with Credit Default Swaps," Journal of Financial Services Research, Springer;Western Finance Association, vol. 54(1), pages 81-109, August.
- De Santis, Roberto A., 2015. "A measure of redenomination risk," Working Paper Series 1785, European Central Bank.
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"Measuring Financial Fragmentation in the Euro Area Corporate Bond Market,"
Working papers
582, Banque de France.
- Guillaume Horny & Simone Manganelli & Benoit Mojon, 2018. "Measuring Financial Fragmentation in the Euro Area Corporate Bond Market," JRFM, MDPI, vol. 11(4), pages 1-19, October.
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"Liquidity and tail-risk interdependencies in the euro area sovereign bond market,"
Research Technical Papers
11/RT/19, Central Bank of Ireland.
- Daragh Clancy & Peter G. Dunne & Pasquale Filiani, 2019. "Liquidity and tail-risk interdependencies in the euro area sovereign bond market," Working Papers 41, European Stability Mechanism.
- Bańkowski, Krzysztof & Bouabdallah, Othman & Domingues Semeano, João & Dorrucci, Ettore & Freier, Maximilian & Jacquinot, Pascal & Modery, Wolfgang & Rodríguez-Vives, Marta & Valenta, Vilém & Zorell, , 2022. "The economic impact of Next Generation EU: a euro area perspective," Occasional Paper Series 291, European Central Bank.
- Sanjay Kumar Rout & Hrushikesh Mallick, 2022. "Sovereign Bond Market Shock Spillover Over Different Maturities: A Journey from Normal to Covid-19 Period," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 29(4), pages 697-734, December.
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- Motto, Roberto & Özen, Kadir, 2022. "Market-stabilization QE," Working Paper Series 2640, European Central Bank.
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- Yahya, Muhammad & Allahdadi, Mohammad Reza & Uddin, Gazi Salah & Park, Donghyun & Wang, Gang-Jin, 2024. "Multilayer information spillover network between ASEAN-4 and global bond, forex and stock markets," Finance Research Letters, Elsevier, vol. 59(C).
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- Dewachter, Hans & Iania, Leonardo & Lyrio, Marco, 2014.
"Information in the yield curve: A macro-finance approach,"
LIDAM Reprints LFIN
2014007, Université catholique de Louvain, Louvain Finance (LFIN).
- Hans Dewachter & Leonardo Iania & Marco Lyrio, 2014. "Information In The Yield Curve: A Macro‐Finance Approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 29(1), pages 42-64, January.
- Dewachter, Hans & Iania, Leonardo & Lyrio, Marco, 2011. "Information in the Yield Curve: A Macro-Finance Approach," Insper Working Papers wpe_230, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
- Hans Dewachter & Leonardo Iania & Marco Lyrio, 2014. "Information in the yield curve: A Macro-Finance approach," Working Paper Research 254, National Bank of Belgium.
Cited by:
- Yunus Aksoy & Henriqu S Basso, 2012.
"Liquidity, Term Spreads and Monetary Policy,"
Birkbeck Working Papers in Economics and Finance
1211, Birkbeck, Department of Economics, Mathematics & Statistics.
- Yunus Aksoy & Henrique S. Basso, 2014. "Liquidity, Term Spreads and Monetary Policy," Economic Journal, Royal Economic Society, vol. 124(581), pages 1234-1278, December.
- Yunus Aksoy & Henrique S. Basso, 2012. "Liquidity, Term Spreads and Monetary Policy," CESifo Working Paper Series 3988, CESifo.
- Yunus Aksoy & Henrique S. Basso, 2012. "Liquidity, term spreads and monetary policy," Working Papers 1223, Banco de España.
- Yun, Jaeho, 2019. "Bond risk premia in a small open economy with volatile capital flows: The case of Korea," Journal of International Money and Finance, Elsevier, vol. 93(C), pages 223-243.
- Timmermann, Allan & Pettenuzzo, Davide & Gargano, Antonio, 2014.
"Bond Return Predictability: Economic Value and Links to the Macroeconomy,"
CEPR Discussion Papers
10104, C.E.P.R. Discussion Papers.
- Davide Pettenuzzo & Antonio Gargano & Allan Timmermann, 2014. "Bond Return Predictability: Economic Value and Links to the Macroeconomy," Working Papers 75, Brandeis University, Department of Economics and International Business School.
- Antonio Gargano & Davide Pettenuzzo & Allan Timmermann, 2019. "Bond Return Predictability: Economic Value and Links to the Macroeconomy," Management Science, INFORMS, vol. 65(2), pages 508-540, February.
- Davide Pettenuzzo & Antonio Gargano & Allan Timmermann, 2014. "Bond Return Predictability: Economic Value and Links to the Macroeconomy," Working Papers 75R, Brandeis University, Department of Economics and International Business School, revised Jul 2016.
- Byrne, Joseph & Cao, Shuo & Korobilis, Dimitris, 2015.
"Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty,"
MPRA Paper
63844, University Library of Munich, Germany.
- Joseph P. Byrne & Shuo Cao. & Dimitris Korobilis., 2015. "Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty," Working Papers 2015_08, Business School - Economics, University of Glasgow.
- P. Byrne, Joseph & Cao, Shuo & Korobilis, Dimitris, 2015. "Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty," SIRE Discussion Papers 2015-71, Scottish Institute for Research in Economics (SIRE).
- Byrne, JP & Cao, S & Korobilis, D, 2016. "Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty," Essex Finance Centre Working Papers 18195, University of Essex, Essex Business School.
- Ethan Struby, 2018. "Macroeconomic Disagreement in Treasury Yields," Working Papers 2018-04, Carleton College, Department of Economics.
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- Vasilios Plakandaras & Periklis Gogas & Theophilos Papadimitriou & Rangan Gupta, 2016. "The Term Premium as a Leading Macroeconomic Indicator," Working Papers 201613, University of Pretoria, Department of Economics.
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"Natural rate chimera and bond pricing reality,"
VfS Annual Conference 2020 (Virtual Conference): Gender Economics
224546, Verein für Socialpolitik / German Economic Association.
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"Monetary policy, bond risk premia, and the economy,"
Journal of Monetary Economics, Elsevier, vol. 76(C), pages 124-140.
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- Peter N. Ireland, 2015. "Monetary Policy, Bond Risk Premia, and the Economy," NBER Working Papers 21576, National Bureau of Economic Research, Inc.
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"Quantitative Easing and the Term Premium as a Monetary Policy Instrument,"
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"Forecasting output growth using a DSGE-based decomposition of the South African yield curve,"
Empirical Economics, Springer, vol. 58(1), pages 351-378, January.
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- Jing Yuan & Yan Peng & Zongwu Cai & Zhengyi Zhang, 2022. "A Quantitative Evaluation of Interest Rate Liberalization Reform in China," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202214, University of Kansas, Department of Economics.
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"Gold, platinum and the predictability of bond risk premia,"
Finance Research Letters, Elsevier, vol. 38(C).
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- Konstantinos Bisiotis & Stelios Psarakis & Athanasios N. Yannacopoulos, 2022. "Affine Term Structure Models: Applications in Portfolio Optimization and Change Point Detection," Mathematics, MDPI, vol. 10(21), pages 1-33, November.
- Ronald Ravinesh Kumar & Peter Josef Stauvermann & Hang Thi Thu Vu, 2021. "The Relationship between Yield Curve and Economic Activity: An Analysis of G7 Countries," JRFM, MDPI, vol. 14(2), pages 1-23, February.
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- Byrne, Joseph P. & Cao, Shuo & Korobilis, Dimitris, 2017. "Forecasting the term structure of government bond yields in unstable environments," Journal of Empirical Finance, Elsevier, vol. 44(C), pages 209-225.
- Christos Ioannidis & Kook Ka, 2021. "Economic Policy Uncertainty and Bond Risk Premia," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 53(6), pages 1479-1522, September.
- Dewachter, Hans & Iania, Leonardo, 2012.
"An Extended Macro-Finance Model with Financial Factors,"
LIDAM Reprints LFIN
2012001, Université catholique de Louvain, Louvain Finance (LFIN).
- Dewachter, Hans & Iania, Leonardo, 2011. "An Extended Macro-Finance Model with Financial Factors," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 46(6), pages 1893-1916, December.
- Dewachter, Hans & Iania, Leonardo, 2009. "An Extended Macro-Finance Model with Financial Factors," MPRA Paper 17634, University Library of Munich, Germany.
- Hans DEWACHTER & Leonardo IANIA, 2009. "An extended macro-finance model with financial factors," Working Papers of Department of Economics, Leuven ces09.19, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven.
- Hans Dewachter & Leonardo Iania, 2010. "An Extended Macro-Finance Model with Financial Factors," CESifo Working Paper Series 2950, CESifo.
- Dewachter, Hans & Iania, Leonardo, 2009. "An Extended Macro-Finance Model with Financial Factors," MPRA Paper 18840, University Library of Munich, Germany.
Cited by:
- Hans Dewachter & Leonardo Iania & Marco Lyrio, 2014.
"Information in the yield curve: A Macro-Finance approach,"
Working Paper Research
254, National Bank of Belgium.
- Hans Dewachter & Leonardo Iania & Marco Lyrio, 2014. "Information In The Yield Curve: A Macro‐Finance Approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 29(1), pages 42-64, January.
- Dewachter, Hans & Iania, Leonardo & Lyrio, Marco, 2014. "Information in the yield curve: A macro-finance approach," LIDAM Reprints LFIN 2014007, Université catholique de Louvain, Louvain Finance (LFIN).
- Dewachter, Hans & Iania, Leonardo & Lyrio, Marco, 2011. "Information in the Yield Curve: A Macro-Finance Approach," Insper Working Papers wpe_230, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
- Burban, Valentin & De Backer, Bruno & Vladu, Andreea Liliana, 2024. "Inflation (de-)anchoring in the euro area," Working Paper Series 2964, European Central Bank.
- Dewachter, Hans & Iania, Leonardo & Lemke, Wolfgang & Lyrio, Marco, 2018.
"A macro-financial analysis of the corporate bond market,"
Working Paper Series
2214, European Central Bank.
- Hans Dewachter & Leonardo Iania & Wolfgang Lemke & Marco Lyrio, 2018. "A macro-financial analysis of the corporate bond market," Working Paper Research 360, National Bank of Belgium.
- Hans Dewachter & Leonardo Iania & Wolfgang Lemke & Marco Lyrio, 2019. "A macro–financial analysis of the corporate bond market," Empirical Economics, Springer, vol. 57(6), pages 1911-1933, December.
- Dewacther, Hans & Iania, Leonardo & Lemke, Wolfgang & Lyrio, Marco, 2019. "A Macro-Financial Analysis of the Corporate Bond Market," LIDAM Reprints LFIN 2019008, Université catholique de Louvain, Louvain Finance (LFIN).
- Chadha, Jagjit S. & Waters, Alex, 2014.
"Applying a macro-finance yield curve to UK quantitative Easing,"
Journal of Banking & Finance, Elsevier, vol. 39(C), pages 68-86.
- Jagjit S. Chadha & Alex Waters, 2014. "Applying a Macro-Finance Yield Curve to UK Quantitative Easing," Studies in Economics 1418, School of Economics, University of Kent.
- Byrne, Joseph & Cao, Shuo & Korobilis, Dimitris, 2015.
"Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty,"
MPRA Paper
63844, University Library of Munich, Germany.
- Joseph P. Byrne & Shuo Cao. & Dimitris Korobilis., 2015. "Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty," Working Papers 2015_08, Business School - Economics, University of Glasgow.
- P. Byrne, Joseph & Cao, Shuo & Korobilis, Dimitris, 2015. "Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty," SIRE Discussion Papers 2015-71, Scottish Institute for Research in Economics (SIRE).
- Byrne, JP & Cao, S & Korobilis, D, 2016. "Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty," Essex Finance Centre Working Papers 18195, University of Essex, Essex Business School.
- Michael D. Bauer & Glenn D. Rudebusch, 2017.
"Interest Rates Under Falling Stars,"
CESifo Working Paper Series
6571, CESifo.
- Michael D. Bauer & Glenn D. Rudebusch, 2019. "Interest Rates Under Falling Stars," Working Paper Series 2017-16, Federal Reserve Bank of San Francisco.
- Michael D. Bauer & Glenn D. Rudebusch, 2020. "Interest Rates under Falling Stars," American Economic Review, American Economic Association, vol. 110(5), pages 1316-1354, May.
- Pavol Povala & Anna Cieslak, 2012. "Understanding bond risk premia," 2012 Meeting Papers 771, Society for Economic Dynamics.
- Jef Boeckx & Leonardo Iania & Joris Wauters, 2024.
"Macroeconomic drivers of inflation expectations and inflation risk premia,"
Working Paper Research
446, National Bank of Belgium.
- Boeckx, Jef & Iania, Leonardo & Wauters, Joris, 2023. "Macroeconomic drivers of Inflation Expectations and Inflation Risk Premia," LIDAM Discussion Papers LFIN 2023003, Université catholique de Louvain, Louvain Finance (LFIN).
- Ireland, Peter N., 2015.
"Monetary policy, bond risk premia, and the economy,"
Journal of Monetary Economics, Elsevier, vol. 76(C), pages 124-140.
- Peter N. Ireland, 2014. "Monetary Policy, Bond Risk Premia, and the Economy," Boston College Working Papers in Economics 852, Boston College Department of Economics.
- Peter N. Ireland, 2015. "Monetary Policy, Bond Risk Premia, and the Economy," NBER Working Papers 21576, National Bureau of Economic Research, Inc.
- Ioannidis, Christos & Ka, Kook, 2018. "The impact of oil price shocks on the term structure of interest rates," Energy Economics, Elsevier, vol. 72(C), pages 601-620.
- Valentin Burban & Bruno De Backer & Andreea Liliana Vladu, 2024. "Inflation (De-)Anchoring in the Euro Area," Working papers 965, Banque de France.
- Joseph P. Byrne & Shuo Cao & Dimitris Korobilis, 2015.
"Co-Movement, Spillovers and Excess Returns in Global Bond Markets?,"
Working Papers
2015_12, Business School - Economics, University of Glasgow.
- Byrne, Joseph P. & Cao, Shuo & Korobilis, Dimitris, 2015. "Co-Movement, Spillovers and Excess Returns in Global Bond Markets," SIRE Discussion Papers 2015-75, Scottish Institute for Research in Economics (SIRE).
- Massimo Guidolin & Manuela Pedio, 2019. "Forecasting and Trading Monetary Policy Effects on the Riskless Yield Curve with Regime Switching Nelson†Siegel Models," Working Papers 639, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Albrecht Ritschl & Samad Sarferaz, 2014. "Currency Versus Banking In The Financial Crisis Of 1931," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 55(2), pages 349-373, May.
- Massimo Guidolin & Manuela Pedio, 2019. "Forecasting and Trading Monetary Policy Switching Nelson-Siegel Models," BAFFI CAREFIN Working Papers 19106, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
- Jing Yuan & Yan Peng & Tsun Zongwu Cai & Zhengyi Zhang, 2022. "A Quantitative Evaluation of Interest Rate Liberalization Reform in China," Annals of Economics and Finance, Society for AEF, vol. 23(2), pages 197-221, November.
- 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.
- Byrne, Joseph P. & Cao, Shuo & Korobilis, Dimitris, 2019.
"Decomposing global yield curve co-movement,"
Journal of Banking & Finance, Elsevier, vol. 106(C), pages 500-513.
- Byrne, JP & Cao, S & Korobilis, D, 2016. "Decomposing Global Yield Curve Co-Movement," Essex Finance Centre Working Papers 18194, University of Essex, Essex Business School.
- 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.
- Iania, Leonardo & Lyrio, Marco & Nersisyan, Liana, 2023. "Oil Price Shocks and Bond Risk Premia: Evidence from a Panel of 15 Countries," LIDAM Discussion Papers LFIN 2023002, Université catholique de Louvain, Louvain Finance (LFIN).
- Peter Spencer, 2013. "The US Economy, the Treasury Bond Market and the Specification of Macro-Finance Models," Discussion Papers 13/22, Department of Economics, University of York.
- Dewachter, Hans & Iania, Leonardo & Lyrio, Marco, 2011.
"A New-Keynesian Model of the Yield Curve with Learning Dynamics: A Bayesian Evaluation,"
Insper Working Papers
wpe_250, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
- Dewachter, Hans & Iania, Leonardo & Lyrio, Marco, 2011. "A New-Keynesian model of the yield curve with learning dynamics: A Bayesian evaluation," MPRA Paper 34461, University Library of Munich, Germany, revised Sep 2011.
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- Jing Yuan & Yan Peng & Zongwu Cai & Zhengyi Zhang, 2022. "A Quantitative Evaluation of Interest Rate Liberalization Reform in China," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202214, University of Kansas, Department of Economics.
- Konstantinos Bisiotis & Stelios Psarakis & Athanasios N. Yannacopoulos, 2022. "Affine Term Structure Models: Applications in Portfolio Optimization and Change Point Detection," Mathematics, MDPI, vol. 10(21), pages 1-33, November.
- Byrne, Joseph P. & Cao, Shuo & Korobilis, Dimitris, 2017. "Forecasting the term structure of government bond yields in unstable environments," Journal of Empirical Finance, Elsevier, vol. 44(C), pages 209-225.
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"Endogenous risk in a DSGE model with capital-constrained financial intermediaries,"
Working Paper Research
235, National Bank of Belgium.
- Dewachter, Hans & Wouters, Raf, 2014. "Endogenous risk in a DSGE model with capital-constrained financial intermediaries," Journal of Economic Dynamics and Control, Elsevier, vol. 43(C), pages 241-268.
Cited by:
- Marcin Kolasa & Michal Brzoza-Brzezina & Krzysztof Makarski, 2015.
"A penalty function approach to occasionally binding credit constraints,"
EcoMod2015
8359, EcoMod.
- Michał Brzoza-Brzezina & Marcin Kolasa & Krzysztof Makarski, 2013. "A penalty function approach to occasionally binding credit constraints," NBP Working Papers 159, Narodowy Bank Polski.
- Brzoza-Brzezina, Michał & Kolasa, Marcin & Makarski, Krzysztof, 2013. "A penalty function approach to occasionally binding credit constraints," Dynare Working Papers 27, CEPREMAP.
- Brzoza-Brzezina, Michał & Kolasa, Marcin & Makarski, Krzysztof, 2015. "A penalty function approach to occasionally binding credit constraints," Economic Modelling, Elsevier, vol. 51(C), pages 315-327.
- Robert Kollmann, 2013.
"Global Banks, Financial Shocks, and International Business Cycles: Evidence from an Estimated Model,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 45(s2), pages 159-195, December.
- Robert Kollmann, 2013. "Global Banks, Financial Shocks And International Business Cycles: Evidence From An Estimated Model," CAMA Working Papers 2013-30, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Robert Kollmann, 2013. "Global Banks, Financial Shocks, and International Business Cycles: Evidence from an Estimated Model," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 45(s2), pages 159-195, December.
- Robert Kollmann, 2012. "Global banks, financial shocks and international business cycles: evidence from an estimated model," Globalization Institute Working Papers 120, Federal Reserve Bank of Dallas.
- Robert Kollmann, 2012. "Global Banks, Financial Shocks and International Business Cycles: Evidence from Estimated Models," 2012 Meeting Papers 840, Society for Economic Dynamics.
- Kollmann, Robert, 2012. "Global Banks, Financial Shocks and International Business Cycles: Evidence from an Estimated Model," CEPR Discussion Papers 8985, C.E.P.R. Discussion Papers.
- Christophe Blot & Jérôme Creel & Bruno Ducoudre & Xavier Timbeau, 2015.
"Back to fiscal consolidation in Europe and its dual tradeoff : now or later, through spending cuts or tax hikes ?,"
Working Papers
hal-01143545, HAL.
- Christophe Blot & Jerôme Creel & Bruno Ducoudré & Xavier Timeau, 2015. "Back to fiscal consolidation in Europe and its dual tradeoff : now of later, through spending cuts or tax hikes," Documents de Travail de l'OFCE 2015-11, Observatoire Francais des Conjonctures Economiques (OFCE).
- Christophe Blot & Jérôme Creel & Bruno Ducoudre & Xavier Timbeau, 2015. "Back to fiscal consolidation in Europe and its dual tradeoff : now or later, through spending cuts or tax hikes ?," SciencePo Working papers Main hal-01143545, HAL.
- Giorgio Primiceri & Andrea Tambalotti & Alejandro Justiniano, 2014.
"Credit Supply and the Housing Boom,"
2014 Meeting Papers
766, Society for Economic Dynamics.
- Alejandro Justiniano & Giorgio E. Primiceri & Andrea Tambalotti, 2015. "Credit Supply and the Housing Boom," Liberty Street Economics 20150420, Federal Reserve Bank of New York.
- Alejandro Justiniano & Giorgio E. Primiceri & Andrea Tambalotti, 2015. "Credit supply and the housing boom," Staff Reports 709, Federal Reserve Bank of New York.
- Tambalotti, Andrea & Primiceri, Giorgio & Justiniano, Alejandro, 2015. "Credit Supply and the Housing Boom," CEPR Discussion Papers 10358, C.E.P.R. Discussion Papers.
- Alejandro Justiniano & Giorgio E. Primiceri & Andrea Tambalotti, 2014. "Credit Supply and the Housing Boom," Working Paper Series WP-2014-21, Federal Reserve Bank of Chicago.
- Alejandro Justiniano & Giorgio E. Primiceri & Andrea Tambalotti, 2015. "Credit Supply and the Housing Boom," NBER Working Papers 20874, National Bureau of Economic Research, Inc.
- Alejandro Justiniano & Giorgio E. Primiceri & Andrea Tambalotti, 2019. "Credit Supply and the Housing Boom," Journal of Political Economy, University of Chicago Press, vol. 127(3), pages 1317-1350.
- Andrea Silvestrini & Andrea Zaghini, 2015. "Financial shocks and the real economy in a nonlinear world: a survey of the theoretical and empirical literature," Questioni di Economia e Finanza (Occasional Papers) 255, Bank of Italy, Economic Research and International Relations Area.
- Gelain, Paolo & Ilbas, Pelin, 2017.
"Monetary and macroprudential policies in an estimated model with financial intermediation,"
Journal of Economic Dynamics and Control, Elsevier, vol. 78(C), pages 164-189.
- Paolo Gelain & Pelin Ilbas, 2014. "Monetary and macroprudential policies in an estimated model with financial intermediation," Working Paper Research 258, National Bank of Belgium.
- Marco Del Negro & Raiden B. Hasegawa & Frank Schorfheide, 2014.
"Dynamic Prediction Pools: An Investigation of Financial Frictions and Forecasting Performance,"
PIER Working Paper Archive
14-034, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Marco Del Negro & Raiden B. Hasegawa & Frank Schorfheide, 2014. "Dynamic prediction pools: an investigation of financial frictions and forecasting performance," Staff Reports 695, Federal Reserve Bank of New York.
- Marco Del Negro & Raiden B. Hasegawa & Frank Schorfheide, 2014. "Dynamic Prediction Pools: An Investigation of Financial Frictions and Forecasting Performance," NBER Working Papers 20575, National Bureau of Economic Research, Inc.
- Del Negro, Marco & Hasegawa, Raiden B. & Schorfheide, Frank, 2016. "Dynamic prediction pools: An investigation of financial frictions and forecasting performance," Journal of Econometrics, Elsevier, vol. 192(2), pages 391-405.
- Lindé, Jesper & Smets, Frank & Wouters, Rafael, 2016.
"Challenges for Central Banks´ Macro Models,"
Working Paper Series
323, Sveriges Riksbank (Central Bank of Sweden).
- Linde, Jesper & Smets, Frank & Wouters, Rafael, 2016. "Challenges for Central Banks' Macro Models," CEPR Discussion Papers 11405, C.E.P.R. Discussion Papers.
- Christian Calm¨¨s & Raymond Th¨¦oret, 2016. "The Asymmetric Impact of Portfolio Mix on Bank Performance over the Business Cycle: U.S. and Canadian Evidence," Review of Economics & Finance, Better Advances Press, Canada, vol. 6, pages 57-74, February.
- Geert Bekaert & Alexander Popov, 2012.
"On the Link Between the Volatility and Skewness of Growth,"
NBER Working Papers
18556, National Bureau of Economic Research, Inc.
- Geert Bekaert & Alexander Popov, 2019. "On the Link Between the Volatility and Skewness of Growth," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 67(4), pages 746-790, December.
- He, Zhiguo & Krishnamurthy, Arvind, 2015.
"A Macroeconomic Framework for Quantifying Systemic Risk,"
Research Papers
3277, Stanford University, Graduate School of Business.
- Zhiguo He, 2013. "A Macroeconomic Framework for Quantifying Systemic Risk," 2013 Meeting Papers 58, Society for Economic Dynamics.
- Zhiguo He & Arvind Krishnamurthy, 2013. "A Macroeconomic Framework for Quantifying Systemic Risk," Swiss Finance Institute Research Paper Series 13-42, Swiss Finance Institute, revised Apr 2015.
- Zhiguo He & Arvind Krishnamurthy, 2019. "A Macroeconomic Framework for Quantifying Systemic Risk," American Economic Journal: Macroeconomics, American Economic Association, vol. 11(4), pages 1-37, October.
- Zhiguo He & Arvind Krishnamurthy, 2014. "A Macroeconomic Framework for Quantifying Systemic Risk," NBER Working Papers 19885, National Bureau of Economic Research, Inc.
- Zhiguo He & Arvind Krishnamurthy, 2012. "A macroeconomic framework for quantifying systemic risk," Working Paper Research 233, National Bank of Belgium.
- H. Dewachter & G. de Walque & M. Emiris & P. Ilbas & J. Mitchell & R. Wouters, 2012. "Endogenous financial risk : The seventh international conference of the NBB," Economic Review, National Bank of Belgium, issue iii, pages 135-146, December.
- Lindé, J. & Smets, F. & Wouters, R., 2016. "Challenges for Central Banks’ Macro Models," Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 2185-2262, Elsevier.
- Racicot, François-Éric & Théoret, Raymond & Gregoriou, Greg N., 2021. "The response of hedge fund higher moment risk to macroeconomic and illiquidity shocks," International Review of Economics & Finance, Elsevier, vol. 72(C), pages 289-318.
- Thomas Lejeune & Raf Wouters, 2019. "A macroeconomic model with heterogeneous and financially-constrained intermediaries," Working Paper Research 367, National Bank of Belgium.
- Laséen, Stefan & Pescatori, Andrea & Turunen, Jarkko, 2017.
"Systemic Risk: A New Trade-Off for Monetary Policy?,"
Working Paper Series
341, Sveriges Riksbank (Central Bank of Sweden).
- Laséen, Stefan & Pescatori, Andrea & Turunen, Jarkko, 2017. "Systemic risk: A new trade-off for monetary policy?," Journal of Financial Stability, Elsevier, vol. 32(C), pages 70-85.
- Stefan Laseen & Mr. Andrea Pescatori & Mr. Jarkko Turunen, 2015. "Systemic Risk: A New Trade-off for Monetary Policy?," IMF Working Papers 2015/142, International Monetary Fund.
- Kersting, Stefan & Hüttel, Silke & Odening, Martin, 2015. "Structural change in agriculture under capacity constraints: An equilibrium approach," Thuenen-Series of Applied Economic Theory 140, University of Rostock, Institute of Economics.
- Luisa Corrado & Stefano Grassi & Aldo Paolillo, 2021.
"Modelling and Estimating Large Macroeconomic Shocks During the Pandemic,"
CREATES Research Papers
2021-08, Department of Economics and Business Economics, Aarhus University.
- Luisa Corrado & Stefano Grassi & Aldo Paolillo, 2021. "Modelling and Estimating Large Macroeconomic Shocks During the Pandemic," National Institute of Economic and Social Research (NIESR) Discussion Papers 530, National Institute of Economic and Social Research.
- Gilbert COLLETAZ & Grégory LEVIEUGE & Alexandra POPESCU, 2016. "Monetary Policy and Long-Run Risk-Taking," LEO Working Papers / DR LEO 2409, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
- Gilbert Colletaz & Grégory Levieuge & Alexandra Popescu, 2018.
"Monetary policy and long-run systemic risk-taking,"
Post-Print
hal-02162296, HAL.
- Colletaz, Gilbert & Levieuge, Grégory & Popescu, Alexandra, 2018. "Monetary policy and long-run systemic risk-taking," Journal of Economic Dynamics and Control, Elsevier, vol. 86(C), pages 165-184.
- Gilbert Colletaz & Grégory Levieuge & Alexandra Popescu, 2018. "Monetary Policy and Long-Run Systemic Risk-Taking," Working papers 694, Banque de France.
- Beck, Thorsten & Colciago, Andrea & Pfajfar, Damjan, 2014. "The role of financial intermediaries in monetary policy transmission," Journal of Economic Dynamics and Control, Elsevier, vol. 43(C), pages 1-11.
- Luisa Corrado & Stefano Grassi & Aldo Paolillo, 2021. "Identifying Economic Shocks in a Rare Disaster Environment," CEIS Research Paper 517, Tor Vergata University, CEIS, revised 18 Jul 2024.
- policy, Work stream on macroprudential & Albertazzi, Ugo & Martin, Alberto & Assouan, Emmanuelle & Tristani, Oreste & Galati, Gabriele & Vlassopoulos, Thomas, 2021. "The role of financial stability considerations in monetary policy and the interaction with macroprudential policy in the euro area," Occasional Paper Series 272, European Central Bank.
- Karim Triki, 2016. "Expenditure-based Consolidation: Experiences and Outcomes – Workshop proceedings," European Economy - Discussion Papers 026, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
- Calmès, Christian & Théoret, Raymond, 2020. "Bank fee-based shocks and the U.S. business cycle," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
- Tobias Adrian, 2015. "Discussion of “Systemic Risk and the Solvency-Liquidity Nexus of Banks”," Staff Reports 722, Federal Reserve Bank of New York.
- Martin Harding & Rafael Wouters, 2022. "Risk and State-Dependent Financial Frictions," Staff Working Papers 22-37, Bank of Canada.
- Dewachter, Hans & Houssa, Romain & Lyrio, Marco & Kaltwasser, Pablo Rovira, 2011.
"Dynamic Forecasting Rules and the Complexity of Exchange Rate Dynamics,"
Insper Working Papers
wpe_260, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
- H. Dewachter & R. Houssa & M. Lyrio & P.R. Kaltwasser, 2011. "Dynamic Forecasting Rules and the Complexity of Exchange Rate Dynamics," Review of Business and Economic Literature, Intersentia, vol. 56(4), pages 454-472, December.
Cited by:
- Li, Xiao-Ping & Zhou, Chun-Yang & Tong, Bin, 2019. "Carry trades, agent heterogeneity and the exchange rate," International Review of Economics & Finance, Elsevier, vol. 64(C), pages 343-358.
- Qian Zhang & Kuo-Jui Wu & Ming-Lang Tseng, 2019. "Exploring Carry Trade and Exchange Rate toward Sustainable Financial Resources: An application of the Artificial Intelligence UKF Method," Sustainability, MDPI, vol. 11(12), pages 1-26, June.
- Dewachter, Hans & Iania, Leonardo & Lyrio, Marco, 2011.
"A New-Keynesian Model of the Yield Curve with Learning Dynamics: A Bayesian Evaluation,"
Insper Working Papers
wpe_250, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
- Dewachter, Hans & Iania, Leonardo & Lyrio, Marco, 2011. "A New-Keynesian model of the yield curve with learning dynamics: A Bayesian evaluation," MPRA Paper 34461, University Library of Munich, Germany, revised Sep 2011.
Cited by:
- Richard K. Crump & Stefano Eusepi & Emanuel Moench, 2016. "The term structure of expectations and bond yields," Staff Reports 775, Federal Reserve Bank of New York.
- Aguilar, Pablo & Vázquez, Jesús, 2021. "An Estimated Dsge Model With Learning Based On Term Structure Information," Macroeconomic Dynamics, Cambridge University Press, vol. 25(7), pages 1635-1665, October.
- Hans DEWACHTER & Romain HOUSSA & Priscilla TOFFANO, 2010.
"Spatial propagation of macroeconomic shocks in Europe,"
Working Papers of Department of Economics, Leuven
ces10.12, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven.
- Hans Dewachter & Romain Houssa & Priscilla Toffano, 2012. "Spatial propagation of macroeconomic shocks in Europe," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 148(2), pages 377-402, June.
- Romain Houssa, 2010. "Spatial Propagation of Macroeconomic Shocks in Europe," Working Papers 1009, University of Namur, Department of Economics.
Cited by:
- Wozniak Marcin, 2020. "Forecasting the unemployment rate over districts with the use of distinct methods," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 24(2), pages 1-20, April.
- Houssa, Romain & Mohimont, Jolan & Otrok, Christopher, 2023.
"Commodity exports, financial frictions, and international spillovers,"
European Economic Review, Elsevier, vol. 158(C).
- Romain Houssa & Jolan Mohimont & Christopher Otrok, 2022. "Commodity Exports, Financial Frictions and International Spillovers," Globalization Institute Working Papers 419, Federal Reserve Bank of Dallas.
- Sven Wardenburg & Thomas Brenner, 2021. "Analysing the spatio-temporal diffusion of economic change - advanced statistical approach and exemplary application," Working Papers on Innovation and Space 2021-01, Philipps University Marburg, Department of Geography.
- Julian Ramajo & Miguel A. Marquez & Geoffrey J.D. Hewings, 2013. "Spatio-temporal Analysis of Regional Systems: A Multiregional Spatial Vector Autoregressive Model for Spain," ERSA conference papers ersa13p159, European Regional Science Association.
- Miguel A. Márquez & Julián Ramajo & Geoffrey JD. Hewings, 2015. "Regional growth and spatial spillovers: Evidence from an SpVAR for the Spanish regions," Papers in Regional Science, Wiley Blackwell, vol. 94, pages 1-18, November.
- Yang, Kai & Lee, Lung-fei, 2021. "Estimation of dynamic panel spatial vector autoregression: Stability and spatial multivariate cointegration," Journal of Econometrics, Elsevier, vol. 221(2), pages 337-367.
- Julián Ramajo & Miguel A. Márquez & Geoffrey J. D. Hewings, 2017. "Spatiotemporal Analysis of Regional Systems," International Regional Science Review, , vol. 40(1), pages 75-96, January.
- Lina Lu, 2017. "Simultaneous Spatial Panel Data Models with Common Shocks," Supervisory Research and Analysis Working Papers RPA 17-3, Federal Reserve Bank of Boston.
- Lazzarini, Sergio G. & Musacchio, Aldo, 2010.
"Leviathan as a Minority Shareholder: A Study of Equity Purchases by the Brazilian National Development Bank (BNDES), 1995-2003,"
Insper Working Papers
wpe_221, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
- Sergio G. Lazzarini & Aldo Musacchio, 2011. "Leviathan as a Minority Shareholder: A Study of Equity Purchases by the Brazilian National Development Bank (BNDES), 1995-2003," Harvard Business School Working Papers 11-073, Harvard Business School.
Cited by:
- António Antunes & Tiago Cavalcanti & Anne Villamil, 2015.
"The effects of credit subsidies on development,"
Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 58(1), pages 1-30, January.
- Antonio Antunes & Tiago Cavalcanti & Anne Villamil, 2012. "The Effects of Credit Subsidies on Development," Centre for Growth and Business Cycle Research Discussion Paper Series 176, Economics, The University of Manchester.
- Loch, Murialdo & Marcon, Rosilene & Pruner da Silva, André Leonardo & Xavier, Wlamir Gonçalves, 2018. "Government's impact on the financial performance of electric service providers as both regulator and shareholder," Utilities Policy, Elsevier, vol. 55(C), pages 142-150.
- Jaison Caetano da Silva & Wlamir Gonçalves Xavier & Cinara Gambirage & Silvio Parodi Oliveira Camilo, 2018. "The Influence of Political Connections on the Cost of Capital and the Performance of Companies Listed on B3," Brazilian Business Review, Fucape Business School, vol. 15(4), pages 317-330, July.
- Fernanda Arreola & Rodrigo Bandeira-de-Mello, 2018. "The Differential Effects of Minority State Ownership Types on the Internationalization of Emerging Market Multinationals from Democratic States," Management International Review, Springer, vol. 58(5), pages 845-869, October.
- Myriã Tatiany Neves Bast & Sergio Naruhiko Sakurai, 2016. "Uma Avaliação Empírica Dos Efeitos Dos Empréstimos Do Bndes Aos Governos Municipais Brasileiros," Anais do XLIII Encontro Nacional de Economia [Proceedings of the 43rd Brazilian Economics Meeting] 064, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
- Marco Carreras, 2023. "Fostering Innovation Activities with the Support of a Development Bank: Evidence from Brazil 2003–2011," The European Journal of Development Research, Palgrave Macmillan;European Association of Development Research and Training Institutes (EADI), vol. 35(3), pages 545-578, June.
- Hans DEWACHTER & Priscilla TOFFANO, 2010.
"Fiscal activism and the cost of debt financing,"
Working Papers of Department of Economics, Leuven
ces10.13, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven.
- Hans Dewachter & Priscilla Toffano, 2012. "Fiscal activism and the cost of debt financing," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 17(1), pages 14-22, January.
Cited by:
- António AFONSO & Priscilla TOFFANO, 2013.
"Fiscal regimes in the EU,"
Working Papers of Department of Economics, Leuven
ces13.06, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven.
- António Afonso & Priscilla Toffano, 2013. "Fiscal regimes in the EU," Working Papers Department of Economics 2013/10, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa.
- Afonso, António & Toffano, Priscilla, 2013. "Fiscal regimes in the EU," Working Paper Series 1529, European Central Bank.
- Lasse Bork & Hans Dewachter & Romain Houssa, 2009.
"Identification of Macroeconomic Factors in Large Panels,"
CREATES Research Papers
2009-43, Department of Economics and Business Economics, Aarhus University.
- Lasse BORK & Hans DEWACHTER & Romain HOUSSA, 2009. "Identification of macroeconomic factors in large panels," Working Papers of Department of Economics, Leuven ces09.18, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven.
- Romain Houssa & Lasse Bork & Hans Dewachter, 2008. "Identification of Macroeconomic Factors in Large Panels," Working Papers 1010, University of Namur, Department of Economics.
Cited by:
- Bajraj, Gent & Lorca, Jorge & Wlasiuk, Juan M., 2023. "On foreign drivers of emerging markets fluctuations," Economic Modelling, Elsevier, vol. 129(C).
- Pegoraro, F. & Siegel, A. F. & Tiozzo Pezzoli, L., 2014. "Specification Analysis of International Treasury Yield Curve Factors," Working papers 490, Banque de France.
- Bork, Lasse, 2009.
"Estimating US Monetary Policy Shocks Using a Factor-Augmented Vector Autoregression: An EM Algorithm Approach,"
Finance Research Group Working Papers
F-2009-03, University of Aarhus, Aarhus School of Business, Department of Business Studies.
- Lasse Bork, 2009. "Estimating US Monetary Policy Shocks Using a Factor-Augmented Vector Autoregression: An EM Algorithm Approach," CREATES Research Papers 2009-11, Department of Economics and Business Economics, Aarhus University.
- Pilar Poncela & Esther Ruiz, 2016.
"Small- Versus Big-Data Factor Extraction in Dynamic Factor Models: An Empirical Assessment,"
Advances in Econometrics, in: Dynamic Factor Models, volume 35, pages 401-434,
Emerald Group Publishing Limited.
- Poncela, Pilar, 2015. "Small versus big-data factor extraction in Dynamic Factor Models: An empirical assessment," DES - Working Papers. Statistics and Econometrics. WS ws1502, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Antonello D'Agostino & Michele Modugno & Chiara Osbat, 2015.
"A Global Trade Model for the Euro Area,"
Finance and Economics Discussion Series
2015-13, Board of Governors of the Federal Reserve System (U.S.).
- Osbat, Chiara & D'Agostino, Antonello & Modugno, Michele, 2016. "A global trade model for the euro area," Working Paper Series 1986, European Central Bank.
- Antonello D’Agostino & Michele Modugno & Chiara Osbat, 2017. "A Global Trade Model for the Euro Area," International Journal of Central Banking, International Journal of Central Banking, vol. 13(4), pages 1-34, December.
- Jorge Fornero & Markus Kirchner & Carlos Molina, 2021.
"Estimating Shadow Policy Rates in a Small Open Economy and the Role of Foreign Factors,"
Working Papers Central Bank of Chile
915, Central Bank of Chile.
- Fornero, Jorge & Kirchner, Markus & Molina, Carlos, 2024. "Estimating shadow policy rates in a small open economy and the role of foreign factors," Journal of International Money and Finance, Elsevier, vol. 140(C).
- Tony Chernis & Rodrigo Sekkel, 2017.
"A dynamic factor model for nowcasting Canadian GDP growth,"
Empirical Economics, Springer, vol. 53(1), pages 217-234, August.
- Tony Chernis & Rodrigo Sekkel, 2017. "A Dynamic Factor Model for Nowcasting Canadian GDP Growth," Staff Working Papers 17-2, Bank of Canada.
- Franz Ramsauer & Aleksey Min & Michael Lingauer, 2019. "Estimation of FAVAR Models for Incomplete Data with a Kalman Filter for Factors with Observable Components," Econometrics, MDPI, vol. 7(3), pages 1-43, July.
- Piyachart Phiromswad & Takeshi Yagihashi, 2016. "Empirical identification of factor models," Empirical Economics, Springer, vol. 51(2), pages 621-658, September.
- Valeri Voev, 2009. "On the Economic Evaluation of Volatility Forecasts," CREATES Research Papers 2009-56, Department of Economics and Business Economics, Aarhus University.
- Riccardo (Jack) Lucchetti & Ioannis A. Venetis, 2019. "Dynamic Factor Models in gretl. The DFM package," gretl working papers 7, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
- Monica Defend & Aleksey Min & Lorenzo Portelli & Franz Ramsauer & Francesco Sandrini & Rudi Zagst, 2021. "Quantifying Drivers of Forecasted Returns Using Approximate Dynamic Factor Models for Mixed-Frequency Panel Data," Forecasting, MDPI, vol. 3(1), pages 1-35, February.
- Hans Dewachter, 2008.
"Imperfect information, macroeconomic dynamics and the yield curve : an encompassing macro-finance model,"
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Cited by:
- Dewachter, Hans & Iania, Leonardo, 2012.
"An Extended Macro-Finance Model with Financial Factors,"
LIDAM Reprints LFIN
2012001, Université catholique de Louvain, Louvain Finance (LFIN).
- Dewachter, Hans & Iania, Leonardo, 2009. "An Extended Macro-Finance Model with Financial Factors," MPRA Paper 17634, University Library of Munich, Germany.
- Hans DEWACHTER & Leonardo IANIA, 2009. "An extended macro-finance model with financial factors," Working Papers of Department of Economics, Leuven ces09.19, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven.
- Dewachter, Hans & Iania, Leonardo, 2011. "An Extended Macro-Finance Model with Financial Factors," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 46(6), pages 1893-1916, December.
- Hans Dewachter & Leonardo Iania, 2010. "An Extended Macro-Finance Model with Financial Factors," CESifo Working Paper Series 2950, CESifo.
- Dewachter, Hans & Iania, Leonardo, 2009. "An Extended Macro-Finance Model with Financial Factors," MPRA Paper 18840, University Library of Munich, Germany.
- Taeyoung Doh, 2012.
"What Does the Yield Curve Tell Us about the Federal Reserve’s Implicit Inflation Target?,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 44(2‐3), pages 469-486, March.
- Taeyoung Doh, 2012. "What Does the Yield Curve Tell Us about the Federal Reserve’s Implicit Inflation Target?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 44, pages 469-486, March.
- Taeyoung Doh, 2007. "What does the yield curve tell us about the Federal Reserve's implicit inflation target?," Research Working Paper RWP 07-10, Federal Reserve Bank of Kansas City.
- Kwangyong Park, 2020.
"The Excess Sensitivity of Long-term Interest rates and Central Bank Credibility,"
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2020-29, Economic Research Institute, Bank of Korea.
- Park, Kwangyong, 2022. "The excess sensitivity of long-term interest rates and central bank credibility," Economic Modelling, Elsevier, vol. 106(C).
- Ferre de Graeve & Maarten Dossche & Marina Emiris & Henri Sneessens & Raf Wouters, 2009.
"Risk Premiums and Macroeconomic Dynamics in a Heterogeneous Agent Model,"
DEM Discussion Paper Series
09-17, Department of Economics at the University of Luxembourg.
- De Graeve, Ferre & Dossche, Maarten & Emiris, Marina & Sneessens, Henri & Wouters, Raf, 2010. "Risk Premiums and Macroeconomic Dynamics in a Heterogeneous Agent Model," Working Paper Series 236, Sveriges Riksbank (Central Bank of Sweden).
- Ferre De Graeve & Maarten Dossche & Marina Emiris & Henri Sneessens & Raf Wouters, 2008. "Risk premiums and macroeconomic dynamics in a heterogeneous agent model," Working Paper Research 150, National Bank of Belgium.
- De Graeve, Ferre & Dossche, Maarten & Emiris, Marina & Sneessens, Henri & Wouters, Raf, 2010. "Risk premiums and macroeconomic dynamics in a heterogeneous agent model," Journal of Economic Dynamics and Control, Elsevier, vol. 34(9), pages 1680-1699, September.
- Del Negro, Marco & Eusepi, Stefano, 2011.
"Fitting observed inflation expectations,"
Journal of Economic Dynamics and Control, Elsevier, vol. 35(12), pages 2105-2131.
- Marco Del Negro & Stefano Eusepi, 2010. "Fitting observed inflation expectations," Staff Reports 476, Federal Reserve Bank of New York.
- Dewachter, Hans & Iania, Leonardo, 2012.
"An Extended Macro-Finance Model with Financial Factors,"
LIDAM Reprints LFIN
2012001, Université catholique de Louvain, Louvain Finance (LFIN).
- Leon Bettendorf & Hans Dewachter, 2007.
"Ageing and the Relative Price of Nontradeables,"
Tinbergen Institute Discussion Papers
07-064/2, Tinbergen Institute.
Cited by:
- Javier Coto-Martinez & Juan C. Reboredo, 2014. "The Relative Price of Non-traded Goods under Imperfect Competition," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 76(1), pages 24-40, February.
- Udo Kreickemeier & Frode Meland, 2013.
"Non-traded Goods, Globalization and Union Influence,"
Economica, London School of Economics and Political Science, vol. 80(320), pages 774-792, October.
- Udo Kreickemeier & Frode Meland, 2017. "Non-Traded Goods, Globalization, and Union Influence," World Scientific Book Chapters, in: International Trade and Labor Markets Welfare, Inequality and Unemployment, chapter 7, pages 173-201, World Scientific Publishing Co. Pte. Ltd..
- Kreickemeier, Udo & Meland, Frode, 2011.
"International Trade, Union Wage Premia,and Welfare in General Equilibrium,"
Working Papers in Economics
04/11, University of Bergen, Department of Economics.
- Udo Kreickemeier & Frode Meland, 2011. "International Trade, Union Wage Premia, and Welfare in General Equilibrium," Discussion Papers 11/05, University of Nottingham, GEP.
- Udo Kreickemeier & Frode Meland, 2011. "International Trade, Union Wage Premia, and Welfare in General Equilibrium," CESifo Working Paper Series 3407, CESifo.
- Kreickemeier, Udo & Meland, Frode, 2011. "International trade, union wage premia, and welfare in general equilibrium," University of Tübingen Working Papers in Business and Economics 5, University of Tuebingen, Faculty of Economics and Social Sciences, School of Business and Economics.
- Max Groneck & Christoph Kaufmann, 2014. "Relative Sectoral Prices and Population Ageing: A Common Trend," Working Paper Series in Economics 69, University of Cologne, Department of Economics.
- Max Groneck & Christoph Kaufmann, 2017. "Determinants of Relative Sectoral Prices: The Role of Demographic Change," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 79(3), pages 319-347, June.
- Hans Dewachter & Marco Lyrio, 2006.
"A Structural Macro Model of the Yield Curve,"
Computing in Economics and Finance 2006
236, Society for Computational Economics.
Cited by:
- Leo Krippner & Leif Anders Thorsrud, 2009. "Forecasting New Zealand's economic growth using yield curve information," Reserve Bank of New Zealand Discussion Paper Series DP2009/18, Reserve Bank of New Zealand.
- Hans Dewachter & Marco Lyrio & Konstantijn Maes, 2006.
"A multi-factor model for the valuation and risk managment of demand deposits,"
Working Paper Research
83, National Bank of Belgium.
Cited by:
- Freriks, Jorien & Kakes, Jan, 2024. "Lessons from low interest rate policy: How did euro area banks respond?," Journal of International Money and Finance, Elsevier, vol. 146(C).
- Vajanne, Laura, 2009. "Inferring market power from retail deposit interest rates in the euro area," Bank of Finland Research Discussion Papers 27/2009, Bank of Finland.
- Paraschiv, Florentina, 2012.
"Adjustment Policy of Deposit Rates in the Case of Swiss non-Maturing Savings Accounts,"
Working Papers on Finance
1219, University of St. Gallen, School of Finance.
- Florentina Paraschiv, 2013. "Adjustment Policy of Deposit Rates in the Case of Swiss Non-maturing Savings Accounts," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 3(3), pages 1-19.
- Geert Langenus, 2006. "Fiscal sustainability indicators and policy design in the face of ageing," Working Paper Research 102, National Bank of Belgium.
- Hans Dewachter & Kristien Smedts, 2004.
"Limits to International Arbitrage: an Empirical Evaluation,"
Working Papers of Department of Economics, Leuven
ces0401, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven.
- Hans Dewachter & Kristien Smedts, 2007. "Limits to international arbitrage: an empirical evaluation," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 12(3), pages 273-285.
Cited by:
- Yang, Ann Shawing & Carandang, Craig Alan Uyan, 2017. "Exploring the location and price differentials of cross-listed firms for arbitrage opportunities," Finance Research Letters, Elsevier, vol. 21(C), pages 85-91.
- Lihui Wang & Zhihong Liu & Huailong Shi, 2022. "The Impact of the Pilot Free Trade Zone on Regional Financial Development," China & World Economy, Institute of World Economics and Politics, Chinese Academy of Social Sciences, vol. 30(5), pages 154-184, September.
- Marco Lyrio & Hans Dewachter, 2004.
"Filtering Long-Run Inflation Expectations with a Structural Macro Model of the Yield Curve,"
Computing in Economics and Finance 2004
188, Society for Computational Economics.
Cited by:
- Michael R. Pakko & William T. Gavin & Finn E. Kydland, 2004.
"Monetary Policy, Taxes, and the Business Cycle,"
Computing in Economics and Finance 2004
32, Society for Computational Economics.
- William T. Gavin & Finn E. Kydland & Michael R. Pakko, 2006. "Monetary policy, taxes and the business cycle," Working Papers 2004-017, Federal Reserve Bank of St. Louis.
- Gavin, William T. & Kydland, Finn E. & Pakko, Michael R., 2007. "Monetary policy, taxes, and the business cycle," Journal of Monetary Economics, Elsevier, vol. 54(6), pages 1587-1611, September.
- Michael R. Pakko & William T. Gavin & Finn E. Kydland, 2005. "Monetary Policy, Taxes, and the Business Cycle," 2005 Meeting Papers 265, Society for Economic Dynamics.
- Michael R. Pakko & William T. Gavin & Finn E. Kydland, 2004.
"Monetary Policy, Taxes, and the Business Cycle,"
Computing in Economics and Finance 2004
32, Society for Computational Economics.
- Dewachter, H.D.R. & Lyrio, M., 2003.
"Macro factors and the Term Structure of Interest Rates,"
ERIM Report Series Research in Management
ERS-2003-037-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
- Dewachter, Hans & Lyrio, Marco, 2006. "Macro Factors and the Term Structure of Interest Rates," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 38(1), pages 119-140, February.
- Hans Dewachter & Marco Lyrio, 2003. "Macro Factors and the Term Structure of Interest Rates," International Economics Working Papers Series ces0304, Katholieke Universiteit Leuven, Centrum voor Economische Studiën, International Economics.
- Hans Dewachter & Marco Lyrio, 2002. "Macro Factors and the Term Structure of Interest Rates," International Economics Working Papers Series wpie007, Katholieke Universiteit Leuven, Centrum voor Economische Studiën, International Economics.
- Hans Dewachter, 2004. "Macro factors and the term structure of interest rates," Money Macro and Finance (MMF) Research Group Conference 2003 25, Money Macro and Finance Research Group.
- Hans Dewachter & Marco Lyrio, 2003. "Macro Factors and the Term Structure of Interest Rates," Working Papers of Department of Economics, Leuven ces0304, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven.
Cited by:
- Geert Bekaert & Seonghoon Cho & Antonio Moreno, 2005.
"New-Keynesian Macroeconomics and the Term Structure,"
NBER Working Papers
11340, National Bureau of Economic Research, Inc.
- Geert Bekaert & Seonghoon Cho & Antonio Moreno, 2010. "New Keynesian Macroeconomics and the Term Structure," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 42(1), pages 33-62, February.
- Antonio Moreno & Geert Bekaert & Seonghoon Cho, 2004. "New-Keynesian Macroeconomics and the Term Structure," 2004 Meeting Papers 388, Society for Economic Dynamics.
- Seonghoon Cho & Antonio Moreno & Geert Bekaert, 2005. "New-Keynesian Macroeconomics and the Term Structure," Faculty Working Papers 04/05, School of Economics and Business Administration, University of Navarra.
- Geert Bekaert & Seonghoon Cho & Antonio Moreno, 2010. "New Keynesian Macroeconomics and the Term Structure," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 42(1), pages 33-62, February.
- Bekaert, Geert & Cho, Seonghoon & Moreno Ibáñez, Antonio, 2006. "New-Keynesian Macroeconomics and the Term Structure," CEPR Discussion Papers 5956, C.E.P.R. Discussion Papers.
- Hans Dewachter & Leonardo Iania & Marco Lyrio, 2014.
"Information in the yield curve: A Macro-Finance approach,"
Working Paper Research
254, National Bank of Belgium.
- Hans Dewachter & Leonardo Iania & Marco Lyrio, 2014. "Information In The Yield Curve: A Macro‐Finance Approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 29(1), pages 42-64, January.
- Dewachter, Hans & Iania, Leonardo & Lyrio, Marco, 2014. "Information in the yield curve: A macro-finance approach," LIDAM Reprints LFIN 2014007, Université catholique de Louvain, Louvain Finance (LFIN).
- Dewachter, Hans & Iania, Leonardo & Lyrio, Marco, 2011. "Information in the Yield Curve: A Macro-Finance Approach," Insper Working Papers wpe_230, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
- Martins, Manuel M.F. & Afonso, António, 2010.
"Level, slope, curvature of the sovereign yield curve, and fiscal behaviour,"
Working Paper Series
1276, European Central Bank.
- António Afonso & Manuel M. F. Martins, 2010. "Level, Slope, Curvature of Sovereign Yield Curve and Fiscal Behaviour," Working Papers Department of Economics 2010/23, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa.
- Afonso, António & Martins, Manuel M.F., 2012. "Level, slope, curvature of the sovereign yield curve, and fiscal behaviour," Journal of Banking & Finance, Elsevier, vol. 36(6), pages 1789-1807.
- Sowmya, Subramaniam & Prasanna, Krishna & Bhaduri, Saumitra, 2016. "Linkages in the term structure of interest rates across sovereign bond markets," Emerging Markets Review, Elsevier, vol. 27(C), pages 118-139.
- Zhou, Siwen, 2019. "Assessing the Macroeconomic Impact of the ECB’s Asset Purchase Programme in a Dynamic Nelson–Siegel Modelling Framework," MPRA Paper 92530, University Library of Munich, Germany.
- Haicheng Shu & Peter Spencer, 2023. "Oil prices in the real economy," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(6), pages 878-897, September.
- Zhuoshi Liu & Peter Spencer, 2009. "An Admissible Term Structure Model Of Sovereign Yield Spreads With Macro Factors: The Case Of Brazilian Global Bonds," Manchester School, University of Manchester, vol. 77(s1), pages 108-125, September.
- Burban, Valentin & De Backer, Bruno & Vladu, Andreea Liliana, 2024. "Inflation (de-)anchoring in the euro area," Working Paper Series 2964, European Central Bank.
- J. Beirlant & G. Claeskens & C. Croux & H. Degryse & H. Dewachter & G. Dhaene & J. Dhaene & I. Gijbels & M. Goovaerts & M. Hubert & F. Roodhooft & W. Schouten & M. Willekens, 2005. "Managing Uncertainty: Financial, Actuarial and Statistical Modeling," Review of Business and Economic Literature, KU Leuven, Faculty of Economics and Business (FEB), Review of Business and Economic Literature, vol. 0(1), pages 23-48.
- Dewachter, Hans & Iania, Leonardo, 2012.
"An Extended Macro-Finance Model with Financial Factors,"
LIDAM Reprints LFIN
2012001, Université catholique de Louvain, Louvain Finance (LFIN).
- Dewachter, Hans & Iania, Leonardo, 2009. "An Extended Macro-Finance Model with Financial Factors," MPRA Paper 17634, University Library of Munich, Germany.
- Hans DEWACHTER & Leonardo IANIA, 2009. "An extended macro-finance model with financial factors," Working Papers of Department of Economics, Leuven ces09.19, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven.
- Dewachter, Hans & Iania, Leonardo, 2011. "An Extended Macro-Finance Model with Financial Factors," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 46(6), pages 1893-1916, December.
- Hans Dewachter & Leonardo Iania, 2010. "An Extended Macro-Finance Model with Financial Factors," CESifo Working Paper Series 2950, CESifo.
- Dewachter, Hans & Iania, Leonardo, 2009. "An Extended Macro-Finance Model with Financial Factors," MPRA Paper 18840, University Library of Munich, Germany.
- Michael R. Pakko & William T. Gavin & Finn E. Kydland, 2004.
"Monetary Policy, Taxes, and the Business Cycle,"
Computing in Economics and Finance 2004
32, Society for Computational Economics.
- William T. Gavin & Finn E. Kydland & Michael R. Pakko, 2006. "Monetary policy, taxes and the business cycle," Working Papers 2004-017, Federal Reserve Bank of St. Louis.
- Gavin, William T. & Kydland, Finn E. & Pakko, Michael R., 2007. "Monetary policy, taxes, and the business cycle," Journal of Monetary Economics, Elsevier, vol. 54(6), pages 1587-1611, September.
- Michael R. Pakko & William T. Gavin & Finn E. Kydland, 2005. "Monetary Policy, Taxes, and the Business Cycle," 2005 Meeting Papers 265, Society for Economic Dynamics.
- Hans Dewachter, 2008. "Imperfect information, macroeconomic dynamics and the yield curve : an encompassing macro-finance model," Working Paper Research 144, National Bank of Belgium.
- Bruna, Karel & Tran, Quang Van, 2020. "The central banks’ ability to control variability of money market interest rates: The case of inflation targeting countries," Journal of Economic Behavior & Organization, Elsevier, vol. 176(C), pages 384-402.
- Tao Wu, 2001.
"Macro factors and the affine term structure of interest rates,"
Working Paper Series
2002-06, Federal Reserve Bank of San Francisco.
- Wu, Tao, 2006. "Macro Factors and the Affine Term Structure of Interest Rates," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 38(7), pages 1847-1875, October.
- Frank A. G. den Butter & Pieter W. Jansen, 2013.
"Beating the random walk: a performance assessment of long-term interest rate forecasts,"
Applied Financial Economics, Taylor & Francis Journals, vol. 23(9), pages 749-765, May.
- Frank A.G. den Butter & Pieter W. Jansen, 2008. "Beating the Random Walk: a Performance Assessment of Long-term Interest Rate Forecasts," Tinbergen Institute Discussion Papers 08-102/3, Tinbergen Institute.
- Dewachter, Hans & Iania, Leonardo & Lemke, Wolfgang & Lyrio, Marco, 2018.
"A macro-financial analysis of the corporate bond market,"
Working Paper Series
2214, European Central Bank.
- Hans Dewachter & Leonardo Iania & Wolfgang Lemke & Marco Lyrio, 2018. "A macro-financial analysis of the corporate bond market," Working Paper Research 360, National Bank of Belgium.
- Hans Dewachter & Leonardo Iania & Wolfgang Lemke & Marco Lyrio, 2019. "A macro–financial analysis of the corporate bond market," Empirical Economics, Springer, vol. 57(6), pages 1911-1933, December.
- Dewacther, Hans & Iania, Leonardo & Lemke, Wolfgang & Lyrio, Marco, 2019. "A Macro-Financial Analysis of the Corporate Bond Market," LIDAM Reprints LFIN 2019008, Université catholique de Louvain, Louvain Finance (LFIN).
- Glenn D. Rudebusch & Eric T. Swanson, 2008.
"Examining the bond premium puzzle with a DSGE model,"
Working Paper Series
2007-25, Federal Reserve Bank of San Francisco.
- Rudebusch, Glenn D. & Swanson, Eric T., 2008. "Examining the bond premium puzzle with a DSGE model," Journal of Monetary Economics, Elsevier, vol. 55(Supplemen), pages 111-126, October.
- Wellmann, Dennis & Trück, Stefan, 2018. "Factors of the term structure of sovereign yield spreads," Journal of International Money and Finance, Elsevier, vol. 81(C), pages 56-75.
- Daniela Osterrieder, 2013. "Interest Rates with Long Memory: A Generalized Affine Term-Structure Model," CREATES Research Papers 2013-17, Department of Economics and Business Economics, Aarhus University.
- Marco Lyrio & Hans Dewachter & Konstantijn Maes, 2006.
"A joint model for the term structure of interest rates and the macroeconomy,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(4), pages 439-462.
- Hans Dewachter & Marco Lyrio & Konstantijn Maes, 2006. "A joint model for the term structure of interest rates and the macroeconomy," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(4), pages 439-462, May.
- Hans Dewachter & Marco Lyrio & Konstantijn Maes, 2001. "A Joint Model for the Term Structure of Interest Rates and the Macroeconomy," International Economics Working Papers Series wpie002, Katholieke Universiteit Leuven, Centrum voor Economische Studiën, International Economics.
- Carlos Garriga & Finn E. Kydland & Roman Šustek, 2019.
"MoNK: Mortgages in a New-Keynesian Model,"
Working Papers
2019-32, Federal Reserve Bank of St. Louis.
- Carlos Garriga & Finn E. Kydland & Roman Šustek, 2019. "MoNK: Mortgages in a New-Keynesian Model," NBER Working Papers 26427, National Bureau of Economic Research, Inc.
- Carlos Carriga & Finn E. Kydland & Roman Sustek, 2019. "MoNK: Mortgages in a New-Keynesian Model," Discussion Papers 1920, Centre for Macroeconomics (CFM).
- Garriga, Carlos & Kydland, Finn E. & Šustek, Roman, 2021. "MoNK: Mortgages in a New-Keynesian model," Journal of Economic Dynamics and Control, Elsevier, vol. 123(C).
- Harm Bandholz & Jorg Clostermann & Franz Seitz, 2009.
"Explaining the US bond yield conundrum,"
Applied Financial Economics, Taylor & Francis Journals, vol. 19(7), pages 539-550.
- Bandholz, Harm & Clostermann, Joerg & Seitz, Franz, 2007. "Explaining the US Bond Yield Conundrum," MPRA Paper 2386, University Library of Munich, Germany.
- Bandholz, Harm & Clostermann, Jörg & Seitz, Franz, 2007. "Explaining the US bond yield conundrum," Weidener Diskussionspapiere 2, University of Applied Sciences Amberg-Weiden (OTH).
- Gaus, Eric & Sinha, Arunima, 2017.
"Characterizing investor expectations for assets with varying risk,"
Research in International Business and Finance, Elsevier, vol. 39(PB), pages 990-999.
- Eric Gaus & Arunima Sinha, 2015. "Characterizing Investor Expectations for Assets with Varying Risk," Working Papers 15-01, Ursinus College, Department of Economics.
- Hibiki Ichiue, 2004.
"Why Can the Yield Curve Predict Output Growth, Inflation, and Interest Rates? An Analysis with Affine Term Structure Model,"
Econometric Society 2004 Far Eastern Meetings
581, Econometric Society.
- Hibiki Ichiue, 2004. "Why Can the Yield Curve Predict Output Growth, Inflation, and Interest Rates? An Analysis with an Affine Term Structure Model," Bank of Japan Working Paper Series 04-E-11, Bank of Japan.
- Chadha, Jagjit S. & Waters, Alex, 2014.
"Applying a macro-finance yield curve to UK quantitative Easing,"
Journal of Banking & Finance, Elsevier, vol. 39(C), pages 68-86.
- Jagjit S. Chadha & Alex Waters, 2014. "Applying a Macro-Finance Yield Curve to UK Quantitative Easing," Studies in Economics 1418, School of Economics, University of Kent.
- Francis X. Diebold, & Rudebusch, Glenn D. & Aruoba, S. Boragan, 2003.
"The Macroeconomy and the Yield Curve: A Nonstructural Analysis,"
CFS Working Paper Series
2003/31, Center for Financial Studies (CFS).
- Francis X. Diebold & Glenn D. Rudebusch & S. Boragan Aruoba, 2003. "The Macroeconomy and the Yield Curve: A Nonstructural Analysis," PIER Working Paper Archive 03-024, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- S. Boragan Aruoba & Francis X. Diebold & Glenn D. Rudebusch, 2003. "The macroeconomy and the yield curve: a nonstructural analysis," Working Paper Series 2003-18, Federal Reserve Bank of San Francisco.
- Yu-chin Chen & Kwok Ping Tsang, 2010.
"What Does the Yield Curve Tell Us about Exchange Rate Predictability?,"
Working Papers
292010, Hong Kong Institute for Monetary Research.
- Yu-chin Chen & Kwok Ping Tsang, 2009. "What Does the Yield Curve Tell Us About Exchange Rate Predictability?," Working Papers UWEC-2009-04, University of Washington, Department of Economics.
- Yu-chin Chen & Kwok Ping Tsang, 2013. "What Does the Yield Curve Tell Us about Exchange Rate Predictability?," The Review of Economics and Statistics, MIT Press, vol. 95(1), pages 185-205, March.
- Josué Cortés Espada & Carlos Capistrán & Manuel Ramos-Francia & Alberto Torres, 2009.
"An empirical analysis of the mexican term structure of interest rates,"
Economics Bulletin, AccessEcon, vol. 29(3), pages 2300-2313.
- Cortés Espada Josué Fernando & Ramos Francia Manuel & Torres García Alberto, 2008. "An Empirical Analysis of the Mexican Term Structure of Interest Rates," Working Papers 2008-07, Banco de México.
- Francesco Audrino & Lorenzo Camponovo, 2013.
"Oracle Properties and Finite Sample Inference of the Adaptive Lasso for Time Series Regression Models,"
Papers
1312.1473, arXiv.org.
- Audrino, Francesco & Camponovo, Lorenzo, 2013. "Oracle Properties and Finite Sample Inference of the Adaptive Lasso for Time Series Regression Models," Economics Working Paper Series 1327, University of St. Gallen, School of Economics and Political Science.
- Andrew Ang & Sen Dong & Monika Piazzesi, 2005.
"No-arbitrage Taylor rules,"
Proceedings, Federal Reserve Bank of San Francisco.
- Andrew Ang & Sen Dong, 2005. "No-Arbitrage Taylor Rules," 2005 Meeting Papers 22, Society for Economic Dynamics.
- Andrew Ang & Sen Dong & Monika Piazzesi, 2007. "No-Arbitrage Taylor Rules," NBER Working Papers 13448, National Bureau of Economic Research, Inc.
- Peter Hördahl & Oreste Tristani & David Vestin, 2006. "The term structure of inflation risk premia and macroeconomic dynamics," Computing in Economics and Finance 2006 203, Society for Computational Economics.
- Michael D. Bauer & James D. Hamilton, 2015.
"Robust Bond Risk Premia,"
CESifo Working Paper Series
5541, CESifo.
- Michael D. Bauer & James D. Hamilton, 2015. "Robust bond risk premia," Working Paper Series 2015-15, Federal Reserve Bank of San Francisco.
- Michael D. Bauer & James D. Hamilton, 2018. "Robust Bond Risk Premia," The Review of Financial Studies, Society for Financial Studies, vol. 31(2), pages 399-448.
- Michael D. Bauer & James D. Hamilton, 2017. "Robust Bond Risk Premia," NBER Working Papers 23480, National Bureau of Economic Research, Inc.
- P.A. Tinsley & Sharon Kozicki, 2004.
"Permanent and Transitory Policy Shocks in an Empirical Macro Model with Asymmetric Information,"
Computing in Economics and Finance 2004
146, Society for Computational Economics.
- Kozicki, Sharon & Tinsley, P.A., 2005. "Permanent and transitory policy shocks in an empirical macro model with asymmetric information," Journal of Economic Dynamics and Control, Elsevier, vol. 29(11), pages 1985-2015, November.
- Sharon Kozicki & Peter A. Tinsley, 2003. "Permanent and transitory policy shocks in an empirical macro model with asymmetric information," Research Working Paper RWP 03-09, Federal Reserve Bank of Kansas City.
- Kozicki, Sharon & Tinsley, P. A., 2003. "Permanent and transitory policy shocks in an empirical macro model with asymmetric information," CFS Working Paper Series 2003/41, Center for Financial Studies (CFS).
- Sharon Kozicki & Peter A. Tinsley, 2004. "Permanent and transitory policy shocks in an empirical macro model with asymmetric information," Proceedings, Federal Reserve Bank of San Francisco, issue Mar.
- Michiel De Pooter & Francesco Ravazzolo & Dick van Dijk, 2010.
"Term structure forecasting using macro factors and forecast combination,"
International Finance Discussion Papers
993, Board of Governors of the Federal Reserve System (U.S.).
- Michiel de Pooter & Francesco Ravazzolo & Dick van Dijk, 2010. "Term structure forecasting using macro factors and forecast combination," Working Paper 2010/01, Norges Bank.
- Peter N. Ireland, 2007.
"Changes in the Federal Reserve's Inflation Target: Causes and Consequences,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(8), pages 1851-1882, December.
- Peter N. Ireland, 2005. "Changes in the Federal Reserve’s Inflation Target: Causes and Consequences," Boston College Working Papers in Economics 607, Boston College Department of Economics.
- Peter N. Ireland, 2005. "Changes in the Federal Reserve's inflation target: causes and consequences," Working Papers 05-13, Federal Reserve Bank of Boston.
- Peter N. Ireland, 2006. "Changes in the Federal Reserve's Inflation Target: Causes and Consequences," NBER Working Papers 12492, National Bureau of Economic Research, Inc.
- Peter N. Ireland, 2007. "Changes in the Federal Reserve's Inflation Target: Causes and Consequences," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(8), pages 1851-1882, December.
- Marco Lyrio & Hans Dewachter, 2004. "Filtering Long-Run Inflation Expectations with a Structural Macro Model of the Yield Curve," Computing in Economics and Finance 2004 188, Society for Computational Economics.
- Aguiar-Conraria, Luís & Martins, Manuel M.F. & Soares, Maria Joana, 2012.
"The yield curve and the macro-economy across time and frequencies,"
Journal of Economic Dynamics and Control, Elsevier, vol. 36(12), pages 1950-1970.
- Luís Aguiar-Conraria & Manuel M. F. Martins & Maria Joana Soares, 2010. "The yield curve and the macro-economy across time and frequencies," CEF.UP Working Papers 1004, Universidade do Porto, Faculdade de Economia do Porto.
- Luís Francisco Aguiar & Manuel M. F. Martins & Maria Joana Soares, 2010. "The yield curve and the macro-economy across time and frequencies," NIPE Working Papers 21/2010, NIPE - Universidade do Minho.
- Wali Ullah & Yoshihiko Tsukuda & Yasumasa Matsuda, 2012. "Term Structure Forecasting of Government Bond Yields with Latent and Macroeconomic Factors: Does Macroeconomic Factors Imply Better Out-of-Sample Forecasts?," TERG Discussion Papers 287, Graduate School of Economics and Management, Tohoku University.
- Michael D. Bauer & Glenn D. Rudebusch, 2017.
"Interest Rates Under Falling Stars,"
CESifo Working Paper Series
6571, CESifo.
- Michael D. Bauer & Glenn D. Rudebusch, 2019. "Interest Rates Under Falling Stars," Working Paper Series 2017-16, Federal Reserve Bank of San Francisco.
- Michael D. Bauer & Glenn D. Rudebusch, 2020. "Interest Rates under Falling Stars," American Economic Review, American Economic Association, vol. 110(5), pages 1316-1354, May.
- Evangelos Salachas & Georgios P. Kouretas & Nikiforos T. Laopodis, 2024. "The term structure of interest rates and economic activity: Evidence from the COVID‐19 pandemic," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(4), pages 1018-1041, July.
- Laurini, Márcio P. & Caldeira, João F., 2016. "A macro-finance term structure model with multivariate stochastic volatility," International Review of Economics & Finance, Elsevier, vol. 44(C), pages 68-90.
- Dubiel-Teleszynski, Tomasz & Kalogeropoulos, Konstantinos & Karouzakis, Nikolaos, 2024. "Sequential learning and economic benefits from dynamic term structure models," LSE Research Online Documents on Economics 123659, London School of Economics and Political Science, LSE Library.
- Sarno, Lucio & Thornton, Daniel L. & Valente, Giorgio, 2007.
"The Empirical Failure of the Expectations Hypothesis of the Term Structure of Bond Yields,"
Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 42(1), pages 81-100, March.
- Sarno, Lucio & Thornton, Daniel L & Valente, Giorgio, 2005. "The Empirical Failure of the Expectations Hypothesis of the Term Structure of Bond Yields," CEPR Discussion Papers 5259, C.E.P.R. Discussion Papers.
- Lucio Sarno & Daniel L. Thornton & Giorgio Valente, 2005. "The empirical failure of the expectations hypothesis of the term structure of bond yields," Working Papers 2003-021, Federal Reserve Bank of St. Louis.
- Sharon Kozicki & Peter A. Tinsley, 2005.
"Term structure transmission of monetary policy,"
Research Working Paper
RWP 05-06, Federal Reserve Bank of Kansas City.
- Sharon Kozicki & P. A. Tinsley, 2007. "Term Structure Transmission of Monetary Policy," Staff Working Papers 07-30, Bank of Canada.
- Kozicki, Sharon & Tinsley, P.A., 2008. "Term structure transmission of monetary policy," The North American Journal of Economics and Finance, Elsevier, vol. 19(1), pages 71-92, March.
- Peter Hördahl, 2008.
"The inflation risk premium in the term structure of interest rates,"
BIS Quarterly Review, Bank for International Settlements, September.
- Peter Hördahl & Oreste Tristani, 2012. "Inflation Risk Premia In The Term Structure Of Interest Rates," Journal of the European Economic Association, European Economic Association, vol. 10(3), pages 634-657, May.
- Hördahl, Peter & Tristani, Oreste, 2007. "Inflation risk premia in the term structure of interest rates," Working Paper Series 734, European Central Bank.
- Peter Hoerdahl & Oreste Tristani, 2007. "Inflation risk premia in the term structure of interest rates," BIS Working Papers 228, Bank for International Settlements.
- Huse, Cristian, 2011. "Term structure modelling with observable state variables," Journal of Banking & Finance, Elsevier, vol. 35(12), pages 3240-3252.
- Soloschenko, Max & Weber, Enzo, 2014. "Capturing the Interaction of Trend, Cycle, Expectations and Risk Premia in the US Term Structure," University of Regensburg Working Papers in Business, Economics and Management Information Systems 475, University of Regensburg, Department of Economics.
- Zhongliang Tuo, 2013. "Hedging Against the Interest-rate Risk by Measuring the Yield-curve Movement," Papers 1312.6841, arXiv.org.
- Radoslav Raykov, 2024. "Decomposing Large Banks’ Systemic Trading Losses," Staff Working Papers 24-6, Bank of Canada.
- Shuping Shi & Peter C. B. Phillips & Stan Hurn, 2018.
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Journal of Time Series Analysis, Wiley Blackwell, vol. 39(6), pages 966-987, November.
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- Carlo Altavilla & Raffaella Giacomini & Riccardo Costantini, 2014. "Bond Returns and Market Expectations," Journal of Financial Econometrics, Oxford University Press, vol. 12(4), pages 708-729.
- Han, Yang & Jiao, Anqi & Ma, Jun, 2021. "The predictive power of Nelson–Siegel factor loadings for the real economy," Journal of Empirical Finance, Elsevier, vol. 64(C), pages 95-127.
- Michiel D. de Pooter & Francesco Ravazzolo & Dick van Dijk, 2007.
"Predicting the Term Structure of Interest Rates: Incorporating Parameter Uncertainty, Model Uncertainty and Macroeconomic Information,"
Tinbergen Institute Discussion Papers
07-028/4, Tinbergen Institute.
- De Pooter, Michiel & Ravazzolo, Francesco & van Dijk, Dick, 2006. "Predicting the term structure of interest rates incorporating parameter uncertainty, model uncertainty and macroeconomic information," MPRA Paper 2512, University Library of Munich, Germany, revised 03 Mar 2007.
- Carlo A. Favero & Arie E. Gozluklu & Haoxi Yang, 2016.
"Demographics and the Behavior of Interest Rates,"
IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 64(4), pages 732-776, November.
- Carlo A. Favero & Arie E. Gozluklu & Haoxi Yang, 2011. "Demographics and The Behaviour of Interest Rates," Working Papers 388, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Argyropoulos, Efthymios & Tzavalis, Elias, 2016. "Forecasting economic activity from yield curve factors," The North American Journal of Economics and Finance, Elsevier, vol. 36(C), pages 293-311.
- Samuel Maurer & Joshua V. Rosenberg, 2008. "Signal or noise? Implications of the term premium for recession forecasting," Economic Policy Review, Federal Reserve Bank of New York, vol. 14(Jul), pages 1-11.
- James H. Stock & Mark W. Watson, 2008.
"Phillips Curve Inflation Forecasts,"
NBER Working Papers
14322, National Bureau of Economic Research, Inc.
- James H. Stock & Mark W. Watson, 2008. "Phillips curve inflation forecasts," Conference Series ; [Proceedings], Federal Reserve Bank of Boston.
- Sowmya, Subramaniam & Prasanna, Krishna, 2018. "Yield curve interactions with the macroeconomic factors during global financial crisis among Asian markets," International Review of Economics & Finance, Elsevier, vol. 54(C), pages 178-192.
- Elyas Elyasiani & Iftekhar Hasan & Elena Kalotychou & Panos K. Pouliasis & Sotiris K. Staikouras, 2020. "Banks’ equity performance and the term structure of interest rates," Financial Markets, Institutions & Instruments, John Wiley & Sons, vol. 29(2), pages 43-64, May.
- Almeida, Caio & Ardison, Kym & Kubudi, Daniela, 2014. "Approximating Risk Premium on a Parametric Arbitrage-free Term Structure Model," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 34(2), November.
- Badics, Milan Csaba & Huszar, Zsuzsa R. & Kotro, Balazs B., 2023. "The impact of crisis periods and monetary decisions of the Fed and the ECB on the sovereign yield curve network," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 88(C).
- Bent Jesper Christensen & Olaf Posch & Michel van der Wel, 2014.
"Estimating Dynamic Equilibrium Models Using Mixed Frequency Macro and Financial Data,"
CESifo Working Paper Series
5030, CESifo.
- Christensen, Bent Jesper & Posch, Olaf & van der Wel, Michel, 2016. "Estimating dynamic equilibrium models using mixed frequency macro and financial data," Journal of Econometrics, Elsevier, vol. 194(1), pages 116-137.
- Shamsuddin, Abul, 2014. "Are Dow Jones Islamic equity indices exposed to interest rate risk?," Economic Modelling, Elsevier, vol. 39(C), pages 273-281.
- Joseph G. Haubrich, 2020.
"Does the Yield Curve Predict Output?,"
Working Papers
20-34, Federal Reserve Bank of Cleveland.
- Joseph G. Haubrich, 2021. "Does the Yield Curve Predict Output?," Annual Review of Financial Economics, Annual Reviews, vol. 13(1), pages 341-362, November.
- Werner, Thomas & Lemke, Wolfgang, 2009. "The term structure of equity premia in an affine arbitrage-free model of bond and stock market dynamics," Working Paper Series 1045, European Central Bank.
- J.Marcelo Ochoa, 2006.
"An interpretation of an affine term structure model of Chile,"
Estudios de Economia, University of Chile, Department of Economics, vol. 33(2 Year 20), pages 155-184, December.
- Juan Marcelo, Ochoa, 2006. "An Interpretation of An Affine Term Structure Model for Chile," MPRA Paper 1072, University Library of Munich, Germany.
- M. Falagiarda & M. Marzo, 2012. "A DSGE model with Endogenous Term Structure," Working Papers wp830, Dipartimento Scienze Economiche, Universita' di Bologna.
- Sowmya Subramaniam & David Gabauer & Rangan Gupta, 2018.
"On the Transmission Mechanism of Asia-Pacific Yield Curve Characteristics,"
Working Papers
201864, University of Pretoria, Department of Economics.
- David Gabauer & Sowmya Subramaniam & Rangan Gupta, 2022. "On the transmission mechanism of Asia‐Pacific yield curve characteristics," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(1), pages 473-488, January.
- Konstantinos Bisiotis & Stelios Psarakis & Athanasios N. Yannacopoulos, 2022. "Affine Term Structure Models: Applications in Portfolio Optimization and Change Point Detection," Mathematics, MDPI, vol. 10(21), pages 1-33, November.
- Almeida, Caio & Faria, Adriano, 2014. "Forecasting the Brazilian Term Structure Using Macroeconomic Factors," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 34(1), March.
- Nobuyuki Oda & Takashi Suzuki, 2007. "A Macro-Finance Analysis of the Term Structure and Monetary Policy in Japan: Using a Model with Time-Variant Equilibrium Rates of Real Interest and Inflation and with the Zero Lower Bound of Nominal I," Bank of Japan Working Paper Series 07-E-17, Bank of Japan.
- Leo Krippner, 2003. "Modelling the Yield Curve with Orthonomalised Laguerre Polynomials: An Intertemporally Consistent Approach with an Economic Interpretation," Working Papers in Economics 03/01, University of Waikato.
- Peter Spencer, 2004. "Affine Macroeconomic Models of the Term Structure of Interest Rates: The US Treasury Market 1961-99," Discussion Papers 04/16, Department of Economics, University of York, revised Jan 2006.
- Leo Krippner, 2005. "Investigating the Relationships between the Yield Curve, Output and Inflation using an Arbitrage-Free Version of the Nelson and Siegel Class of Yield Curve Models," Working Papers in Economics 05/02, University of Waikato.
- Gaus, Eric & Sinha, Arunima, 2018.
"What does the yield curve imply about investor expectations?,"
Journal of Macroeconomics, Elsevier, vol. 57(C), pages 248-265.
- Eric Gaus & Arunima Sinha, 2014. "What does the Yield Curve imply about Investor Expectations?," Working Papers 14-02, Ursinus College, Department of Economics.
- Peter Spencer, 2007. "Macro volatility in a model of the UK Gilt edged bond market," Money Macro and Finance (MMF) Research Group Conference 2006 73, Money Macro and Finance Research Group.
- Guidolin, Massimo & Pedio, Manuela, 2019. "Forecasting and trading monetary policy effects on the riskless yield curve with regime switching Nelson–Siegel models," Journal of Economic Dynamics and Control, Elsevier, vol. 107(C), pages 1-1.
- Oguzhan Cepni & Ibrahim Ethem Guney & Doruk Kucuksarac & Muhammed Hasan Yilmaz, 2018. "The Interaction between Yield Curve and Macroeconomic Factors," CBT Research Notes in Economics 1802, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
- ZHU Xiaoneng & Shahidur RAHMAN, 2009. "A Regime Switching Macro-finance Model of the Term Structure," Economic Growth Centre Working Paper Series 0901, Nanyang Technological University, School of Social Sciences, Economic Growth Centre.
- Matsumura, Marco & Moreira, Ajax & Vicente, Jose Valentim Machado, 2011. "Identification of Gaussian Term Structure Models with Observable Factors," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 31(2), December.
- Argyropoulos, Efthymios & Tzavalis, Elias, 2021. "The influence of real interest rates and risk premium effects on the ability of the nominal term structure to forecast inflation," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 785-796.
- Dewachter, H.D.R. & Lyrio, M., 2003.
"The Cost of Technical Trading Rules in the Forex Market: A Utility-based Evaluation,"
ERIM Report Series Research in Management
ERS-2003-052-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
- Dewachter, Hans & Lyrio, Marco, 2006. "The cost of technical trading rules in the Forex market: A utility-based evaluation," Journal of International Money and Finance, Elsevier, vol. 25(7), pages 1072-1089, November.
Cited by:
- Narayan, Paresh Kumar & Narayan, Seema & Sharma, Susan Sunila, 2013.
"An analysis of commodity markets: What gain for investors?,"
Journal of Banking & Finance, Elsevier, vol. 37(10), pages 3878-3889.
- Narayan, Paresh Kumar & Narayan, Seema & Sharma, Susan Sunila, 2013. "An analysis of commodity markets: what gain for investors?," Working Papers fe_2013_02, Deakin University, Department of Economics.
- Huisman, R. & Huurman, C., 2003. "Fat Tails in Power Prices," ERIM Report Series Research in Management ERS-2003-059-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
- Massimo Guidolin & Daniel L. Thornton, 2010.
"Predictions of short-term rates and the expectations hypothesis,"
Working Papers
2010-013, Federal Reserve Bank of St. Louis.
- Guidolin, Massimo & Thornton, Daniel L., 2018. "Predictions of short-term rates and the expectations hypothesis," International Journal of Forecasting, Elsevier, vol. 34(4), pages 636-664.
- Yung-Ho Chang, 2019. "Cross-market information spillover and the performance of technical trading in the foreign exchange market," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 43(2), pages 211-227, April.
- Hans Dewachter & Marco Lyrio & Konstantijn Maes, 2002.
"The Effect of Monetary Unification on German Bond Markets,"
Working Papers of Department of Economics, Leuven
ces0205, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven.
- Hans Dewachter & Marco Lyrio & Konstantijn Maes, 2004. "The Effect of Monetary Unification on German Bond Markets," European Financial Management, European Financial Management Association, vol. 10(3), pages 487-509, September.
- Hans Dewachter & Marco Lyrio & Konstantijn Maes, 2001. "The Effect of Monetary Unification on German Bond Markets," International Economics Working Papers Series ces0205, Katholieke Universiteit Leuven, Centrum voor Economische Studiën, International Economics.
- Hans Dewachter & Marco Lyrio & Konstantijn Maes, 2001. "The Effect of Monetary Unification on German Bond Markets," International Economics Working Papers Series wpie005, Katholieke Universiteit Leuven, Centrum voor Economische Studiën, International Economics.
Cited by:
- Markus Junker & Alexander Szimayer & Niklas Wagner, 2004.
"Nonlinear Term Structure Dependence: Copula Functions, Empirics, and Risk Implications,"
Econometrics
0401007, University Library of Munich, Germany.
- Junker, Markus & Szimayer, Alex & Wagner, Niklas, 2006. "Nonlinear term structure dependence: Copula functions, empirics, and risk implications," Journal of Banking & Finance, Elsevier, vol. 30(4), pages 1171-1199, April.
- Marco Lyrio & Hans Dewachter & Konstantijn Maes, 2006.
"A joint model for the term structure of interest rates and the macroeconomy,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(4), pages 439-462.
- Hans Dewachter & Marco Lyrio & Konstantijn Maes, 2006. "A joint model for the term structure of interest rates and the macroeconomy," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(4), pages 439-462, May.
- Hans Dewachter & Marco Lyrio & Konstantijn Maes, 2001. "A Joint Model for the Term Structure of Interest Rates and the Macroeconomy," International Economics Working Papers Series wpie002, Katholieke Universiteit Leuven, Centrum voor Economische Studiën, International Economics.
- Marco Lyrio & Hans Dewachter, 2004. "Filtering Long-Run Inflation Expectations with a Structural Macro Model of the Yield Curve," Computing in Economics and Finance 2004 188, Society for Computational Economics.
- Ahmad, Wasim & Mishra, Anil V. & Daly, Kevin J., 2018. "Financial connectedness of BRICS and global sovereign bond markets," Emerging Markets Review, Elsevier, vol. 37(C), pages 1-16.
- Hordahl, Peter & Tristani, Oreste & Vestin, David, 2006.
"A joint econometric model of macroeconomic and term-structure dynamics,"
Journal of Econometrics, Elsevier, vol. 131(1-2), pages 405-444.
- Peter Hordahl & Oreste Tristani & David Vestin, 2004. "A joint econometric model of macroeconomic and term structure dynamics," Money Macro and Finance (MMF) Research Group Conference 2003 48, Money Macro and Finance Research Group.
- Tristani, Oreste & Vestin, David & Hördahl, Peter, 2004. "A joint econometric model of macroeconomic and term structure dynamics," Working Paper Series 405, European Central Bank.
- Peter Hoerdahl & Oreste Tristani, 2004. "A joint econometric model of macroeconomic and term structure dynamics," Econometric Society 2004 North American Summer Meetings 379, Econometric Society.
- Miguel Almeida Ferreira & Miguel Ângelo Ferreira, 2006. "The Importance of Industry and Country Effects in the EMU Equity Markets," European Financial Management, European Financial Management Association, vol. 12(3), pages 341-373, June.
- Hans Dewachter & Marco Lyrio & Konstantijn Maes, 2006. "A multi-factor model for the valuation and risk managment of demand deposits," Working Paper Research 83, National Bank of Belgium.
- SANTOS, Carlos & OLIVEIRA, Maria Alberta, 2007. "Modelling The German Yield Curve And Testing The Lucas Critique, 1975-2001," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 7(1).
- Giuliano Iannotta & Marco Navone, 2008. "Which Factors Affect Bond Underwriting Fees? The Role of Banking Relationships," European Financial Management, European Financial Management Association, vol. 14(5), pages 944-961, November.
- Hans Dewachter & Marco Lyrio, 2002.
"The Economic Value of Technical Trading Rules: A Non-parametric Utility-based Approach,"
International Economics Working Papers Series
ces0203, Katholieke Universiteit Leuven, Centrum voor Economische Studiën, International Economics.
- Hans Dewachter & Marco Lyrio, 2005. "The economic value of technical trading rules: a nonparametric utility-based approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 10(1), pages 41-62.
Cited by:
- Menkhoff, Lukas & Taylor, Mark P., 2006.
"The Obstinate Passion of Foreign Exchange Professionals : Technical Analysis,"
The Warwick Economics Research Paper Series (TWERPS)
769, University of Warwick, Department of Economics.
- Lukas Menkhoff & Mark P. Taylor, 2007. "The Obstinate Passion of Foreign Exchange Professionals: Technical Analysis," Journal of Economic Literature, American Economic Association, vol. 45(4), pages 936-972, December.
- Menkhoff, Lukas & Taylor, Mark P., 2006. "The Obstinate Passion of Foreign Exchange Professionals: Technical Analysis," Economic Research Papers 269739, University of Warwick - Department of Economics.
- Menkhoff, Lukas & Taylor, Mark P., 2006. "The Obstinate Passion of Foreign Exchange Professionals: Technical Analysis," Hannover Economic Papers (HEP) dp-352, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Isakov, Dusan & Marti, Didier, 2011. "Technical Analysis with a Long-Term Perspective: Trading Strategies and Market Timing Ability," FSES Working Papers 421, Faculty of Economics and Social Sciences, University of Freiburg/Fribourg Switzerland.
- Wang, Lijun & An, Haizhong & Liu, Xiaojia & Huang, Xuan, 2016. "Selecting dynamic moving average trading rules in the crude oil futures market using a genetic approach," Applied Energy, Elsevier, vol. 162(C), pages 1608-1618.
- Lijun Wang & Haizhong An & Xiaohua Xia & Xiaojia Liu & Xiaoqi Sun & Xuan Huang, 2014. "Generating Moving Average Trading Rules on the Oil Futures Market with Genetic Algorithms," Mathematical Problems in Engineering, Hindawi, vol. 2014, pages 1-10, May.
- Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2015. "Wave function method to forecast foreign currencies exchange rates at ultra high frequency electronic trading in foreign currencies exchange markets," MPRA Paper 67470, University Library of Munich, Germany.
- Dewachter, Hans & Lyrio, Marco, 2006.
"The cost of technical trading rules in the Forex market: A utility-based evaluation,"
Journal of International Money and Finance, Elsevier, vol. 25(7), pages 1072-1089, November.
- Dewachter, H.D.R. & Lyrio, M., 2003. "The Cost of Technical Trading Rules in the Forex Market: A Utility-based Evaluation," ERIM Report Series Research in Management ERS-2003-052-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
- Harrathi Nizar & Alhoshan Hamed M., 2020. "Validity of the Expectations Hypothesis of the Term Structure of Interest Rates: The Case of Saudi Arabia," Review of Middle East Economics and Finance, De Gruyter, vol. 16(1), pages 1-18, April.
- Joachim Inkmann & Zhen Shi, 2015. "Parametric Portfolio Policies in the Surplus Consumption Ratio," International Review of Finance, International Review of Finance Ltd., vol. 15(2), pages 257-282, June.
- Hans Dewachter & Konstantijn Maes, 2001.
"Fitting Correlations Within and Between Bond Markets,"
International Economics Working Papers Series
wpie004, Katholieke Universiteit Leuven, Centrum voor Economische Studiën, International Economics.
Cited by:
- Fendel, Ralf, 2004. "Towards a Joint Characterization of Monetary Policy and the Dynamics of the Term Structure of Interest Rates," Discussion Paper Series 1: Economic Studies 2004,24, Deutsche Bundesbank.
- Hans DEWACHTER & Konstantijn MAES, 2001.
"An Affine Model for International Bond Markets,"
Working Papers of Department of Economics, Leuven
ces0106, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven.
- Hans Dewachter & Konstantijn Maes, 2001. "An Affine Model for International Bond Markets," International Economics Working Papers Series ces0106, Katholieke Universiteit Leuven, Centrum voor Economische Studiën, International Economics.
Cited by:
- Yung, Julieta, 2021.
"Can interest rate factors explain exchange rate fluctuations?,"
Journal of Empirical Finance, Elsevier, vol. 61(C), pages 34-56.
- Julieta Yung, 2014. "Can interest rate factors explain exchange rate fluctuations?," Globalization Institute Working Papers 207, Federal Reserve Bank of Dallas.
- Mats Hansson & Eva Liljeblom & Anders Loflund, 2009. "International bond diversification strategies: the impact of currency, country, and credit risk," The European Journal of Finance, Taylor & Francis Journals, vol. 15(5-6), pages 555-583.
- Vilimir Yordanov, 2012. "The Bulgarian Foreign and Domestic Debt ??? A No-Arbitrage Macrofinancial View," William Davidson Institute Working Papers Series wp1032, William Davidson Institute at the University of Michigan.
- Hans Dewachter & Konstantijn Maes, 2001.
"An Admissible Affine Model for Joint Term Structure Dynamics of Interest Rates,"
International Economics Working Papers Series
wpie001, Katholieke Universiteit Leuven, Centrum voor Economische Studiën, International Economics.
Cited by:
- Astrid Eisenberg & Markus Rudolf, 2007. "Exchange Rates and the Conversion of Currency‐Specific Risk Premia," European Financial Management, European Financial Management Association, vol. 13(4), pages 672-701, September.
- Sarno, Lucio & Schneider, Paul & Wagner, Christian, 2012.
"Properties of foreign exchange risk premiums,"
Journal of Financial Economics, Elsevier, vol. 105(2), pages 279-310.
- Sarno, Lucio & Schneider, Paul & Wagner, Christian, 2011. "Properties of Foreign Exchange Risk Premiums," CEPR Discussion Papers 8503, C.E.P.R. Discussion Papers.
- Lucio Sarno & Paul Schneider & Christian Wagner, 2012. "Properties of Foreign Exchange Risk Premiums," Working Paper series 10_12, Rimini Centre for Economic Analysis.
- Gonzalo Cortazar & Eduardo S. Schwartz & Lorenzo F. Naranjo, 2007. "Term-structure estimation in markets with infrequent trading," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 12(4), pages 353-369.
- Egorov, Alexei V. & Li, Haitao & Ng, David, 2011. "A tale of two yield curves: Modeling the joint term structure of dollar and euro interest rates," Journal of Econometrics, Elsevier, vol. 162(1), pages 55-70, May.
- Gregory Bauer & Antonio Diez de los Rios, 2012. "An International Dynamic Term Structure Model with Economic Restrictions and Unspanned Risks," Staff Working Papers 12-5, Bank of Canada.
- Lemke, Wolfgang, 2007.
"An affine macro-finance term structure model for the euro area,"
Discussion Paper Series 1: Economic Studies
2007,13, Deutsche Bundesbank.
- Lemke, Wolfgang, 2008. "An affine macro-finance term structure model for the euro area," The North American Journal of Economics and Finance, Elsevier, vol. 19(1), pages 41-69, March.
- Sarno, Lucio & Schneider, Paul & Wagner, Christian, 2010. "Properties of Foreign Exchange Risk Premia," MPRA Paper 21302, University Library of Munich, Germany.
- Nikolaou, Kleopatra & Modugno, Michele, 2009. "The forecasting power of internal yield curve linkages," Working Paper Series 1044, European Central Bank.
- Georg Mosburger & Paul Schneider, 2005. "Modelling International Bond Markets with Affine Term Structure Models," Finance 0509003, University Library of Munich, Germany.
- Bauer, Gregory H., 2017. "International house price cycles, monetary policy and credit," Journal of International Money and Finance, Elsevier, vol. 74(C), pages 88-114.
- Cortazar, Gonzalo & Schwartz, Eduardo S. & Naranjo, Lorezo, 2003. "Term Structure Estimation in Low-Frequency Transaction Markets: A Kalman Filter Approach with Incomplete Panel-Data," University of California at Los Angeles, Anderson Graduate School of Management qt56h775cz, Anderson Graduate School of Management, UCLA.
- Antonio Diez De Los Rios, 2009.
"Can Affine Term Structure Models Help Us Predict Exchange Rates?,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 41(4), pages 755-766, June.
- Antonio Diez de los Rios, 2006. "Can Affine Term Structure Models Help Us Predict Exchange Rates?," Staff Working Papers 06-27, Bank of Canada.
- Antonio Diez De Los Rios, 2009. "Can Affine Term Structure Models Help Us Predict Exchange Rates?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 41(4), pages 755-766, June.
- Hans Dewachter & Marco Lyrio & Konstantijn Maes, 2001.
"Estimation of a Joint Model for the Term Structure of Interest Rates and the Macroeconomy,"
International Economics Working Papers Series
ces0118, Katholieke Universiteit Leuven, Centrum voor Economische Studiën, International Economics.
Cited by:
- Marco Lyrio & Hans Dewachter & Konstantijn Maes, 2006.
"A joint model for the term structure of interest rates and the macroeconomy,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(4), pages 439-462.
- Hans Dewachter & Marco Lyrio & Konstantijn Maes, 2006. "A joint model for the term structure of interest rates and the macroeconomy," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(4), pages 439-462, May.
- Hans Dewachter & Marco Lyrio & Konstantijn Maes, 2001. "A Joint Model for the Term Structure of Interest Rates and the Macroeconomy," International Economics Working Papers Series wpie002, Katholieke Universiteit Leuven, Centrum voor Economische Studiën, International Economics.
- Hans Dewachter & Marco Lyrio & Konstantijn Maes, 2001.
"The Effect of Monetary Unification on German Bond Markets,"
International Economics Working Papers Series
wpie005, Katholieke Universiteit Leuven, Centrum voor Economische Studiën, International Economics.
- Hans Dewachter & Marco Lyrio & Konstantijn Maes, 2002. "The Effect of Monetary Unification on German Bond Markets," Working Papers of Department of Economics, Leuven ces0205, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven.
- Hans Dewachter & Marco Lyrio & Konstantijn Maes, 2004. "The Effect of Monetary Unification on German Bond Markets," European Financial Management, European Financial Management Association, vol. 10(3), pages 487-509, September.
- Hans Dewachter & Marco Lyrio & Konstantijn Maes, 2001. "The Effect of Monetary Unification on German Bond Markets," International Economics Working Papers Series ces0205, Katholieke Universiteit Leuven, Centrum voor Economische Studiën, International Economics.
- Hans Dewachter & Marco Lyrio, 2002.
"Macro Factors and the Term Structure of Interest Rates,"
International Economics Working Papers Series
wpie007, Katholieke Universiteit Leuven, Centrum voor Economische Studiën, International Economics.
- Hans Dewachter & Marco Lyrio, 2003. "Macro Factors and the Term Structure of Interest Rates," International Economics Working Papers Series ces0304, Katholieke Universiteit Leuven, Centrum voor Economische Studiën, International Economics.
- Hans Dewachter, 2004. "Macro factors and the term structure of interest rates," Money Macro and Finance (MMF) Research Group Conference 2003 25, Money Macro and Finance Research Group.
- Hans Dewachter & Marco Lyrio, 2003. "Macro Factors and the Term Structure of Interest Rates," Working Papers of Department of Economics, Leuven ces0304, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven.
- Dewachter, Hans & Lyrio, Marco, 2006. "Macro Factors and the Term Structure of Interest Rates," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 38(1), pages 119-140, February.
- Dewachter, H.D.R. & Lyrio, M., 2003. "Macro factors and the Term Structure of Interest Rates," ERIM Report Series Research in Management ERS-2003-037-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
- Marco Lyrio & Hans Dewachter, 2004. "Filtering Long-Run Inflation Expectations with a Structural Macro Model of the Yield Curve," Computing in Economics and Finance 2004 188, Society for Computational Economics.
- Michael R. Wickens & Chiona Balfoussia, 2004.
"Macroeconomic Sources of Risk in the Term Structure,"
CEIS Research Paper
61, Tor Vergata University, CEIS.
- Chiona Balfoussia & Michael Wickens & Michael R. Wickens, 2004. "Macroeconomic Sources of Risk in the Term Structure," CESifo Working Paper Series 1329, CESifo.
- Hiona Balfoussia & Mike Wickens, 2007. "Macroeconomic Sources of Risk in the Term Structure," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(1), pages 205-236, February.
- Hiona Balfoussia & Mike Wickens, 2007. "Macroeconomic Sources of Risk in the Term Structure," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(1), pages 205-236, February.
- Greg Duffee, 2005.
"Term structure estimation without using latent factors,"
Computing in Economics and Finance 2005
103, Society for Computational Economics.
- Duffee, Gregory R., 2006. "Term structure estimation without using latent factors," Journal of Financial Economics, Elsevier, vol. 79(3), pages 507-536, March.
- Marco Lyrio & Hans Dewachter & Konstantijn Maes, 2006.
"A joint model for the term structure of interest rates and the macroeconomy,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(4), pages 439-462.
- Hans Dewachter & Marco Lyrio & Konstantijn Maes, 2001.
"A Joint Model for the Term Structure of Interest Rates and the Macroeconomy,"
International Economics Working Papers Series
wpie002, Katholieke Universiteit Leuven, Centrum voor Economische Studiën, International Economics.
- Marco Lyrio & Hans Dewachter & Konstantijn Maes, 2006. "A joint model for the term structure of interest rates and the macroeconomy," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(4), pages 439-462.
- Hans Dewachter & Marco Lyrio & Konstantijn Maes, 2006. "A joint model for the term structure of interest rates and the macroeconomy," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(4), pages 439-462, May.
Cited by:
- Zhuoshi Liu & Peter Spencer, 2009. "An Admissible Term Structure Model Of Sovereign Yield Spreads With Macro Factors: The Case Of Brazilian Global Bonds," Manchester School, University of Manchester, vol. 77(s1), pages 108-125, September.
- J. Beirlant & G. Claeskens & C. Croux & H. Degryse & H. Dewachter & G. Dhaene & J. Dhaene & I. Gijbels & M. Goovaerts & M. Hubert & F. Roodhooft & W. Schouten & M. Willekens, 2005. "Managing Uncertainty: Financial, Actuarial and Statistical Modeling," Review of Business and Economic Literature, KU Leuven, Faculty of Economics and Business (FEB), Review of Business and Economic Literature, vol. 0(1), pages 23-48.
- Dewachter, Hans & Iania, Leonardo, 2012.
"An Extended Macro-Finance Model with Financial Factors,"
LIDAM Reprints LFIN
2012001, Université catholique de Louvain, Louvain Finance (LFIN).
- Dewachter, Hans & Iania, Leonardo, 2009. "An Extended Macro-Finance Model with Financial Factors," MPRA Paper 17634, University Library of Munich, Germany.
- Hans DEWACHTER & Leonardo IANIA, 2009. "An extended macro-finance model with financial factors," Working Papers of Department of Economics, Leuven ces09.19, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven.
- Dewachter, Hans & Iania, Leonardo, 2011. "An Extended Macro-Finance Model with Financial Factors," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 46(6), pages 1893-1916, December.
- Hans Dewachter & Leonardo Iania, 2010. "An Extended Macro-Finance Model with Financial Factors," CESifo Working Paper Series 2950, CESifo.
- Dewachter, Hans & Iania, Leonardo, 2009. "An Extended Macro-Finance Model with Financial Factors," MPRA Paper 18840, University Library of Munich, Germany.
- Marco Lyrio & Hans Dewachter & Konstantijn Maes, 2006.
"A joint model for the term structure of interest rates and the macroeconomy,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(4), pages 439-462.
- Hans Dewachter & Marco Lyrio & Konstantijn Maes, 2006. "A joint model for the term structure of interest rates and the macroeconomy," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(4), pages 439-462, May.
- Hans Dewachter & Marco Lyrio & Konstantijn Maes, 2001. "A Joint Model for the Term Structure of Interest Rates and the Macroeconomy," International Economics Working Papers Series wpie002, Katholieke Universiteit Leuven, Centrum voor Economische Studiën, International Economics.
- Hans Dewachter & Marco Lyrio, 2008. "Learning, Macroeconomic Dynamics and the Term Structure of Interest Rates," NBER Chapters, in: Asset Prices and Monetary Policy, pages 191-245, National Bureau of Economic Research, Inc.
- Hans Dewachter & Marco Lyrio & Konstantijn Maes, 2001.
"The Effect of Monetary Unification on German Bond Markets,"
International Economics Working Papers Series
wpie005, Katholieke Universiteit Leuven, Centrum voor Economische Studiën, International Economics.
- Hans Dewachter & Marco Lyrio & Konstantijn Maes, 2002. "The Effect of Monetary Unification on German Bond Markets," Working Papers of Department of Economics, Leuven ces0205, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven.
- Hans Dewachter & Marco Lyrio & Konstantijn Maes, 2004. "The Effect of Monetary Unification on German Bond Markets," European Financial Management, European Financial Management Association, vol. 10(3), pages 487-509, September.
- Hans Dewachter & Marco Lyrio & Konstantijn Maes, 2001. "The Effect of Monetary Unification on German Bond Markets," International Economics Working Papers Series ces0205, Katholieke Universiteit Leuven, Centrum voor Economische Studiën, International Economics.
- Hans Dewachter & Marco Lyrio, 2002.
"Macro Factors and the Term Structure of Interest Rates,"
International Economics Working Papers Series
wpie007, Katholieke Universiteit Leuven, Centrum voor Economische Studiën, International Economics.
- Hans Dewachter & Marco Lyrio, 2003. "Macro Factors and the Term Structure of Interest Rates," International Economics Working Papers Series ces0304, Katholieke Universiteit Leuven, Centrum voor Economische Studiën, International Economics.
- Hans Dewachter, 2004. "Macro factors and the term structure of interest rates," Money Macro and Finance (MMF) Research Group Conference 2003 25, Money Macro and Finance Research Group.
- Hans Dewachter & Marco Lyrio, 2003. "Macro Factors and the Term Structure of Interest Rates," Working Papers of Department of Economics, Leuven ces0304, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven.
- Dewachter, Hans & Lyrio, Marco, 2006. "Macro Factors and the Term Structure of Interest Rates," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 38(1), pages 119-140, February.
- Dewachter, H.D.R. & Lyrio, M., 2003. "Macro factors and the Term Structure of Interest Rates," ERIM Report Series Research in Management ERS-2003-037-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
- Marco Lyrio & Hans Dewachter, 2004. "Filtering Long-Run Inflation Expectations with a Structural Macro Model of the Yield Curve," Computing in Economics and Finance 2004 188, Society for Computational Economics.
- Benito, Francis & Leon, Angel & Nave, Juan, 2007. "Modeling the Euro overnight rate," Journal of Empirical Finance, Elsevier, vol. 14(5), pages 756-782, December.
- Alonso Gomez & John M Maheu & Alex Maynard, 2008. "Improving Forecasts of Inflation using the Term Structure of Interest Rates," Working Papers tecipa-319, University of Toronto, Department of Economics.
- Sharon Kozicki & Peter A. Tinsley, 2005.
"Term structure transmission of monetary policy,"
Research Working Paper
RWP 05-06, Federal Reserve Bank of Kansas City.
- Sharon Kozicki & P. A. Tinsley, 2007. "Term Structure Transmission of Monetary Policy," Staff Working Papers 07-30, Bank of Canada.
- Kozicki, Sharon & Tinsley, P.A., 2008. "Term structure transmission of monetary policy," The North American Journal of Economics and Finance, Elsevier, vol. 19(1), pages 71-92, March.
- Filipova, Kameliya & Audrino, Francesco & De Giorgi, Enrico, 2014. "Monetary policy regimes: Implications for the yield curve and bond pricing," Journal of Financial Economics, Elsevier, vol. 113(3), pages 427-454.
- Lelo de Larrea Alejandra, 2020. "Forecast Comparison of the Term Structure of Interest Rates of Mexico for Different Specifications of the Affine Model," Working Papers 2020-01, Banco de México.
- De Graeve, Ferre & Emiris, Marina & Wouters, Raf, 2009. "A structural decomposition of the US yield curve," Journal of Monetary Economics, Elsevier, vol. 56(4), pages 545-559, May.
- Liu, Zhuoshi & Spencer, Peter, 2013. "Modelling sovereign credit spreads with international macro-factors: The case of Brazil 1998–2009," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 241-256.
- Francesco Audrino & Kameliya Filipova, 2009. "Yield Curve Predictability, Regimes, and Macroeconomic Information: A Data-Driven Approach," University of St. Gallen Department of Economics working paper series 2009 2009-10, Department of Economics, University of St. Gallen.
- Glenn D. Rudebusch, 2010.
"Macro-finance models of interest rates and the economy,"
Working Paper Series
2010-01, Federal Reserve Bank of San Francisco.
- Glenn D. Rudebusch, 2010. "Macro‐Finance Models Of Interest Rates And The Economy," Manchester School, University of Manchester, vol. 78(s1), pages 25-52, September.
- Borio, Claudio & Zhu, Haibin, 2012.
"Capital regulation, risk-taking and monetary policy: A missing link in the transmission mechanism?,"
Journal of Financial Stability, Elsevier, vol. 8(4), pages 236-251.
- Claudio Borio & Haibin Zhu, 2008. "Capital regulation, risk-taking and monetary policy: a missing link in the transmission mechanism?," BIS Working Papers 268, Bank for International Settlements.
- Lemke, Wolfgang, 2007.
"An affine macro-finance term structure model for the euro area,"
Discussion Paper Series 1: Economic Studies
2007,13, Deutsche Bundesbank.
- Lemke, Wolfgang, 2008. "An affine macro-finance term structure model for the euro area," The North American Journal of Economics and Finance, Elsevier, vol. 19(1), pages 41-69, March.
- Li, Junye & Sarno, Lucio & Zinna, Gabriele, 2024. "Risks and risk premia in the US Treasury market," Journal of Economic Dynamics and Control, Elsevier, vol. 158(C).
- Michael R. Wickens & Chiona Balfoussia, 2004.
"Macroeconomic Sources of Risk in the Term Structure,"
CEIS Research Paper
61, Tor Vergata University, CEIS.
- Chiona Balfoussia & Michael Wickens & Michael R. Wickens, 2004. "Macroeconomic Sources of Risk in the Term Structure," CESifo Working Paper Series 1329, CESifo.
- Hiona Balfoussia & Mike Wickens, 2007. "Macroeconomic Sources of Risk in the Term Structure," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(1), pages 205-236, February.
- Hiona Balfoussia & Mike Wickens, 2007. "Macroeconomic Sources of Risk in the Term Structure," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(1), pages 205-236, February.
- Doshi, Hitesh & Jacobs, Kris & Liu, Rui, 2018. "Macroeconomic determinants of the term structure: Long-run and short-run dynamics," Journal of Empirical Finance, Elsevier, vol. 48(C), pages 99-122.
- Hans Dewachter & Marco Lyrio & Konstantijn Maes, 2006. "A multi-factor model for the valuation and risk managment of demand deposits," Working Paper Research 83, National Bank of Belgium.
- 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.
- Matteo Modena, 2008. "An Empirical Analysis of the Curvature Factor of the Term Structure of Interest Rates," Working Papers 2008_35, Business School - Economics, University of Glasgow.
- 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.
- Iania, Leonardo & Lyrio, Marco & Nersisyan, Liana, 2023. "Oil Price Shocks and Bond Risk Premia: Evidence from a Panel of 15 Countries," LIDAM Discussion Papers LFIN 2023002, Université catholique de Louvain, Louvain Finance (LFIN).
- Peter Spencer, 2013. "The US Economy, the Treasury Bond Market and the Specification of Macro-Finance Models," Discussion Papers 13/22, Department of Economics, University of York.
- Ricardo Gimeno & José Manuel Marqués, 2009. "Extraction of financial market expectations about inflation and interest rates from a liquid market," Working Papers 0906, Banco de España.
- Malik, Sheheryar & Meldrum, Andrew, 2016.
"Evaluating the robustness of UK term structure decompositions using linear regression methods,"
Journal of Banking & Finance, Elsevier, vol. 67(C), pages 85-102.
- Malik, Sheheryar & Meldrum, Andrew, 2014. "Evaluating the robustness of UK term structure decompositions using linear regression methods," Bank of England working papers 518, Bank of England.
- Jardet, C. & Monfort, A. & Pegoraro, F., 2009.
"No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth,"
Working papers
234, Banque de France.
- Caroline JARDET & Alain MONFORT & Fulvio PEGORARO, 2011. "No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth," Working Papers 2011-03, Center for Research in Economics and Statistics.
- Jardet, Caroline & Monfort, Alain & Pegoraro, Fulvio, 2013. "No-arbitrage Near-Cointegrated VAR(p) term structure models, term premia and GDP growth," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 389-402.
- Peter Spencer, 2007.
"Stochastic Volatility in a Macro-Finance Model of the US Term Structure of Interest Rates 1961-2004,"
Discussion Papers
07/32, Department of Economics, University of York.
- Peter D. Spencer, 2008. "Stochastic Volatility in a Macro‐Finance Model of the U.S. Term Structure of Interest Rates 1961–2004," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(6), pages 1177-1215, September.
- Peter D. Spencer, 2008. "Stochastic Volatility in a Macro-Finance Model of the U.S. Term Structure of Interest Rates 1961-2004," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(6), pages 1177-1215, September.
- Argyropoulos, Efthymios & Tzavalis, Elias, 2016. "Forecasting economic activity from yield curve factors," The North American Journal of Economics and Finance, Elsevier, vol. 36(C), pages 293-311.
- Marco LYRIO & Hans DEWACHTER, 1999.
"Multiple Equilibria and the Credibility of the Brazilian "Crawling Peg", 1995-1998,"
Working Papers of Department of Economics, Leuven
ces9919, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven.
- Marco Lyrio & Hans Dewachter, 2000. "Multiple Equilibria and the Credibility of the Brazilian ‘Crawling Peg’, 1995–1998," International Finance, Wiley Blackwell, vol. 3(1), pages 1-23, April.
- Hans Dewachter & Marco Lyrio, 1999. "Multiple Equilibria and the Credibility of the Brazilian 'Crawling-Peg', 1995-1998," International Economics Working Papers Series ces9919, Katholieke Universiteit Leuven, Centrum voor Economische Studiën, International Economics.
Cited by:
- Marcin Sasin, 2002. "Predicting Currency Crises, the Ultimate Significance of Macroeconomic Fundamentals in Linear Specifications with Nonlinear Extensions," CASE Network Studies and Analyses 0224, CASE-Center for Social and Economic Research.
- Hans Dewachter & Dirk Veestraeten, 1999.
"Measuring Convergence Speed of Asset Prices Toward a Pre-Announced Target,"
Working Papers of Department of Economics, Leuven
ces9902, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven.
- Hans Dewachter & Dirk Veestraeten, 2001. "Measuring convergence speed of asset prices toward a pre-announced target," Applied Financial Economics, Taylor & Francis Journals, vol. 11(6), pages 591-601.
Cited by:
- Green, Christopher J. & Bai, Ye, 2008. "The euro: Did the markets cheer or jeer?," Journal of Policy Modeling, Elsevier, vol. 30(3), pages 431-446.
- Aksoy, Yunus & De Grauwe, Paul & Dewachter, Hans, 1999.
"The European Central Bank: Decision Rules and Macroeconomic Performance,"
CEPR Discussion Papers
2067, C.E.P.R. Discussion Papers.
- Paul Degrauwe & Hans Dewachter & Yunus Aksoy, 1998. "The European Central Bank: Decision Rules and Macroeconomic Performance," Working Papers of Department of Economics, Leuven ces9834, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven.
Cited by:
- Vaubel, Roland, 1999. "The Future of the Euro : A Public Choice Perspective," Discussion Papers 570, Institut fuer Volkswirtschaftslehre und Statistik, Abteilung fuer Volkswirtschaftslehre.
- Giuseppe Cinquegrana, 2014. "Effetti differenziali delle politiche monetarie sugli investimenti delle imprese industriali italiane: un?analisi con metodologia panel," RIVISTA DI ECONOMIA E STATISTICA DEL TERRITORIO, FrancoAngeli Editore, vol. 2014(3), pages 40-78.
- Hamza Bennani, 2012. "National influences inside the ECB: an assessment from central bankers' statements," Working Papers hal-00992646, HAL.
- Paul De Grauwe & Hans Dewachter & Yunus Aksoy, 1999. "Effectiveness of Monetary Policy in Euroland," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 26(4), pages 299-318, December.
- Blanca SANCHEZ-ROBLES & Adolfo MAZA FERNANDEZ, 2010. "An Attempt to Modelize the ECB Monetary Policy," EcoMod2004 330600124, EcoMod.
- Dorothee Heisenberg, 2003. "Cutting the Bank Down to Size: Efficient and Legitimate Decision‐making in the European Central Bank After Enlargement," Journal of Common Market Studies, Wiley Blackwell, vol. 41(3), pages 397-420, June.
- Lucio Valerio Spagnolo & Mario Cerrato, 2005. "No euro please, We’re British!," CELPE Discussion Papers 95, CELPE - CEnter for Labor and Political Economics, University of Salerno, Italy.
- De Grauwe, Paul & Dewachter, Hans & Veestraeten, Dirk, 1998.
"Stochastic Process Switching and Stage III of EMU,"
CEPR Discussion Papers
1783, C.E.P.R. Discussion Papers.
Cited by:
- Bernd Wilfling, 2003.
"Interest Rate Volatility Prior to Monetary Union under Alternative Pre‐Switch Regimes,"
German Economic Review, Verein für Socialpolitik, vol. 4(4), pages 433-457, November.
- Wilfling Bernd, 2003. "Interest Rate Volatility Prior to Monetary Union under Alternative Pre-Switch Regimes," German Economic Review, De Gruyter, vol. 4(4), pages 433-457, December.
- Wilfling, Bernd, 2001. "Interest Rate Volatility Prior to Monetary Union Under Alternative Pre-Switch Regimes," Discussion Paper Series 26277, Hamburg Institute of International Economics.
- Wilfling, Bernd, 2001. "Interest rate volatility prior to monetary union under alternative pre-switch regimes," HWWA Discussion Papers 143, Hamburg Institute of International Economics (HWWA).
- Jean-Sébastien Pentecôte & Marc-Alexandre Sénégas, 2003.
"Comment fixer les cours de change?. Annonces et correspondances maastrichtiennes,"
Recherches économiques de Louvain, De Boeck Université, vol. 69(1), pages 39-71.
- Jean-Sébastien PENTECOTE & Marc-Alexandre SENEGAS, 2003. "Comment fixer les cours de change? Annonces et correspondances maastrichtiennes," Discussion Papers (REL - Recherches Economiques de Louvain) 2003012, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
- Wilfling, Bernd & Maennig, Wolfgang, 2001. "Exchange rate dynamics in anticipation of time-contingent regime switching: modelling the effects of a possible delay," Journal of International Money and Finance, Elsevier, vol. 20(1), pages 91-113, February.
- De Grauwe, Paul & Dewachter, Hans & Veestraeten, Dirk, 1999. "Price dynamics under stochastic process switching: some extensions and an application to EMU1," Journal of International Money and Finance, Elsevier, vol. 18(2), pages 195-224, February.
- Bernd Wilfling, 2003.
"Interest Rate Volatility Prior to Monetary Union under Alternative Pre‐Switch Regimes,"
German Economic Review, Verein für Socialpolitik, vol. 4(4), pages 433-457, November.
- Hans Dewachter & Ángel M. León, 1994.
"The Information Content of Options on the IBEX-35,"
Working Papers
wp1994_9414, CEMFI.
- Dewachter, H. & Leon, A.M., 1994. "The Information Content of Options on the IBEX-35," Papers 9414, Centro de Estudios Monetarios Y Financieros-.
Cited by:
- Pilar Corredor-Casado & Rafael Santamaría-Aquilué, 2000. "La estructura temporal de las volatilidades implícitas en la opción sobre el IBEX-35," Investigaciones Economicas, Fundación SEPI, vol. 24(2), pages 385-417, May.
- Pilar Corredor Casado & Rafael Santamaría, "undated". "La estructura temporal de las volatilidades implícitas en la opción sobre el Ibex-35," Studies on the Spanish Economy 04, FEDEA.
- De Grauwe, Paul & Dewachter, Hans, 1990.
"A Chaotic Monetary Model of the Exchange Rate,"
CEPR Discussion Papers
466, C.E.P.R. Discussion Papers.
- Paul Grauwe & Hans Dewachter, 1993. "A Chaotic Monetary Model of the Exchange Rate," International Economic Association Series, in: Helmut Frisch & Andreas Wörgötter (ed.), Open-Economy Macroeconomics, chapter 19, pages 353-376, Palgrave Macmillan.
Cited by:
- Jeffrey A. Frankel, 1996.
"How Well do Foreign Exchange Markets Function: Might a Tobin Tax Help?,"
NBER Working Papers
5422, National Bureau of Economic Research, Inc.
- Frankel, Jeffrey, 1995. "How Well Do Foreign Exchange Markets Function: Might a Tobin Tax Help?," Center for International and Development Economics Research (CIDER) Working Papers 233420, University of California-Berkeley, Department of Economics.
- Jeffrey Frankel., 1995. "How Well Do Foreign Exchange Markets Function: Might a Tobin Tax Help?," Center for International and Development Economics Research (CIDER) Working Papers C95-058, University of California at Berkeley.
- Cheung, Yin-Wong & Chinn, Menzie David & Marsh, Ian W, 1999.
"How Do UK-Based Foreign Exchange Dealers Think Their Market Operates?,"
CEPR Discussion Papers
2230, C.E.P.R. Discussion Papers.
- Yin-Wong Cheung & Menzie D. Chinn & Ian W. Marsh, 2004. "How do UK-based foreign exchange dealers think their market operates?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 9(4), pages 289-306.
- Yin-Wong Cheung & Menzie D. Chinn & Ian W. Marsh, 2000. "How Do UK-Based Foreign Exchange Dealers Think Their Market Operates?," NBER Working Papers 7524, National Bureau of Economic Research, Inc.
- David Peel & Alan Speight, 1994. "Testing for non-linear dependence in inter-war exchange rates," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 130(2), pages 391-417, June.
- Frankel, Jeffrey A. & Rose, Andrew K., 1995.
"A Survey of Empirical Research on Nominal Exchange Rates,"
Center for International and Development Economics Research (CIDER) Working Papers
233409, University of California-Berkeley, Department of Economics.
- Jeffrey A. Frankel and Andrew K. Rose., 1995. "A Survey of Empirical Research on Nominal Exchange Rates," Center for International and Development Economics Research (CIDER) Working Papers C95-051, University of California at Berkeley.
- Jeffrey A. Frankel & Andrew K. Rose, 1994. "A Survey of Empirical Research on Nominal Exchange Rates," NBER Working Papers 4865, National Bureau of Economic Research, Inc.
- Wan, Jer-Yuh & Kao, Chung-Wei, 2009. "Evidence on the contrarian trading in foreign exchange markets," Economic Modelling, Elsevier, vol. 26(6), pages 1420-1431, November.
- Antoine Bouveret & Henri Sterdyniak, 2005.
"Les modèles de taux de change,"
Post-Print
hal-01071965, HAL.
- Antoine Bouveret & Henri Sterdyniak, 2005. "Les modèles de taux de change," SciencePo Working papers Main hal-01071965, HAL.
- Daniela Federici & Giancarlo Gandolfo, 2011.
"The Euro/Dollar Exchange Rate: Chaotic or Non-Chaotic?,"
DEGIT Conference Papers
c016_035, DEGIT, Dynamics, Economic Growth, and International Trade.
- Daniela Federici & Giancarlo Gandolfo, 2011. "The Euro/Dollar Exchange Rate: Chaotic or Non-Chaotic?," CESifo Working Paper Series 3420, CESifo.
- Daniela Federici & Giancarlo Gandolfo, 2001.
"Chaos and the exchange rate,"
The Journal of International Trade & Economic Development, Taylor & Francis Journals, vol. 11(2), pages 111-142.
- Daniela Federici & Giancarlo Gandolfo, 2001. "Chaos and the exchange rate," CeNDEF Workshop Papers, January 2001 4A.1, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- Jean-Pierre Allegret, 2007.
"«Quels régimes de change pour les marchés émergents ? Les solutions de coins en questions»,"
Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 54(4), pages 397-427.
- Jean-Pierre Allegret, 2007. "Quels régimes de change pour les marchés émergents ? Les solutions de coins en question," Post-Print halshs-00258333, HAL.
- Federici, Daniela & Gandolfo, Giancarlo, 2012. "The Euro/Dollar exchange rate: Chaotic or non-chaotic? A continuous time model with heterogeneous beliefs," Journal of Economic Dynamics and Control, Elsevier, vol. 36(4), pages 670-681.
Articles
- De Backer, Bruno & Dewachter, Hans & Iania, Leonardo, 2021.
"Macrofinancial information on the post-COVID-19 economic recovery: Will it be V, U or L-shaped?,"
Finance Research Letters, Elsevier, vol. 43(C).
See citations under working paper version above.
- De Backer, Bruno & Dewachter, Hans & Iania, Leonardo, 2021. "Macrofinancial information on the post- COVID-19 economic recovery: will it be V, U or L-shaped?," LIDAM Discussion Papers LFIN 2021002, Université catholique de Louvain, Louvain Finance (LFIN).
- De Backer, Bruno & Dewachter, Hans & Iania, Leonardo, 2021. "Macrofinancial information on the post-COVID-19 economic recovery: Will it be V, U or L-shaped?," LIDAM Reprints LFIN 2021007, Université catholique de Louvain, Louvain Finance (LFIN).
- De Jonghe, Olivier & Dewachter, Hans & Ongena, Steven, 2020.
"Bank capital (requirements) and credit supply: Evidence from pillar 2 decisions,"
Journal of Corporate Finance, Elsevier, vol. 60(C).
See citations under working paper version above.
- Olivier De Jonghey & Hans Dewachter & Steven Ongenax, 2016. "Bank capital (requirements) and credit supply: Evidence from pillar 2 decisions," Working Paper Research 303, National Bank of Belgium.
- Olivier De Jonghe & Hans Dewachter & Klaas Mulier & Steven Ongena & Glenn Schepens, 2020.
"Some Borrowers Are More Equal than Others: Bank Funding Shocks and Credit Reallocation [A theory of systemic risk and design of prudential bank regulation],"
Review of Finance, European Finance Association, vol. 24(1), pages 1-43.
See citations under working paper version above.
- Olivier De Jonghe & Hans Dewachter & Klaas Mulier & Steven Ongena & Glenn Schepens, 2019. "Some Borrowers are More Equal than Others: Bank Funding Shocks and Credit Reallocation," Swiss Finance Institute Research Paper Series 19-45, Swiss Finance Institute.
- De Jonghe, Olivier & Dewachter, Hans & Mulier, Klaas & Ongena, Steven & Schepens, Glenn, 2019. "Some borrowers are more equal than others: bank funding shocks and credit reallocation," Working Paper Series 2230, European Central Bank.
- Olivier De Jonghe & Hans Dewachter & Klaas Mulier & Steven Ongena & Glenn Schepens, 2018. "Some borrowers are more equal than others: Bank funding shocks and credit reallocation," Working Paper Research 361, National Bank of Belgium.
- Hans Dewachter & Leonardo Iania & Wolfgang Lemke & Marco Lyrio, 2019.
"A macro–financial analysis of the corporate bond market,"
Empirical Economics, Springer, vol. 57(6), pages 1911-1933, December.
See citations under working paper version above.
- Hans Dewachter & Leonardo Iania & Wolfgang Lemke & Marco Lyrio, 2018. "A macro-financial analysis of the corporate bond market," Working Paper Research 360, National Bank of Belgium.
- Dewacther, Hans & Iania, Leonardo & Lemke, Wolfgang & Lyrio, Marco, 2019. "A Macro-Financial Analysis of the Corporate Bond Market," LIDAM Reprints LFIN 2019008, Université catholique de Louvain, Louvain Finance (LFIN).
- Dewachter, Hans & Iania, Leonardo & Lemke, Wolfgang & Lyrio, Marco, 2018. "A macro-financial analysis of the corporate bond market," Working Paper Series 2214, European Central Bank.
- Bruno De Backer & Hans Dewachter & Stijn Ferrari & Mara Pirovano & Christophe Van Nieuwenhuyze, 2016.
"Credit gaps in Belgium : identification, characteristics and lessons for macroprudential policy,"
Financial Stability Review, National Bank of Belgium, vol. 14(1), pages 153-170, June.
Cited by:
- Roberta Fiori & Claudia Pacella, 2019. "Should the CCYB be enhanced with a sectoral dimension? The case of Italy," Questioni di Economia e Finanza (Occasional Papers) 499, Bank of Italy, Economic Research and International Relations Area.
- Mariarosaria Comunale, 2017.
"Synchronicity of real and financial cycles and structural characteristics in EU countries,"
Bank of Lithuania Occasional Paper Series
15, Bank of Lithuania.
- Mariarosaria Comunale, 2017. "Synchronicity of real and financial cycles and structural characteristics in EU countries," CEIS Research Paper 414, Tor Vergata University, CEIS, revised 25 Sep 2017.
- Meller, Barbara & Metiu, Norbert, 2017. "The synchronization of credit cycles," Journal of Banking & Finance, Elsevier, vol. 82(C), pages 98-111.
- R. Basselier & G. Langenus & P. Reusens, 2017. "The potential growth of the Belgian economy," Economic Review, National Bank of Belgium, issue ii, pages 37-53, september.
- Mariarosaria Comunale, 2020. "New synchronicity indices between real and financial cycles: Is there any link to structural characteristics and recessions in European Union countries?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 25(4), pages 617-641, October.
- Bhatt, Vipul & Kishor, N. Kundan, 2021. "(A)Synchronous Housing Markets of Global Cities," MPRA Paper 107175, University Library of Munich, Germany.
- Rünstler, Gerhard & Balfoussia, Hiona & Burlon, Lorenzo & Buss, Ginters & Comunale, Mariarosaria & De Backer, Bruno & Dewachter, Hans & Guarda, Paolo & Haavio, Markus & Hindrayanto, Irma & Iskrev, Nik, 2018. "Real and financial cycles in EU countries - Stylised facts and modelling implications," Occasional Paper Series 205, European Central Bank.
- Dewachter, Hans & Iania, Leonardo & Lyrio, Marco & de Sola Perea, Maite, 2015.
"A macro-financial analysis of the euro area sovereign bond market,"
Journal of Banking & Finance, Elsevier, vol. 50(C), pages 308-325.
See citations under working paper version above.
- Hans Dewachter & Leonardo Iania & Marco Lyrio & Maite de Sola Perea, 2014. "A macro-financial analysis of the euro area sovereign bond market," Working Paper Research 259, National Bank of Belgium.
- Dewachter, Hans & Iania, Leonardo & Lyrio, Marco & Perea, Maite de Sola, 2015. "A macro-financial analysis of the euro area sovereign bond market," LIDAM Reprints LFIN 2015009, Université catholique de Louvain, Louvain Finance (LFIN).
- Dewachter, Hans & Erdemlioglu, Deniz & Gnabo, Jean-Yves & Lecourt, Christelle, 2014.
"The intra-day impact of communication on euro-dollar volatility and jumps,"
Journal of International Money and Finance, Elsevier, vol. 43(C), pages 131-154.
- Hans DEWACHTER & Deniz ERDEMLIOGLU & Jean-Yves GNABO & Christelle LECOURT, 2013. "The intra-day impact of communication on euro-dollar volatility and jumps," Working Papers of Department of Economics, Leuven ces13.04, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven.
Cited by:
- Niţoi, Mihai & Pochea, Maria-Miruna & Radu, Ştefan-Constantin, 2023. "Unveiling the sentiment behind central bank narratives: A novel deep learning index," Journal of Behavioral and Experimental Finance, Elsevier, vol. 38(C).
- Deniz Erdemlioglu & Nikola Gradojevic, 2020.
"Heterogeneous investment horizons, risk regimes, and realized jumps,"
Post-Print
hal-02995997, HAL.
- Deniz Erdemlioglu & Nikola Gradojevic, 2021. "Heterogeneous investment horizons, risk regimes, and realized jumps," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 617-643, January.
- Matthieu Picault & Thomas Renault, 2017.
"Words are not all created equal: A new measure of ECB communication,"
Post-Print
hal-03676646, HAL.
- Picault, Matthieu & Renault, Thomas, 2017. "Words are not all created equal: A new measure of ECB communication," Journal of International Money and Finance, Elsevier, vol. 79(C), pages 136-156.
- Matthieu Picault & Thomas Renault, 2017. "Words are not all created equal: A new measure of ECB communication," Post-Print hal-03535202, HAL.
- Matthieu Picault & Thomas Renault, 2017. "Words are not all created equal: A new measure of ECB communication," Post-Print hal-03205121, HAL.
- Ehrmann, Michael & Osbat, Chiara & Stráský, Jan & Uusküla, Lenno, 2014.
"The euro exchange rate during the European sovereign debt crisis – Dancing to its own tune?,"
Journal of International Money and Finance, Elsevier, vol. 49(PB), pages 319-339.
- Ehrmann, Michael & Osbat, Chiara & Stráský, Jan & Uusküla, Lenno, 2013. "The euro exchange rate during the European sovereign debt crisis - dancing to its own tune?," Working Paper Series 1532, European Central Bank.
- Dungey, Mardi & Erdemlioglu, Deniz & Matei, Marius & Yang, Xiye, 2018.
"Testing for mutually exciting jumps and financial flights in high frequency data,"
Journal of Econometrics, Elsevier, vol. 202(1), pages 18-44.
- Mardi Dungey & Deniz Erdemlioglu & Marius Matei & Xiye Yang, 2018. "Testing for mutually exciting jumps and financial flights in high frequency data," Post-Print hal-02995949, HAL.
- Ayadi, Mohamed A. & Ben Omrane, Walid & Das, Deepan Kumar, 2024. "Macroeconomic news, senior officials' speeches, and emerging currency markets: An intraday analysis of price jump reaction," Emerging Markets Review, Elsevier, vol. 60(C).
- Ayadi, Mohamed A. & Ben Omrane, Walid & Wang, Jiayu & Welch, Robert, 2022. "Senior official speech attributes and foreign exchange risk around business cycles," International Review of Financial Analysis, Elsevier, vol. 80(C).
- Kris Boudt & Christopher J. Neely & Piet Sercu & Marjan Wauters, 2017.
"The response of multinationals’ foreign exchange rate exposure to macroeconomic news,"
Working Papers
2017-20, Federal Reserve Bank of St. Louis.
- Boudt, Kris & Neely, Christopher J. & Sercu, Piet & Wauters, Marjan, 2019. "The response of multinationals’ foreign exchange rate exposure to macroeconomic news," Journal of International Money and Finance, Elsevier, vol. 94(C), pages 32-47.
- Deniz Erdemlioglu & Sébastien Laurent & Christopher J. Neely, 2015.
"Which continuous-time model is most appropriate for exchange rates?,"
Post-Print
hal-01457402, HAL.
- Erdemlioglu, Deniz & Laurent, Sébastien & Neely, Christopher J., 2015. "Which continuous-time model is most appropriate for exchange rates?," Journal of Banking & Finance, Elsevier, vol. 61(S2), pages 256-268.
- Deniz Erdemlioglu & Sebastien Laurent & Christopher J. Neely, 2013. "Which continuous-time model is most appropriate for exchange rates?," Working Papers 2013-024, Federal Reserve Bank of St. Louis.
- Serdengeçti, Süleyman & Sensoy, Ahmet & Nguyen, Duc Khuong, 2021.
"Dynamics of return and liquidity (co) jumps in emerging foreign exchange markets,"
Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 73(C).
- Suleyman Serdengeçti & Ahmet Sensoy & Duc Khuong Nguyen, 2020. "Dynamics of Return and Liquidity (Co)Jumps in Emerging Foreign Exchange Markets," Working Papers 2020-006, Department of Research, Ipag Business School.
- Serdengecti, Suleyman & Sensoy, Ahmet & Nguyen, Duc Khuong, 2020. "Dynamics of Return and Liquidity (Co)Jumps in Emerging Foreign Exchange Markets," MPRA Paper 105162, University Library of Munich, Germany, revised Jan 2021.
- Li, Xiaoping & Wang, Nan & Duan, Jihong & Shi, Wenming, 2024. "Exchange rate stability and expectation management under heterogeneous expectations," International Review of Financial Analysis, Elsevier, vol. 95(PB).
- Dooruj Rambaccussing & Craig Menzies & Andrzej Kwiatkowski, 2022. "Look who’s Talking: Individual Committee members’ impact on inflation expectations," Dundee Discussion Papers in Economics 305, Economic Studies, University of Dundee.
- Juan Galvis & Claudio de Moraes & Juan Anzoátegui, 2017. "Effects of monetary policy announcements on exchange rate volatility: an analysis for Colombia, 2008-2015," Lecturas de Economía, Universidad de Antioquia, Departamento de Economía, issue 87, pages 67-95, Julio - D.
- Robert Dixon & Zhichao Zhang & Yang Dai, 2016. "Exchange Rate Flexibility in China: Measurement, Regime Shifts and Driving Forces of Change," Review of International Economics, Wiley Blackwell, vol. 24(5), pages 875-892, November.
- Hasan Fehmi Baklaci & Tezer Yelkenci, 2022. "Cross-time-frequency analysis of volatility linkages in global currency markets: an extended framework," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 12(2), pages 267-314, June.
- Mirkov, Nikola & Pozdeev, Igor & Söderlind, Paul, 2019. "Verbal interventions and exchange rate policies: The case of Swiss franc cap," Journal of International Money and Finance, Elsevier, vol. 93(C), pages 42-54.
- Becksndale Masawi & Sukanto Bhattacharya & Terry Boulter, 2018. "Does the Information Content of Central Bank Speeches Impact on the Level of Exchange Rate? A Comparative Study of Canadian and Australian Central Bank Communications," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 21(01), pages 1-27, March.
- Olga S. Kuznetsova & Sofiya R. Ulyanova, 2016. "The Impact Of A Central Bank’S Verbal Interventions On Stock Exchange Indices In A Resource Based Economy: The Evidence From Russia," HSE Working papers WP BRP 155/EC/2016, National Research University Higher School of Economics.
- Sensoy, Ahmet & Serdengeçti, Süleyman, 2020. "Impact of portfolio flows and heterogeneous expectations on FX jumps: Evidence from an emerging market," International Review of Financial Analysis, Elsevier, vol. 68(C).
- Julian A. Parra-Polania & Andrés Sánchez-Jabba & Miguel Sarmiento, 2022. "Oral FX Interventions in Emerging Markets: the Colombian case," Borradores de Economia 1194, Banco de la Republica de Colombia.
- Dungey, Mardi & Matei, Marius & Treepongkaruna, Sirimon, 2020. "Examining stress in Asian currencies: A perspective offered by high frequency financial market data," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 67(C).
- Bibinger, Markus & Winkelmann, Lars, 2014. "Common price and volatility jumps in noisy high-frequency data," SFB 649 Discussion Papers 2014-037, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Yao, Wenying & Tian, Jing, 2015. "The role of intra-day volatility pattern in jump detection: empirical evidence on how financial markets respond to macroeconomic news announcements," Working Papers 2015-05, University of Tasmania, Tasmanian School of Business and Economics.
- Ehrmann, Michael & Talmi, Jonathan, 2017.
"Starting from a blank page? Semantic similarity in central bank communication and market volatility,"
Working Paper Series
2023, European Central Bank.
- Michael Ehrmann & Jonathan Talmi, 2016. "Starting from a Blank Page? Semantic Similarity in Central Bank Communication and Market Volatility," Staff Working Papers 16-37, Bank of Canada.
- Ehrmann, Michael & Talmi, Jonathan, 2020. "Starting from a blank page? Semantic similarity in central bank communication and market volatility," Journal of Monetary Economics, Elsevier, vol. 111(C), pages 48-62.
- Parra-Polanía, Julián & Sánchez-Jabba, Andrés & Sarmiento, Miguel, 2024. "Are FX communications effective? Evidence from emerging markets," Emerging Markets Review, Elsevier, vol. 59(C).
- Telegin, O., 2022. "Bank of Russia regular communications and volatility short-term effects in financial markets," Journal of the New Economic Association, New Economic Association, vol. 54(2), pages 130-155.
- Lars Winkelmann & Markus Bibinger & Tobias Linzert, 2016. "ECB Monetary Policy Surprises: Identification Through Cojumps in Interest Rates," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(4), pages 613-629, June.
- Guo, Junjie & Guo, Yumei & Miao, Shan & Pang, Xin, 2021. "An investigation of semantic similarity in PBOC’s communication on RMB volatility," International Review of Economics & Finance, Elsevier, vol. 75(C), pages 441-455.
- Lucian Liviu Albu & Radu Lupu & Adrian Cantemir Călin, 2016. "Impact Of FOMC Official Speeches on the Intraday Dynamics of CDS Markets," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 5-12, June.
- Galvis Ciro, Juan Camilo & Oliveira de Moraes, Claudio & Anzoátegui Zapata, Juan Camilo, 2017. "Efectos de los anuncios de política monetaria sobre la volatilidad de la tasa de cambio: un análisis para Colombia, 2008-2015," Revista Lecturas de Economía, Universidad de Antioquia, CIE, issue 87, pages 67-95, March.
- Hans Dewachter & Leonardo Iania & Marco Lyrio, 2014.
"Information In The Yield Curve: A Macro‐Finance Approach,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 29(1), pages 42-64, January.
See citations under working paper version above.
- Dewachter, Hans & Iania, Leonardo & Lyrio, Marco, 2014. "Information in the yield curve: A macro-finance approach," LIDAM Reprints LFIN 2014007, Université catholique de Louvain, Louvain Finance (LFIN).
- Dewachter, Hans & Iania, Leonardo & Lyrio, Marco, 2011. "Information in the Yield Curve: A Macro-Finance Approach," Insper Working Papers wpe_230, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
- Hans Dewachter & Leonardo Iania & Marco Lyrio, 2014. "Information in the yield curve: A Macro-Finance approach," Working Paper Research 254, National Bank of Belgium.
- Dewachter, Hans & Wouters, Raf, 2014.
"Endogenous risk in a DSGE model with capital-constrained financial intermediaries,"
Journal of Economic Dynamics and Control, Elsevier, vol. 43(C), pages 241-268.
See citations under working paper version above.
- Hans Dewachter & Raf Wouters, 2012. "Endogenous risk in a DSGE model with capital-constrained financial intermediaries," Working Paper Research 235, National Bank of Belgium.
- Hans Dewachter & Priscilla Toffano, 2012.
"Fiscal activism and the cost of debt financing,"
International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 17(1), pages 14-22, January.
See citations under working paper version above.
- Hans DEWACHTER & Priscilla TOFFANO, 2010. "Fiscal activism and the cost of debt financing," Working Papers of Department of Economics, Leuven ces10.13, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven.
- Hans Dewachter & Romain Houssa & Priscilla Toffano, 2012.
"Spatial propagation of macroeconomic shocks in Europe,"
Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 148(2), pages 377-402, June.
See citations under working paper version above.
- Hans DEWACHTER & Romain HOUSSA & Priscilla TOFFANO, 2010. "Spatial propagation of macroeconomic shocks in Europe," Working Papers of Department of Economics, Leuven ces10.12, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven.
- Romain Houssa, 2010. "Spatial Propagation of Macroeconomic Shocks in Europe," Working Papers 1009, University of Namur, Department of Economics.
- Dewachter, Hans & Iania, Leonardo, 2011.
"An Extended Macro-Finance Model with Financial Factors,"
Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 46(6), pages 1893-1916, December.
See citations under working paper version above.
- Dewachter, Hans & Iania, Leonardo, 2009. "An Extended Macro-Finance Model with Financial Factors," MPRA Paper 17634, University Library of Munich, Germany.
- Hans DEWACHTER & Leonardo IANIA, 2009. "An extended macro-finance model with financial factors," Working Papers of Department of Economics, Leuven ces09.19, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven.
- Dewachter, Hans & Iania, Leonardo, 2012. "An Extended Macro-Finance Model with Financial Factors," LIDAM Reprints LFIN 2012001, Université catholique de Louvain, Louvain Finance (LFIN).
- Hans Dewachter & Leonardo Iania, 2010. "An Extended Macro-Finance Model with Financial Factors," CESifo Working Paper Series 2950, CESifo.
- Dewachter, Hans & Iania, Leonardo, 2009. "An Extended Macro-Finance Model with Financial Factors," MPRA Paper 18840, University Library of Munich, Germany.
- H. Dewachter & R. Houssa & M. Lyrio & P. R. Kaltwasser, 2011.
"Dynamic Forecasting Rules and the Complexity of Exchange Rate Dynamics,"
Review of Business and Economic Literature, Intersentia, vol. 0(4), pages 454-472, December.
Cited by:
- Li, Xiao-Ping & Zhou, Chun-Yang & Tong, Bin, 2019. "Carry trades, agent heterogeneity and the exchange rate," International Review of Economics & Finance, Elsevier, vol. 64(C), pages 343-358.
- Qian Zhang & Kuo-Jui Wu & Ming-Lang Tseng, 2019. "Exploring Carry Trade and Exchange Rate toward Sustainable Financial Resources: An application of the Artificial Intelligence UKF Method," Sustainability, MDPI, vol. 11(12), pages 1-26, June.
- H. Dewachter & R. Houssa & M. Lyrio & P.R. Kaltwasser, 2011.
"Dynamic Forecasting Rules and the Complexity of Exchange Rate Dynamics,"
Review of Business and Economic Literature, Intersentia, vol. 56(4), pages 454-472, December.
See citations under working paper version above.
- Dewachter, Hans & Houssa, Romain & Lyrio, Marco & Kaltwasser, Pablo Rovira, 2011. "Dynamic Forecasting Rules and the Complexity of Exchange Rate Dynamics," Insper Working Papers wpe_260, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
- Hans Dewachter & Kristien Smedts, 2007.
"Limits to international arbitrage: an empirical evaluation,"
International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 12(3), pages 273-285.
See citations under working paper version above.
- Hans Dewachter & Kristien Smedts, 2004. "Limits to International Arbitrage: an Empirical Evaluation," Working Papers of Department of Economics, Leuven ces0401, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven.
- Dewachter, Hans & Lyrio, Marco, 2006.
"Macro Factors and the Term Structure of Interest Rates,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 38(1), pages 119-140, February.
See citations under working paper version above.
- Hans Dewachter & Marco Lyrio, 2003. "Macro Factors and the Term Structure of Interest Rates," International Economics Working Papers Series ces0304, Katholieke Universiteit Leuven, Centrum voor Economische Studiën, International Economics.
- Hans Dewachter & Marco Lyrio, 2002. "Macro Factors and the Term Structure of Interest Rates," International Economics Working Papers Series wpie007, Katholieke Universiteit Leuven, Centrum voor Economische Studiën, International Economics.
- Hans Dewachter, 2004. "Macro factors and the term structure of interest rates," Money Macro and Finance (MMF) Research Group Conference 2003 25, Money Macro and Finance Research Group.
- Hans Dewachter & Marco Lyrio, 2003. "Macro Factors and the Term Structure of Interest Rates," Working Papers of Department of Economics, Leuven ces0304, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven.
- Dewachter, H.D.R. & Lyrio, M., 2003. "Macro factors and the Term Structure of Interest Rates," ERIM Report Series Research in Management ERS-2003-037-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
- Dewachter, Hans & Lyrio, Marco, 2006.
"The cost of technical trading rules in the Forex market: A utility-based evaluation,"
Journal of International Money and Finance, Elsevier, vol. 25(7), pages 1072-1089, November.
See citations under working paper version above.
- Dewachter, H.D.R. & Lyrio, M., 2003. "The Cost of Technical Trading Rules in the Forex Market: A Utility-based Evaluation," ERIM Report Series Research in Management ERS-2003-052-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
- Marco Lyrio & Hans Dewachter & Konstantijn Maes, 2006.
"A joint model for the term structure of interest rates and the macroeconomy,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(4), pages 439-462.
- Hans Dewachter & Marco Lyrio & Konstantijn Maes, 2006. "A joint model for the term structure of interest rates and the macroeconomy," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(4), pages 439-462, May.
See citations under working paper version above.- Hans Dewachter & Marco Lyrio & Konstantijn Maes, 2001. "A Joint Model for the Term Structure of Interest Rates and the Macroeconomy," International Economics Working Papers Series wpie002, Katholieke Universiteit Leuven, Centrum voor Economische Studiën, International Economics.
- Hans Dewachter & Marco Lyrio, 2005.
"The economic value of technical trading rules: a nonparametric utility-based approach,"
International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 10(1), pages 41-62.
See citations under working paper version above.
- Hans Dewachter & Marco Lyrio, 2002. "The Economic Value of Technical Trading Rules: A Non-parametric Utility-based Approach," International Economics Working Papers Series ces0203, Katholieke Universiteit Leuven, Centrum voor Economische Studiën, International Economics.
- Hans Dewachter & Marco Lyrio & Konstantijn Maes, 2004.
"The Effect of Monetary Unification on German Bond Markets,"
European Financial Management, European Financial Management Association, vol. 10(3), pages 487-509, September.
See citations under working paper version above.
- Hans Dewachter & Marco Lyrio & Konstantijn Maes, 2002. "The Effect of Monetary Unification on German Bond Markets," Working Papers of Department of Economics, Leuven ces0205, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven.
- Hans Dewachter & Marco Lyrio & Konstantijn Maes, 2001. "The Effect of Monetary Unification on German Bond Markets," International Economics Working Papers Series ces0205, Katholieke Universiteit Leuven, Centrum voor Economische Studiën, International Economics.
- Hans Dewachter & Marco Lyrio & Konstantijn Maes, 2001. "The Effect of Monetary Unification on German Bond Markets," International Economics Working Papers Series wpie005, Katholieke Universiteit Leuven, Centrum voor Economische Studiën, International Economics.
- Aksoy, Yunus & De Grauwe, Paul & Dewachter, Hans, 2002.
"Do asymmetries matter for European monetary policy?,"
European Economic Review, Elsevier, vol. 46(3), pages 443-469, March.
- Yunus Aksoy & Paul De Grauwe & Hans Dewachter, 2014. "Do Asymmetries Matter for European Monetary Policy?," World Scientific Book Chapters, in: Exchange Rates and Global Financial Policies, chapter 13, pages 321-353, World Scientific Publishing Co. Pte. Ltd..
Cited by:
- Alexandra Lopes, 2006.
"The Costs of EMU for Transition Countries,"
Computing in Economics and Finance 2006
149, Society for Computational Economics.
- Alexandra Ferreira Lopes, 2007. "The Costs of EMU for Transition Countries," Money Macro and Finance (MMF) Research Group Conference 2006 2, Money Macro and Finance Research Group.
- Grimm, Oliver & Ried, Stefan, 2007.
"Macroeconomic policy in a heterogeneous Monetary Union,"
SFB 649 Discussion Papers
2007-028, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Oliver Grimm & Stefan Ried, 2007. "Macroeconomic Policy in a Heterogeneous Monetary Union," CER-ETH Economics working paper series 07/67, CER-ETH - Center of Economic Research (CER-ETH) at ETH Zurich.
- Daniel Gros & Carsten Hefeker, 2000.
"One Size Must Fit All. National Divergences in a Monetary Union,"
CESifo Working Paper Series
326, CESifo.
- Daniel Gros & Carsten Hefeker, 2002. "One Size Must Fit All: National Divergences in a Monetary Union," German Economic Review, Verein für Socialpolitik, vol. 3(3), pages 247-262, August.
- Gros Daniel & Hefeker Carsten, 2002. "One Size Must Fit All: National Divergences in a Monetary Union," German Economic Review, De Gruyter, vol. 3(3), pages 247-262, August.
- Eric Jondeau & Jean-Guillaume Sahuc, 2008.
"Optimal Monetary Policy in an Estimated DSGE Model of the Euro Area with Cross-Country Heterogeneity,"
International Journal of Central Banking, International Journal of Central Banking, vol. 4(2), pages 23-72, June.
- Eric Jondeau & Jean-Guillaume Sahuc, 2004. "Optimal Monetary Policy in an Estimated DSGE Model of the Euro Area with Cross-country Heterogeneity," Documents de recherche 04-13, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne.
- Eric Jondeau & Jean-Guillaume Sahuc, 2008. "Optimal Monetary Policy in an Estimated DSGE Model of the Euro Area with Cross-country Heterogeneity," Post-Print hal-01612712, HAL.
- Jondeau, E. & Sahuc, J-G., 2006. "Optimal Monetary Policy in an Estimated DSGE Model of the Euro Area with Cross-country Heterogeneity," Working papers 141, Banque de France.
- Eric Jondeau & Jean-Guillaume SAHUC, 2007. "Optimal Monetary Policy in an Estimated DSGE Model of the Euro Area with Cross-Country Heterogeneity," Swiss Finance Institute Research Paper Series 07-36, Swiss Finance Institute.
- Helge Berger, 2006.
"Optimal central bank design: Benchmarks for the ECB,"
The Review of International Organizations, Springer, vol. 1(3), pages 207-235, September.
- Berger, Helge, 2005. "Optimal central bank design: benchmarks for the ECB," Discussion Papers 2005/27, Free University Berlin, School of Business & Economics.
- Helge Berger, 2006. "Optimal Central Bank Design: Benchmarks for the ECB," CESifo Working Paper Series 1697, CESifo.
- Olivier Coibion & Daniel Goldstein, 2012.
"One for Some or One for All? Taylor Rules and Interregional Heterogeneity,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 44(2‐3), pages 401-431, March.
- Olivier Coibion & Daniel Goldstein, 2012. "One for Some or One for All? Taylor Rules and Interregional Heterogeneity," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 44, pages 401-431, March.
- Olivier Coibion & Daniel Goldstein, 2007. "One for Some or One for All? Taylor Rules and Interregional Heterogeneity," Working Papers 58, Department of Economics, College of William and Mary, revised 19 Sep 2011.
- Maria Christidou & Panagiotis Konstantinou, 2011. "Housing Market and the Transmission of Monetary Policy: Evidence from U.S. States," Discussion Paper Series 2011_14, Department of Economics, University of Macedonia, revised Sep 2011.
- Petra Gerlach-Kristen, 2008. "The Role of the Chairman in Setting Monetary Policy: Individualistic vs. Autocratically Collegial MPCs," International Journal of Central Banking, International Journal of Central Banking, vol. 4(3), pages 119-143, September.
- Brissimis, Sophocles N. & Skotida, Ifigeneia, 2008.
"Optimal monetary policy in the euro area in the presence of heterogeneity,"
Journal of International Money and Finance, Elsevier, vol. 27(2), pages 209-226, March.
- Sophocles N. Brissimis & Ifigeneia Skotida, 2007. "Optimal Monetary Policy in the Euro Area in the Presence of Heterogeneity," Working Papers 62, Bank of Greece.
- Romaniuk, Katarzyna, 2006. "What if the Fed increased the weight of the stock price gap in its reaction function?," Journal of Policy Modeling, Elsevier, vol. 28(7), pages 725-737, October.
- Giulio Palomba & Emma Sarno & Alberto Zazzaro, 2009. "Testing similarities of short-run inflation dynamics among EU-25 countries after the Euro," Empirical Economics, Springer, vol. 37(2), pages 231-270, October.
- Paul De Grauwe, 2003.
"The Euro at Stake? The Monetary Union in an Enlarged Europe,"
CESifo Economic Studies, CESifo Group, vol. 49(1), pages 103-121.
- Paul De Grauwe & Jean-Claude Trichet & Ernst Welteke & Leszek Balcerowicz, 2002. "The Euro at stake? The monetary Union in an enlarged Europe," CESifo Forum, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 3(02), pages 58-71, October.
- Costantini, Mauro & Fragetta, Matteo & Melina, Giovanni, 2014.
"Determinants of sovereign bond yield spreads in the EMU: An optimal currency area perspective,"
European Economic Review, Elsevier, vol. 70(C), pages 337-349.
- Costantini, M. & Fragetta, M. & Melina, G., 2013. "Determinants of Sovereign Bond Yield Spreads in the EMU. An Optimal Currency Area Perspective," Working Papers 13/15, Department of Economics, City University London.
- Bernd Hayo & Pierre-Guillaume Méon, 2011.
"Behind closed doors: Revealing the ECB’s Decision Rule,"
MAGKS Papers on Economics
201135, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
- Hayo, Bernd & Méon, Pierre-Guillaume, 2013. "Behind closed doors: Revealing the ECB's decision rule," Journal of International Money and Finance, Elsevier, vol. 37(C), pages 135-160.
- Bernd Hayo & Pierre-Guillaume Méon, 2013. "Behind closed doors: Revealing the ECB’s Decision Rule," Working Papers CEB 13-025, ULB -- Universite Libre de Bruxelles.
- Bernd Hayo & Pierre-Guillaume Méon, 2013. "Behind closed doors: Revealing the ECB’s decision rule," ULB Institutional Repository 2013/163529, ULB -- Universite Libre de Bruxelles.
- Bernd Hayo & Pierre-Guillaume Méon, 2013. "Behind closed doors: Revealing the ECB’s decision rule," Post-Print CEB, ULB -- Universite Libre de Bruxelles, vol. 37, pages 135-160, October.
- Castelnuovo Efrem, 2006. "The Fed's Preference for Policy Rate Smoothing: Overestimation Due to Misspecification?," The B.E. Journal of Macroeconomics, De Gruyter, vol. 6(2), pages 1-22, August.
- Jan Marc Berk & Job Swank, 2002. "Regional Price Adjustment in a Monetary Union," Tinbergen Institute Discussion Papers 02-077/2, Tinbergen Institute.
- Ernst Juerg Weber, 2006.
"Monetary policy in a heterogeneous monetary union: the Australian experience,"
Applied Economics, Taylor & Francis Journals, vol. 38(21), pages 2487-2495.
- Ernst Juerg Weber, 2004. "Monetary Policy in a Heterogeneous Monetary Union: The Australian Experience," Economics Discussion / Working Papers 04-08, The University of Western Australia, Department of Economics.
- Egil Matsen & Øistein Røisland, 2003.
"Interest Rate Decisions in an Asymmetric Monetary Union,"
Working Paper Series
2803, Department of Economics, Norwegian University of Science and Technology.
- Matsen, Egil & Roisland, Oistein, 2005. "Interest rate decisions in an asymmetric monetary union," European Journal of Political Economy, Elsevier, vol. 21(2), pages 365-384, June.
- Luís, Pacheco, 2004. "Asset Prices and Monetary Policy in the Euro Area: a tentative model," MPRA Paper 6579, University Library of Munich, Germany.
- Fatum, Rasmus, 2006. "One monetary policy and 18 central bankers: The European monetary policy as a game of strategic delegation," Journal of Monetary Economics, Elsevier, vol. 53(4), pages 659-669, May.
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- Paul De Grauwe & Hans Dewachter & Dirk Veestraeten, 1999.
"Explaining Recent European Exchange‐Rate Stability,"
International Finance, Wiley Blackwell, vol. 2(1), pages 1-31, April.
Cited by:
- Reyes Maroto Illera & Francisco Pérez Bermejo & Simón Sosvilla-Rivero, "undated".
"An Eclectic Approach to Currency Crises: Drawing Lessons from the EMS Experience,"
Working Papers
2002-22, FEDEA.
- Francisco Perez-Bermejo & Simon Sosvilla-Rivero & Reyes Maroto-Illera, 2007. "An eclectic approach to currency crises: drawing lessons from the EMS experience," Applied Financial Economics, Taylor & Francis Journals, vol. 18(6), pages 503-519.
- Anna Naszódi, 2008.
"Are the exchange rates of EMU candidate countries anchored by their expected euro locking rates?,"
MNB Working Papers
2008/1, Magyar Nemzeti Bank (Central Bank of Hungary).
- Anna Naszódi, 2007. "Are the Exchange Rates of EMU Candidate Countries Anchored by their Expected Euro Locking Rates?," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue 1, pages 115-134.
- Paul de Grauwe & Gunther Schnabl, 2004. "Nominal versus Real Convergence with Respect to EMU Accession.How to Cope with the Balassa-Samuelson Dilemma," EUI-RSCAS Working Papers 20, European University Institute (EUI), Robert Schuman Centre of Advanced Studies (RSCAS).
- Simón Sosvilla-Rivero & Reyes Maroto Illera, 2002.
"Regimen changes and duration in the European Monetary System,"
Working Papers
02-05, Asociación Española de Economía y Finanzas Internacionales.
- S. Sosvilla-Rivero & R. Maroto-Illera, 2003. "Regimen changes and duration in the European Monetary System," Applied Economics, Taylor & Francis Journals, vol. 35(18), pages 1923-1933.
- Simon Sosvilla-Rivero & Reyes Maroto Illera, "undated". "Regimen Changes and Duration in the European Monetary System," Working Papers on International Economics and Finance 02-05, FEDEA.
- Francisco Ledesma Rodríguez & Manuel Navarro Ibáñez & Jorge Pérez Rodríguez & Simón Sosvilla Rivero, 2008.
"The Credibility of the European monetary System:A Review,"
Cuadernos de Economía - Spanish Journal of Economics and Finance, Asociación Cuadernos de Economía, vol. 31(86), pages 005-034, Mayo-Agos.
- Francisco Ledesma-Rodríguez & Manuel Navarro-Ibánez & Jorge Pérez-Rodríguez & Simón Sosvilla-Rivero, "undated". "The Credibility of the European Monetary System: A Review," Studies on the Spanish Economy 179, FEDEA.
- Francisco Ledesma-Rodriguez & Manuel Navarro-Ibanez & Jorge Perez-Rodriguez & Simon Sosvilla-Rivero, 2005.
"Assessing the credibility of a target zone: evidence from the EMS,"
Applied Economics, Taylor & Francis Journals, vol. 37(19), pages 2265-2287.
- Francisco Ledesma-Rodríguez & Manuel Navarro-Ibáñez & Jorge Pérez-Rodríguez & Simón Sosvilla-Rivero, "undated". "Assessing the credibility of a target zone: Evidence from the EMS," Working Papers 2001-04, FEDEA.
- Anna Naszódi, 2011.
"Testing the asset pricing model of exchange rates with survey data,"
MNB Working Papers
2011/2, Magyar Nemzeti Bank (Central Bank of Hungary).
- Naszodi, Anna, 2010. "Testing the asset pricing model of exchange rates with survey data," Working Paper Series 1200, European Central Bank.
- Gunther Schnabl & Paul De Grauwe, 2004. "Nominal versus Real Convergence with Respect to EMU Accession - EMU Entry Scenarios for the New Member States," International Finance 0403008, University Library of Munich, Germany, revised 16 Feb 2005.
- Simón Sosvilla-Rivero & Francisco Pérez-Bermejo, "undated". "Credibility and Duration in Target Zones: Evidence from the EMS," Working Papers 2003-19, FEDEA.
- Reyes Maroto Illera & Francisco Pérez Bermejo & Simón Sosvilla-Rivero, "undated".
"An Eclectic Approach to Currency Crises: Drawing Lessons from the EMS Experience,"
Working Papers
2002-22, FEDEA.
- De Grauwe, Paul & Dewachter, Hans & Veestraeten, Dirk, 1999.
"Price dynamics under stochastic process switching: some extensions and an application to EMU1,"
Journal of International Money and Finance, Elsevier, vol. 18(2), pages 195-224, February.
Cited by:
- Hans Dewachter & Dirk Veestraeten, 1999.
"Measuring Convergence Speed of Asset Prices Toward a Pre-Announced Target,"
Working Papers of Department of Economics, Leuven
ces9902, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven.
- Hans Dewachter & Dirk Veestraeten, 2001. "Measuring convergence speed of asset prices toward a pre-announced target," Applied Financial Economics, Taylor & Francis Journals, vol. 11(6), pages 591-601.
- Gelman, Sergey & Wilfling, Bernd, 2009. "Markov-switching in target stocks during takeover bids," Journal of Empirical Finance, Elsevier, vol. 16(5), pages 745-758, December.
- Bernd Wilfling, 2003.
"Interest Rate Volatility Prior to Monetary Union under Alternative Pre‐Switch Regimes,"
German Economic Review, Verein für Socialpolitik, vol. 4(4), pages 433-457, November.
- Wilfling Bernd, 2003. "Interest Rate Volatility Prior to Monetary Union under Alternative Pre-Switch Regimes," German Economic Review, De Gruyter, vol. 4(4), pages 433-457, December.
- Wilfling, Bernd, 2001. "Interest Rate Volatility Prior to Monetary Union Under Alternative Pre-Switch Regimes," Discussion Paper Series 26277, Hamburg Institute of International Economics.
- Wilfling, Bernd, 2001. "Interest rate volatility prior to monetary union under alternative pre-switch regimes," HWWA Discussion Papers 143, Hamburg Institute of International Economics (HWWA).
- Frank Bohn, 2004.
"Monetary Union and the Interest-Exchange Rate Trade-off,"
Open Economies Review, Springer, vol. 15(2), pages 111-141, April.
- Bohn, Frank, 2003. "Monetary Union and the Interest-Exchange Rate Trade-off," Economics Discussion Papers 8857, University of Essex, Department of Economics.
- Reher, Gerrit & Wilfling, Bernd, 2014. "The valuation of European call options on zero-coupon bonds in the run-up to a fixed exchange-rate regime," International Review of Economics & Finance, Elsevier, vol. 29(C), pages 483-496.
- Anna Naszódi, 2008.
"Are the exchange rates of EMU candidate countries anchored by their expected euro locking rates?,"
MNB Working Papers
2008/1, Magyar Nemzeti Bank (Central Bank of Hungary).
- Anna Naszódi, 2007. "Are the Exchange Rates of EMU Candidate Countries Anchored by their Expected Euro Locking Rates?," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue 1, pages 115-134.
- Wilfling, Bernd, 2009. "Volatility regime-switching in European exchange rates prior to monetary unification," Journal of International Money and Finance, Elsevier, vol. 28(2), pages 240-270, March.
- Katsimi, Margarita, 2008. "Exchange rate strategies towards the euro-zone for new EU member states with currency boards," Journal of Macroeconomics, Elsevier, vol. 30(3), pages 1043-1063, September.
- Meulemann, Max & Uebele, Martin & Wilfling, Bernd, 2014.
"The restoration of the gold standard after the US Civil War: A volatility analysis,"
Journal of Financial Stability, Elsevier, vol. 12(C), pages 37-46.
- Max Meulemann & Martin Uebele & Bernd Wilfling, 2011. "The Restoration of the Gold Standard after the US Civil War: A Volatility Analysis," CQE Working Papers 2011, Center for Quantitative Economics (CQE), University of Muenster.
- Max Meulemann & Martin Uebele & Bernd Wilfling, 2012. "The Restoration of the Gold Standard after the US Civil War: A Volatility Analysis," Global COE Hi-Stat Discussion Paper Series gd12-251, Institute of Economic Research, Hitotsubashi University.
- Wilfling, Bernd & Trede, Mark, 2004.
"Estimating Exchange Rate Dynamics with Diffusion Processes: An Application to Greek EMU Data,"
HWWA Discussion Papers
267, Hamburg Institute of International Economics (HWWA).
- Mark Trede & Bernd Wilfling, 2007. "Estimating exchange rate dynamics with diffusion processes: an application to Greek EMU data," Empirical Economics, Springer, vol. 33(1), pages 23-39, July.
- Wilfling, Bernd & Maennig, Wolfgang, 2001. "Exchange rate dynamics in anticipation of time-contingent regime switching: modelling the effects of a possible delay," Journal of International Money and Finance, Elsevier, vol. 20(1), pages 91-113, February.
- Gerrit Reher & Bernd Wilfling, 2010. "An exact pricing formula for European call options on zero-coupon bonds in the run-up to a currency union," CQE Working Papers 1010, Center for Quantitative Economics (CQE), University of Muenster.
- Syllignakis, Manolis N. & Kouretas, Georgios P., 2011. "Markov-switching regimes and the monetary model of exchange rate determination: Evidence from the Central and Eastern European markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(5), pages 707-723.
- Naszodi, Anna, 2011. "Exchange rate dynamics under state-contingent stochastic process switching," Journal of International Money and Finance, Elsevier, vol. 30(5), pages 896-908, September.
- François, Pascal & Morellec, Erwan, 2008. "Closed-form solutions to stochastic process switching problems," Journal of Mathematical Economics, Elsevier, vol. 44(11), pages 1072-1083, December.
- Hans Dewachter & Dirk Veestraeten, 1999.
"Measuring Convergence Speed of Asset Prices Toward a Pre-Announced Target,"
Working Papers of Department of Economics, Leuven
ces9902, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven.
- Paul De Grauwe & Hans Dewachter & Yunus Aksoy, 1999.
"Effectiveness of Monetary Policy in Euroland,"
Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 26(4), pages 299-318, December.
Cited by:
- Sousa, Pedro A. B. de, 2001. "Independent and Accountable Central Banks and the European Central Bank," European Integration online Papers (EIoP), European Community Studies Association Austria (ECSA-A), vol. 5, July.
- von Hagen, Jürgen & Brückner, Matthias, 2001. "Monetary policy in unknown territory: The European Central Bank in the early years," ZEI Working Papers B 18-2001, University of Bonn, ZEI - Center for European Integration Studies.
- Sapir, André & Buti, Marco, 2001.
"EMU in the Early Years: Differences and Credibility,"
CEPR Discussion Papers
2832, C.E.P.R. Discussion Papers.
- André Sapir, 2002. "EMU in the early years: differences and credibility," ULB Institutional Repository 2013/8134, ULB -- Universite Libre de Bruxelles.
- Marco Buti & André Sapir, 2002. "EMU in the Early Years: Differences and Credibility," Chapters, in: Marco Buti & André Sapir (ed.), EMU and Economic Policy in Europe, chapter 1, Edward Elgar Publishing.
- Dixit, Avinash, 2001. "Games of monetary and fiscal interactions in the EMU," European Economic Review, Elsevier, vol. 45(4-6), pages 589-613, May.
- Hans Dewachter, 1997.
"Sign predictions of exchange rate changes: Charts as proxies for Bayesian inferences,"
Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 133(1), pages 39-55, March.
Cited by:
- Menkhoff, Lukas & Taylor, Mark P., 2006.
"The Obstinate Passion of Foreign Exchange Professionals : Technical Analysis,"
The Warwick Economics Research Paper Series (TWERPS)
769, University of Warwick, Department of Economics.
- Lukas Menkhoff & Mark P. Taylor, 2007. "The Obstinate Passion of Foreign Exchange Professionals: Technical Analysis," Journal of Economic Literature, American Economic Association, vol. 45(4), pages 936-972, December.
- Menkhoff, Lukas & Taylor, Mark P., 2006. "The Obstinate Passion of Foreign Exchange Professionals: Technical Analysis," Economic Research Papers 269739, University of Warwick - Department of Economics.
- Menkhoff, Lukas & Taylor, Mark P., 2006. "The Obstinate Passion of Foreign Exchange Professionals: Technical Analysis," Hannover Economic Papers (HEP) dp-352, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Frommel, Michael & MacDonald, Ronald & Menkhoff, Lukas, 2005.
"Markov switching regimes in a monetary exchange rate model,"
Economic Modelling, Elsevier, vol. 22(3), pages 485-502, May.
- Michael Froemmel & Ronald Macdonald & Lukas Menkhoff, 2004. "Markov Switching Regimes In A Monetary Exchange Rate Model," Royal Economic Society Annual Conference 2004 119, Royal Economic Society.
- Ahrens, Ralf & Reitz, Stefan, 2003. "Heterogeneous Expectations in the Foreign Exchange Market Evidence from the Daily Dollar/DM Exchange Rate," CFS Working Paper Series 2003/11, Center for Financial Studies (CFS).
- Chunming Yuan, 2008.
"The Exchange Rate and Macroeconomic Determinants: Time-Varying Transitional Dynamics,"
UMBC Economics Department Working Papers
09-114, UMBC Department of Economics, revised 01 Nov 2009.
- Yuan, Chunming, 2011. "The exchange rate and macroeconomic determinants: Time-varying transitional dynamics," The North American Journal of Economics and Finance, Elsevier, vol. 22(2), pages 197-220, August.
- Klaassen, F.J.G.M., 1999.
"Long Swings in Exchange Rates : Are They Really in the Data?,"
Other publications TiSEM
a54d23f3-13a8-458c-9f80-2, Tilburg University, School of Economics and Management.
- Franc Klaassen, 2005. "Long Swings in Exchange Rates: Are They Really in the Data?," Journal of Business & Economic Statistics, American Statistical Association, vol. 23, pages 87-95, January.
- Klaassen, F.J.G.M., 1999. "Long Swings in Exchange Rates : Are They Really in the Data?," Discussion Paper 1999-08, Tilburg University, Center for Economic Research.
- Reitz, Stefan, 2006. "On the predictive content of technical analysis," The North American Journal of Economics and Finance, Elsevier, vol. 17(2), pages 121-137, August.
- Ralf Ahrens & Stefan Reitz, 2000. "Chartist Prediction in the Foreign Exchange Market. Evidence from the Daily Dollar/DM Exchange Rate," Econometric Society World Congress 2000 Contributed Papers 1683, Econometric Society.
- Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2015. "Wave function method to forecast foreign currencies exchange rates at ultra high frequency electronic trading in foreign currencies exchange markets," MPRA Paper 67470, University Library of Munich, Germany.
- Frömmel, Michael & MacDonald, Ronald & Menkhoff, Lukas, 2003.
"Do Fundamentals Matter for the D-Mark/Euro-Dollar? A Regime Switching Approach,"
Hannover Economic Papers (HEP)
dp-289, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Frommel, Michael & MacDonald, Ronald & Menkhoff, Lukas, 2005. "Do fundamentals matter for the D-Mark/Euro-Dollar? A regime switching approach," Global Finance Journal, Elsevier, vol. 15(3), pages 321-335, February.
- Idowu Oluwasayo Ayodeji, 2017. "Oil and the Naira: A Markov Switching Perspective," African Development Review, African Development Bank, vol. 29(4), pages 562-574, December.
- Bock, David & Andersson, Eva & Frisén, Marianne, 2007. "Similarities and differences between statistical surveillance and certain decision rules in finance," Research Reports 2007:8, University of Gothenburg, Statistical Research Unit, School of Business, Economics and Law.
- Dewachter, Hans, 2001. "Can Markov switching models replicate chartist profits in the foreign exchange market?," Journal of International Money and Finance, Elsevier, vol. 20(1), pages 25-41, February.
- Menkhoff, Lukas & Taylor, Mark P., 2006.
"The Obstinate Passion of Foreign Exchange Professionals : Technical Analysis,"
The Warwick Economics Research Paper Series (TWERPS)
769, University of Warwick, Department of Economics.
- Hans Dewachter, 1996.
"Modelling interest rate volatility: Regime switches and level links,"
Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 132(2), pages 236-258, September.
Cited by:
- Erlandsson, Ulf, 2002. "Regime Switches in Swedish Interest Rates," Working Papers 2002:5, Lund University, Department of Economics, revised 04 Mar 2005.
- Christiansen, Charlotte, 2005.
"Level-ARCH Short Rate Models with Regime Switching: Bivariate Modeling of US and European Short Rates,"
Finance Research Group Working Papers
F-2005-03, University of Aarhus, Aarhus School of Business, Department of Business Studies.
- Charlotte Christiansen, 2007. "Level-ARCH Short Rate Models with Regime Switching: Bivariate Modeling of US and European Short Rates," CREATES Research Papers 2007-05, Department of Economics and Business Economics, Aarhus University.
- Christiansen, Charlotte, 2008. "Level-ARCH short rate models with regime switching: Bivariate modeling of US and European short rates," International Review of Financial Analysis, Elsevier, vol. 17(5), pages 925-948, December.
- Nguyen Bao Anh & Yiqiang Q. Zhao, 2021. "Half Century of Gold Price: Regime-Switching and Forecasting Framework," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 12(3), pages 1-18, May.
- Olan T. Henry & Sandy Suardi, 2004. "Testing for a Level Effect in Short-Term Interest Rates," Department of Economics - Working Papers Series 924, The University of Melbourne.
- Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
- Paul Grauwe & Hans Dewachter, 1993.
"A chaotic model of the exchange rate: The role of fundamentalists and chartists,"
Open Economies Review, Springer, vol. 4(4), pages 351-379, December.
Cited by:
- Mignot, Sarah & Westerhoff, Frank H., 2023. "Explaining the stylized facts of foreign exchange markets with a simple agent-based version of Paul de Grauwe's chaotic exchange rate model," BERG Working Paper Series 189, Bamberg University, Bamberg Economic Research Group.
- Timo WOLLMERSHAEUSER & Robert SCHMIDT, 2010.
"Sterilized Foreign Exchange Market Interventions in a Chartist-Fundamentalist Exchange Rate Model,"
EcoMod2004
330600162, EcoMod.
- Schmidt, Robert & Wollmershäuser, Timo, 2004. "Sterilized Foreign Exchange Market Interventions in a Chartist-Fundamentalist Exchange Rate Model," W.E.P. - Würzburg Economic Papers 50, University of Würzburg, Department of Economics.
- Michel Beine & Paul De Grauwe & Marianna Grimaldi, 2008.
"The impact of FX Central Bank Intervention in a Noise Trading Framework,"
DEM Discussion Paper Series
08-15, Department of Economics at the University of Luxembourg.
- Michel Beine & Paul De Grauwe & Marianna Grimaldi, 2005. "The Impact of FX Central Bank Intervention in a Noise Trading Framework," CESifo Working Paper Series 1520, CESifo.
- Beine, Michel & Grauwe, Paul De & Grimaldi, Marianna, 2009. "The impact of FX central bank intervention in a noise trading framework," Journal of Banking & Finance, Elsevier, vol. 33(7), pages 1187-1195, July.
- Michel Beine & Paul De Grauwe & Marianna Grimaldi, 2014. "The Impact of FX Central Bank Intervention in a Noise Trading Framework," World Scientific Book Chapters, in: Exchange Rates and Global Financial Policies, chapter 6, pages 189-216, World Scientific Publishing Co. Pte. Ltd..
- Wollmershäuser, Timo, 2006.
"Should central banks react to exchange rate movements? An analysis of the robustness of simple policy rules under exchange rate uncertainty,"
Munich Reprints in Economics
19716, University of Munich, Department of Economics.
- Timo WOLLMERSHAEUSER, 2010. "Should Central Banks React to Exchange Rate Movements? An Analysis of the Robustness of Simple Policy Rules under Exchange Rate Uncertainty," EcoMod2004 330600161, EcoMod.
- Wollmershauser, Timo, 2006. "Should central banks react to exchange rate movements? An analysis of the robustness of simple policy rules under exchange rate uncertainty," Journal of Macroeconomics, Elsevier, vol. 28(3), pages 493-519, September.
- Suxiao Li & Jakob de Haan & Bert Scholtens, 2018. "Are International Fund Flows Related to Exchange Rate Dynamics?," Open Economies Review, Springer, vol. 29(1), pages 31-48, February.
- Sarah Mignot & Frank Westerhoff, 2023. "Revisiting Paul de Grauwe’s Chaotic Exchange Rate Model: New Analytical Insights and Agent-Based Explorations," Open Economies Review, Springer, vol. 34(1), pages 155-169, February.
- Frank H. Westerhoff, 2009. "Exchange Rate Dynamics: A Nonlinear Survey," Chapters, in: J. Barkley Rosser Jr. (ed.), Handbook of Research on Complexity, chapter 11, Edward Elgar Publishing.
- Pierdzioch, Christian, 2005. "Noise trading and delayed exchange rate overshooting," Journal of Economic Behavior & Organization, Elsevier, vol. 58(1), pages 133-156, September.
- Kurita, Takamitsu, 2014. "Dynamic characteristics of the daily yen–dollar exchange rate," Research in International Business and Finance, Elsevier, vol. 30(C), pages 72-82.
- Troy Tassier, 2013. "Handbook of Research on Complexity, by J. Barkley Rosser, Jr. and Edward Elgar," Eastern Economic Journal, Palgrave Macmillan;Eastern Economic Association, vol. 39(1), pages 132-133.
- Rotheli, Tobias F., 1998. "Pattern recognition and procedurally rational expectations," Journal of Economic Behavior & Organization, Elsevier, vol. 37(1), pages 71-90, September.
- Wan, Jer-Yuh & Kao, Chung-Wei, 2009. "Evidence on the contrarian trading in foreign exchange markets," Economic Modelling, Elsevier, vol. 26(6), pages 1420-1431, November.
- Resende, Marcelo & Zeidan, Rodrigo M., 2008. "Expectations and chaotic dynamics: Empirical evidence on exchange rates," Economics Letters, Elsevier, vol. 99(1), pages 33-35, April.
- Vansteenkiste, Isabel, 2011. "What is driving oil futures prices? Fundamentals versus speculation," Working Paper Series 1371, European Central Bank.
- Stefan Reitz, 2005. "Central Bank Intervention and Heterogeneous Exchange Rate Expectations: Evidence from the Daily DEM/US-Dollar Exchange Rate," Open Economies Review, Springer, vol. 16(1), pages 33-50, January.
- Frank Westerhoff & Cristian Wieland, "undated".
"Spill-over dynamics of central bank interventions,"
Modeling, Computing, and Mastering Complexity 2003
21, Society for Computational Economics.
- Frank H. Westerhoff & Cristian Wieland, 2004. "Spillover Dynamics of Central Bank Interventions," German Economic Review, Verein für Socialpolitik, vol. 5(4), pages 435-450, November.
- Westerhoff Frank H. & Wieland Cristian, 2004. "Spillover Dynamics of Central Bank Interventions," German Economic Review, De Gruyter, vol. 5(4), pages 435-450, December.
- Manzan, Sebastiano & Westerhoff, Frank H., 2007.
"Heterogeneous expectations, exchange rate dynamics and predictability,"
Journal of Economic Behavior & Organization, Elsevier, vol. 64(1), pages 111-128, September.
- Manzan, S. & Westerhoff, F., 2002. "Heterogeneous Expectations, Exchange Rate Dynamics and Predictability," CeNDEF Working Papers 02-14, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- Chin-Chang Lai, 1997. "The Complex Dynamics of Real Exchange Rates with Countercyclical Balance of Trade," Open Economies Review, Springer, vol. 8(4), pages 393-401, October.
- Taylor, Mark & Kilian, Lutz, 2001.
"Why is it so Difficult to Beat the Random Walk Forecast of Exchange Rates?,"
CEPR Discussion Papers
3024, C.E.P.R. Discussion Papers.
- Kilian, Lutz & Taylor, Mark P., 2003. "Why is it so difficult to beat the random walk forecast of exchange rates?," Journal of International Economics, Elsevier, vol. 60(1), pages 85-107, May.
- Lutz Kilian & Mark P. Taylor, 2001. "Why is it so difficult to beat the Random Walk Forecast of Exchange Rates?," Tinbergen Institute Discussion Papers 01-031/4, Tinbergen Institute.
- Lutz Kilian & Mark P. Taylor, 2001. "Why Is It So Difficult to Beat the Random Walk Forecast of Exchange Rates?," Working Papers 464, Research Seminar in International Economics, University of Michigan.
- Kilian, Lutz & Taylor, Mark P., 2001. "Why is it so difficult to beat the random walk forecast of exchange rates?," Working Paper Series 88, European Central Bank.
- Daniela Federici & Giancarlo Gandolfo, 2011.
"The Euro/Dollar Exchange Rate: Chaotic or Non-Chaotic?,"
DEGIT Conference Papers
c016_035, DEGIT, Dynamics, Economic Growth, and International Trade.
- Daniela Federici & Giancarlo Gandolfo, 2011. "The Euro/Dollar Exchange Rate: Chaotic or Non-Chaotic?," CESifo Working Paper Series 3420, CESifo.
- Dammak, Wael & Boutouria, Nahla & Ben Hamad, Salah & de Peretti, Christian, 2023. "Investor behavior in the currency option market during the COVID-19 pandemic," The Journal of Economic Asymmetries, Elsevier, vol. 28(C).
- Daniela Federici & Giancarlo Gandolfo, 2001.
"Chaos and the exchange rate,"
The Journal of International Trade & Economic Development, Taylor & Francis Journals, vol. 11(2), pages 111-142.
- Daniela Federici & Giancarlo Gandolfo, 2001. "Chaos and the exchange rate," CeNDEF Workshop Papers, January 2001 4A.1, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- Frank Westerhoff & Cristian Wieland, "undated".
"Exchange rate dynamics, central bank interventions and chaos control methods,"
Modeling, Computing, and Mastering Complexity 2003
22, Society for Computational Economics.
- Wieland, Cristian & Westerhoff, Frank H., 2005. "Exchange rate dynamics, central bank interventions and chaos control methods," Journal of Economic Behavior & Organization, Elsevier, vol. 58(1), pages 117-132, September.
- Julio E. Sandubete & León Beleña & Juan Carlos García-Villalobos, 2023. "Testing the Efficient Market Hypothesis and the Model-Data Paradox of Chaos on Top Currencies from the Foreign Exchange Market (FOREX)," Mathematics, MDPI, vol. 11(2), pages 1-29, January.
- Cavalli, F. & Chen, H.-J. & Li, M.-C. & Naimzada, A. & Pecora, N., 2023. "Heterogeneous expectations and equilibria selection in an evolutionary overlapping generations model," Journal of Mathematical Economics, Elsevier, vol. 104(C).
- Pierdzioch, Christian, 2003. "Noise Trading and the Effects of Monetary Policy Shocks on Nominal and Real Exchange Rates," Kiel Working Papers 1140, Kiel Institute for the World Economy (IfW Kiel).
- Paul De Grauwe & Isabel Vansteenkiste, 2007.
"Exchange rates and fundamentals: a non-linear relationship?,"
International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 12(1), pages 37-54.
- Paul De Grauwe & Isabel Vansteenkiste, 2014. "Exchange Rates and Fundamentals: A Non-Linear Relationship?," World Scientific Book Chapters, in: Exchange Rates and Global Financial Policies, chapter 5, pages 159-187, World Scientific Publishing Co. Pte. Ltd..
- Paul De Grauwe & Isabel Vansteenkiste, 2001. "Exchange Rates and fundamentals - a Non-Linear Relationship?," CESifo Working Paper Series 577, CESifo.
- Cecen, A. Aydin & Erkal, Cahit, 1996. "Distinguishing between stochastic and deterministic behavior in high frequency foreign exchange rate returns: Can non-linear dynamics help forecasting?," International Journal of Forecasting, Elsevier, vol. 12(4), pages 465-473, December.
- Pierdzioch, Christian & Stadtmann, Georg, 1999. "Komplexe Aktien- und Wechselkursdynamik in einem makroökonomischen Modell mit heterogener Erwartungsbildung," Kiel Working Papers 911, Kiel Institute for the World Economy (IfW Kiel).
- Bühler, Wolfgang & Kempf, Alexander, 1994. "The value of the early unwind option in futures contracts with an endogenous basis," ZEW Discussion Papers 94-06, ZEW - Leibniz Centre for European Economic Research.
- Timo Wollmershäuser, 2003. "Sterilisierte Devisenmarktinterventionen - ein umstrittenes währungspolitisches Instrument," ifo Schnelldienst, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 56(19), pages 34-44, October.
- Georg Sievers, 2021. "Sustainability in Corporate Practice Certification Based on Din and Iso," European Journal of Economics and Business Studies Articles, Revistia Research and Publishing, vol. 7, July-Dece.
- Federici, Daniela & Gandolfo, Giancarlo, 2012. "The Euro/Dollar exchange rate: Chaotic or non-chaotic? A continuous time model with heterogeneous beliefs," Journal of Economic Dynamics and Control, Elsevier, vol. 36(4), pages 670-681.
- Antonio Doria, Francisco, 2011. "J.B. Rosser Jr. , Handbook of Research on Complexity, Edward Elgar, Cheltenham, UK--Northampton, MA, USA (2009) 436 + viii pp., index, ISBN 978 1 84542 089 5 (cased)," Journal of Economic Behavior & Organization, Elsevier, vol. 78(1-2), pages 196-204, April.
- Georges Darbellay & Marco Finardi, 1997. "Could nonlinear dynamics contribute to intra-day risk management?," The European Journal of Finance, Taylor & Francis Journals, vol. 3(4), pages 311-324.
- Zhang, Hao & Huang, Yuyuan & Yao, Haixiang, 2016. "Heterogeneous expectation, beliefs evolution and house price volatility," Economic Modelling, Elsevier, vol. 53(C), pages 409-418.
- Aydin Cecen, A. & Erkal, Cahit, 1996. "Distinguishing between stochastic and deterministic behavior in foreign exchange rate returns: Further evidence," Economics Letters, Elsevier, vol. 51(3), pages 323-329, June.
Chapters
- Yunus Aksoy & Paul De Grauwe & Hans Dewachter, 2014.
"Do Asymmetries Matter for European Monetary Policy?,"
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