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853,461
The Czech Treasury Yield Curve from 1999 to the Present
"... I introduce Czech Treasury yield curve estimates at a daily frequency from 1999 to the present. I use a wellknown and simple yield curve model that is shown to fit the data very well. The estimation of the model parameters is based on market prices of Czech government bonds. The estimated parameter ..."
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I introduce Czech Treasury yield curve estimates at a daily frequency from 1999 to the present. I use a wellknown and simple yield curve model that is shown to fit the data very well. The estimation of the model parameters is based on market prices of Czech government bonds. The estimated
Economic Determinants of the Nominal Treasury Yield Curve
, 2001
"... We study the effect of different types of macroeconomic impulses on the nominal yield curve. We employ two distinct approaches to identifying economic shocks in VARs. Our first approach uses a structural VAR due to Galí (1992). Our second strategy identifies fundamental impulses from alternative emp ..."
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Cited by 92 (2 self)
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We study the effect of different types of macroeconomic impulses on the nominal yield curve. We employ two distinct approaches to identifying economic shocks in VARs. Our first approach uses a structural VAR due to Galí (1992). Our second strategy identifies fundamental impulses from alternative
The Slope of the U.S. Nominal Treasury Yield Curve Unemployment and Stability of Wage Determination: United States versus New York State
"... ABSTRACT We find the Phillipstype model performs well in explaining wage adjustment for US nonfarm business, US manufacturing, and NY manufacturing sector, showing a typical adjustment to price inflation expectation and labor market tightness. While the basic wage model shows evidence of a struct ..."
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ABSTRACT We find the Phillipstype model performs well in explaining wage adjustment for US nonfarm business, US manufacturing, and NY manufacturing sector, showing a typical adjustment to price inflation expectation and labor market tightness. While the basic wage model shows evidence of a structural shift for the post1991 period, this is not evident in the adjusted models for both US nonfarm business and NY manufacturing, implying that the observed structural shift for the post1991 period is likely to be the result of model mis, or underspecification. The effect of the fraction of unemployment due to permanent job loss on wage inflation appears to be manufacturingspecific, while a smaller adjustment to price inflation expectation appears to be statespecific. On the other hand, the significant effect of the percent of adults unemployed appears to be a national phenomenon.
Treasury
, 2013
"... The textbook liquidity premium theory of interest rates predicts that the Treasury yield curve steepens with inflation uncertainty as investors demand a larger risk premium to hold longterm bonds. Using the dispersion of inflation forecasts to measure this uncertainty, we find the opposite. Since ..."
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The textbook liquidity premium theory of interest rates predicts that the Treasury yield curve steepens with inflation uncertainty as investors demand a larger risk premium to hold longterm bonds. Using the dispersion of inflation forecasts to measure this uncertainty, we find the opposite. Since
Iterative point matching for registration of freeform curves and surfaces
, 1994
"... A heuristic method has been developed for registering two sets of 3D curves obtained by using an edgebased stereo system, or two dense 3D maps obtained by using a correlationbased stereo system. Geometric matching in general is a difficult unsolved problem in computer vision. Fortunately, in ma ..."
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Cited by 663 (8 self)
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A heuristic method has been developed for registering two sets of 3D curves obtained by using an edgebased stereo system, or two dense 3D maps obtained by using a correlationbased stereo system. Geometric matching in general is a difficult unsolved problem in computer vision. Fortunately
Expected stock returns and volatility
 Journal of Financial Economics
, 1987
"... This paper examines the relation between stock returns and stock market volatility. We find evidence that the expected market risk premium (the expected return on a stock portfolio minus the Treasury bill yield) is positively related to the predictable volatility of stock returns. There is also evid ..."
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Cited by 710 (10 self)
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This paper examines the relation between stock returns and stock market volatility. We find evidence that the expected market risk premium (the expected return on a stock portfolio minus the Treasury bill yield) is positively related to the predictable volatility of stock returns. There is also
Testing for Common Trends
 Journal of the American Statistical Association
, 1988
"... Cointegrated multiple time series share at least one common trend. Two tests are developed for the number of common stochastic trends (i.e., for the order of cointegration) in a multiple time series with and without drift. Both tests involve the roots of the ordinary least squares coefficient matrix ..."
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Cited by 463 (7 self)
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firstorder autocorrelation matrix, where the correction is essentially a sum of the autocovariance matrices. Previous researchers have found that U.S. postwar interest rates, taken individually, appear to be integrated of order 1. In addition, the theory of the term structure implies that yields
Term Premia and Interest Rate Forecasts in Affine Models
, 2001
"... I find that the standard class of a#ne models produces poor forecasts of future changes in Treasury yields. Better forecasts are generated by assuming that yields follow random walks. The failure of these models is driven by one of their key features: The compensation that investors receive for faci ..."
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Cited by 453 (13 self)
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I find that the standard class of a#ne models produces poor forecasts of future changes in Treasury yields. Better forecasts are generated by assuming that yields follow random walks. The failure of these models is driven by one of their key features: The compensation that investors receive
The Treasury and
, 2003
"... The purpose of this paper is to assess the quantitative importance of the bank lending channel in a small open economy with a floating exchange rate. The framework of the analysis is a general equilibrium model with microeconomic foundations, where agents ’ decisions are derived from optimising beh ..."
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The purpose of this paper is to assess the quantitative importance of the bank lending channel in a small open economy with a floating exchange rate. The framework of the analysis is a general equilibrium model with microeconomic foundations, where agents ’ decisions are derived from optimising behaviour. A theoretical model with costly financial intermediation is developed and calibrated for New Zealand. The steady states with and without the bank lending channel are derived and the dynamic properties of the model are assessed. The quantitative effects of the bank lending channel are small. This suggests that the degree to which firms borrow from financial intermediaries (banks) or public debt markets is unlikely to affect economic growth.
The relation between treasury yields and corporate bond yield spreads
 Journal of Finance
, 1998
"... Because the option to call a corporate bond should rise in value when bond yields fall, the relation between noncallable Treasury yields and spreads of corporate bond yields over Treasury yields should depend on the callability of the corporate bond. I confirm this hypothesis for investmentgrade co ..."
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Cited by 221 (0 self)
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Because the option to call a corporate bond should rise in value when bond yields fall, the relation between noncallable Treasury yields and spreads of corporate bond yields over Treasury yields should depend on the callability of the corporate bond. I confirm this hypothesis for investment
Results 1  10
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