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1 - 10 van 21 voor bond yields
impact bank competition interest rate pass through euro area pdf
... 3m mr' money market rate (mr). 5y mr' government bond yield. 10y mr' government bond yield, all for the respective country. we select ... . hence, we use unbalanced samples for some bank products. 29 bond yields are selected for long-term fixed bank rates.20 table ... 5-year government bond yield. the minima for the three-month money market rates and the two government bond yields with, respectively, a ...
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Microsoft Word - discussion55.doc
... kompas, contained extensive monetary monetary submodel the levels of short-term interest rates and bond yields were derived from the balance between supply and demand on the short-term government ... a stable exchange rate between the guilder and the deutschmark, dutch bond yields had already moved virtually in line with german yields for some time. because interest rates were essentially the only ...
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Microsoft Word - voorblad.docx
... . 17 an alternative approach would be to study the effect of interest spreads of corporate bond yields, which measure the difference between the interest rates paid by firms and government bonds, on ... ., v. yankov and e. zakrajsek, 2009, credit market shocks and economic fluctuations evidence from corporate bond and stock markets, journal of monetary economics, vol. 56, pp. 471-493. grossman, s.j ...
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Tilburg finance tool huisstijl pdf
... figure 1 nominal bond yields duration three months (euribor) (left) and one year (right) nl us nl us figure 2 nominal bond yields duration five year ... returns. comments decreasing bond rates over time after 1980 closer link between the short- and long-term yields in the us than ... et al. (2010) using dutch data. the link between the bond yields of different duration is not as large in north europe as ...
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appendix derivations dsge model pdf
... wj 1- 1- ca+ j,j combining the terms involving ca+ j,j then yields ( d)j-t h j h t (1+c,j) c- a+ j,j ... k h t 1- 1 ( d) k-t (1+c,k )k rearranging terms, yields 1 1 ha+t,t k t h k h t 1- 1 ( d ... models with infinitely-lived representative agents and non-distorting taxation, ricardian equivalence holds and bond holdings are irrelevant. hence, cash-in-the-letterbox and open market operations are equivalent ...
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Microsoft Word - DP128_demooij _2_.doc
... less important and low statutory tax rates more important for individual countries (see also bond, 2000). this implies that cbit-type reforms may enhance welfare more while ace reforms ... the fixed factor used by firms. therefore, the old receive the economic rents. household optimization yields expressions for labour supply, consumption, savings and the optimal asset portfolio. asset returns are ...
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dp175 systemic risk across sectors pdf
... (2010)). a cds provides insurance on the payments of a bond in case of a credit event, where the underlying bond may also be issued by a non-listed firm. a disadvantage ... ,t + i,tr2 m,t + i,t (5.1) employing the same analysis as before yields a new systemic risk measure for the abnormal returns i,t. the variation of this ...
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Microsoft Word - Abstract.docx
... to vary both accross industries as well as countries. however, in many cases this yields too few observations to generate consistent parameter estimates. 8 cases the olley-pakes ... and spillovers does local participation with multinationals matter?'. european economic review blundell, richard and bond, stephen. 1998. initial conditions and moment restrictions in dynamic panel data models'. journal ...
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N:\...\discussion26.wp [PFP#1230639143]
... unobserved fixed effects. however, the resultingfirst-differenceestimatoroftenappearedtogiveunsatisfactoryresults(see,e.g. blundell and bond, 1998a). typical examples for the production function framework showed that capital ... of the additional moment restrictions employed. this comparison shows that sys-gmm yields more reasonable values for the estimated capital elasticities with higher precision. ...
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Microsoft Word - cpbdoc_tang.doc
... may be restored, and individuals keep their consumption paths unchanged in response to a bond issue. second, a bond issue may matter when households face liquidity constraints. in particular, when the ... efficient allocation of funds across space and time. funds flow to those places where investment yields the highest rate of return. in the previous subsection we have seen that the international ...
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