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  1. Sovereign bond market integration
    the euro, trading platforms and globalisation
    Author: Wolff, Guntram B.; Schulz, Alexander
    Published: 2008
    Publisher:  Office for Infrastructures and Logistics, Brussels

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    C 272516
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    B15-2142
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    ISBN: 9789279082573
    RVK Categories: QM 430
    Series: Array ; 332
    Subjects: Rentenmarkt; Öffentliche Anleihe; Internationaler Finanzmarkt; Marktintegration; Rendite; Preiskonvergenz; EU-Staaten; USA; Großbritannien; Deutschland
    Scope: 45 S., graph. Darst.
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  2. Gesetzliche und private Altersvorsorge
    Risiko und Rendite im Vergleich
    Author: Schnabel, Reinhold; Ottnad, Adrian
    Published: 2008
    Publisher:  Dt. Inst. für Altersvorsorge, Köln

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    Deutsches Zentrum für Altersfragen e.V. (DZA), Bibliothek
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    Freie Universität Berlin, Universitätsbibliothek
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    Brandenburgische Technische Universität Cottbus - Senftenberg, Universitätsbibliothek
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    Source: Philologische Bibliothek, FU Berlin
    Language: German
    Media type: Book
    ISBN: 9783934446342
    RVK Categories: MS 2700 ; PQ 3480 ; QX 400
    DDC Categories: 330
    Subjects: Deutschland; Gesetzliche Rentenversicherung; Private Rentenversicherung; Rendite; Rentabilität; Risiko; Rendite; Risiko; Rentenversicherung; Private Altersversorgung
    Scope: 100 S., graph. Darst.
  3. Recent developments in the European private equity markets
    Author: Raade, Kristiina; Dantas Machado, Catarina
    Published: 2008
    Publisher:  Office for Infrastructures and Logistics, Brussels

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    C 272297
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    B15-2219
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    ISBN: 9789279082443
    RVK Categories: QM 430
    Series: Array ; 319
    Subjects: Private Equity; Risikokapital; Übernahme; Rendite; EU-Staaten; USA
    Scope: 32 S., graph. Darst.
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  4. Explaining macroeconomic and term structure dynamics jointly in a non-linear DSGE model
    Published: 28 Aug. 2008
    Publisher:  Centre for Analytical Finance, Univ. of Aarhus, Aarhus School of Business, Aarhus

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business ; 236
    Subjects: Dynamisches Gleichgewicht; Preisrigidität; Zinsstruktur; Rendite; Zustandsraummodell; USA
    Scope: Online-Ressource, 45 S., Text
    Notes:

    nBibliography
  5. Modelling and forecasting the Yield Curve under Model uncertainty
    Published: 2008
    Publisher:  European Central Bank, Frankfurt am Main

    This paper proposes a procedure to investigate the nature and persistence of the forces governing the yield curve and to use the extracted information for forecasting purposes. The latent factors of a model of the Nelson-Siegel type are directly... more

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    ifo Institut für Wirtschaftsforschung an der Universität München, Bibliothek
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    This paper proposes a procedure to investigate the nature and persistence of the forces governing the yield curve and to use the extracted information for forecasting purposes. The latent factors of a model of the Nelson-Siegel type are directly linked to the maturity of the yields through the explicit description of the cross-sectional dynamics of the interest rates. The intertemporal dynamics of the factors is then modeled as driven by long-run forces giving rise to enduring effects, and by medium- and short-run forces producing transitory effects. These forces are reconstructed in real time with a dynamic filter whose embedded feedback control recursively corrects for model uncertainty, including additive and parameter uncertainty and possible equation misspecifications and approximations. This correction sensibly enhances the robustness of the estimates and the accuracy of the out-of-sample forecasts, both at short and long forecast horizons

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/153351
    Series: Working paper series / European Central Bank ; 917
    Subjects: Zinsstruktur; Rendite; Geldpolitik; Risiko; Modellierung; Theorie
    Scope: Online-Ressource, (46 S.)
  6. Extracting market expectations from yield curves augmented by money market interest rates
    the case of Japan
    Author: Nagano, Teppei; Baba, Naohiko
    Published: 2008
    Publisher:  European Central Bank, Frankfurt am Main

    This paper attempts to extract market expectations about the Japanese economy and the BOJ's policy stance from the yen yield curves augmented by money market interest rates, during the period from the end of the quantitative easing policy in March... more

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    Staats- und Universitätsbibliothek Bremen
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    This paper attempts to extract market expectations about the Japanese economy and the BOJ's policy stance from the yen yield curves augmented by money market interest rates, during the period from the end of the quantitative easing policy in March 2006. We use (i) the swap yield curves augmented by OIS interest rates (OIS/Swap), and (ii) the JGB yield curve augmented by FB/TB interest rates. First, using the Nelson-Siegel [1987] model, we estimate three latent dynamic factors, which can be interpreted as reflecting market expectations. Second, we investigate the relative importance of price discovery for each factor between OIS/Swap and FBTB/JGB, and find that the former has a more dominant role of price discovery for all factors. Third, we estimate the efficient price for each factor common to both yield curves using a time-series structural model, which enables us to decompose each factor into the efficient price and idiosyncratic factor

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/153414
    Series: Working paper series / European Central Bank ; 980
    Subjects: Geldmarkt; Rendite; Zinsstruktur; Swap; Zeitreihenanalyse; Japan
    Scope: Online-Ressource, (40 S., 1190 KB)
  7. Returns and volatility of eurozone energy stocks
    Published: Febr. 2008
    Publisher:  ZEW Zentrum für Europäische Wirtschaftsforschung, Mannheim

    This paper constitutes a first analysis on stock returns and stock return volatility of energy corporations from the Eurozone. According to our results, the gas market does not play a role for the pricing of Eurozone energy stocks. However, changes... more

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    Niedersächsische Staats- und Universitätsbibliothek Göttingen
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    Leibniz-Institut für Wirtschaftsforschung Halle, Bibliothek
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    This paper constitutes a first analysis on stock returns and stock return volatility of energy corporations from the Eurozone. According to our results, the gas market does not play a role for the pricing of Eurozone energy stocks. However, changes in the Euro to U.S. Dollar exchange rate as well as developments at the money and especially at the oil market strongly affect returns of the energy stock portfolios analyzed. While oil price hikes negatively impact on stock returns of European utilities, they lead to an appreciation of oil and gas stocks. Most importantly, we show that oil market volatility negatively affects European oil and gas stocks. In contrast, energy stock volatility is not driven by volatility of the resource market, but only by its own dynamics.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Discussion paper / ZEW ; 08-017
    Subjects: Energiewirtschaft; Börsenkurs; Rendite; Volatilität; Ölpreis; Erdgasmarkt; Eurozone; EU-Staaten
    Scope: Online-Ressource, 24 S., Text, graph. Darst.
    Notes:

    Zsfassungen in dt. und engl. Sprache
  8. High and volatile treasury yields in Tanzania
    the role of strategic bidding and auction microstructure
    Author: Abbas, S. M. Ali; Sobolev, Yuri
    Published: 2008
    Publisher:  Internat. Monetary Fund, Washington, DC

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    W 128 (08.81)
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    ifo Institut für Wirtschaftsforschung an der Universität München, Bibliothek
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    Series: IMF working paper ; 08/81
    Subjects: Staatspapier; Rendite; Tansania
    Scope: 29 S., graph. Darst.
    Notes:

    Literaturverz. S. 29
  9. Modelling long-run trends and cycles in financial time series data
    Published: June 2008
    Publisher:  CESifo, München

    This paper proposes a very general time series framework to capture the long-run behaviour of financial series. The suggested model includes linear and non-linear time trends, and stationary and nonstationary processes based on integer and/or... more

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    Staats- und Universitätsbibliothek Bremen
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    This paper proposes a very general time series framework to capture the long-run behaviour of financial series. The suggested model includes linear and non-linear time trends, and stationary and nonstationary processes based on integer and/or fractional degrees of differentiation. Moreover, the spectrum is allowed to contain more than a single pole or singularity, occurring at zero and non-zero (cyclical) frequencies. This model is used to analyse four annual time series with a long span, namely dividends, earnings, interest rates and long-term government bond yields. The results indicate that the four series exhibit fractional integration with one or two poles in the spectrum. A forecasting comparison shows that a model with a non-linear trend along with fractional integration outperforms alternative models over long horizons. -- Fractional integration ; financial time series data ; trends ; cycles

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/26375
    RVK Categories: QB 910
    Series: Array ; 2330
    Subjects: Finanzmarkt; Zeitreihenanalyse; Trend; Rendite; Prognoseverfahren; Theorie; USA
    Scope: Online-Ressource, 35 S. = 211 KB, Text, graph. Darst.
  10. Sovereign bond market integration: the euro, trading platforms and globalization
    Published: 23 June 2008
    Publisher:  Dt. Bundesbank, Frankfurt, M.

    We disentangle different driving factors of sovereign bond market integration by studying yield co-movements of EMU countries, the UK, the US and 16 German Länder in the last 15 years. At a low frequency of weeks, bond market integration has... more

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    Niedersächsische Staats- und Universitätsbibliothek Göttingen
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    Universitätsbibliothek Osnabrück
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    We disentangle different driving factors of sovereign bond market integration by studying yield co-movements of EMU countries, the UK, the US and 16 German Länder in the last 15 years. At a low frequency of weeks, bond market integration has increased gradually in the course of the last 15 years in EMU countries, as well as the UK, the US and the German Länder. The euro, as well as increasing international capital flows, appear to drive low frequency integration. In contrast, yield adjustments to changes of the German benchmark bond at high frequencies, i.e., 2 days, remain relatively low until October 2000, when a sharp increase in integration can be observed in all samples. The increase in high frequency integration can be attributed to electronic trading platforms becoming functional. The change-over from national currencies to the euro can not explain the dramatic increase in high frequency integration.

     
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    Source: Union catalogues
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9783865584298
    Series: Array ; 2008,12
    Subjects: Rentenmarkt; Öffentliche Anleihe; Internationaler Finanzmarkt; Marktintegration; Rendite; Preiskonvergenz; EU-Staaten; USA; Großbritannien; Deutschland
    Scope: Online-Ressource, 45 S. = 1874 KB, Text, graph. Darst.
    Notes:

    Zsfassungen in dt. und engl. Sprache
  11. Estimating asset correlations from stock prices or default rates
    which method is superior?
    Published: 14 Apr. 2008
    Publisher:  Deutsche Bundesbank, Frankfurt am Main

    This paper sets out to help explain why estimates of asset correlations based on equity prices tend to be considerably higher than estimates based on default rates. Resolving this empirical puzzle is highly important because, firstly, asset... more

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Universitätsbibliothek Osnabrück
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    This paper sets out to help explain why estimates of asset correlations based on equity prices tend to be considerably higher than estimates based on default rates. Resolving this empirical puzzle is highly important because, firstly, asset correlations are a key driver of credit risk and, secondly, both data sources are widely used to calibrate risk models of financial institutions. By means of a simulation study, we explore the hypothesis that differences in the correlation estimates are due to a substantial downward bias characteristic of estimates based on default rates. Our results suggest that correlation estimates from equity returns are more efficient than those from default rates. This finding still holds if the model is misspecified such that asset correlations follow a Vasicek process which affects foremost the estimates from equity returns. The results lend support for the hypothesis that the downward bias of default-rate based estimates is an important although not the only factor to explain the differences in correlation estimates. Furthermore, our results help to quantify the estimation error of asset correlations dependent on the risk characteristics of the underlying data base.

     
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    Content information
    Source: Union catalogues
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9783865583970
    Series: Array ; 2008,04
    Subjects: Kreditrisiko; Kapitaleinkommen; Rendite; Korrelation; Schätztheorie; Vergleich; Theorie
    Scope: Online-Ressource, 33 S. = 420 KB, Text, graph. Darst.
    Notes:

    Zsfassungen in dt. und engl. Sprache
  12. Hedge fund contagion and liquidity
    Published: 2008
    Publisher:  Weiss Center for International Financial Research, Wharton School, Univ. of Pennsylvania, Philadelphia, Pa.

    "Using hedge fund indices representing eight different styles, we find strong evidence of contagion within the hedge fund sector: controlling for a number of risk factors, the average probability that a hedge fund style index has extreme poor... more

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    "Using hedge fund indices representing eight different styles, we find strong evidence of contagion within the hedge fund sector: controlling for a number of risk factors, the average probability that a hedge fund style index has extreme poor performance (lower 10% tail) increases from 2% to 21% as the number of other hedge fund style indices with extreme poor performance increases from zero to seven. We investigate how changes in funding and asset liquidity intensify this contagion, and find that the likelihood of contagion is high when prime brokerage firms have poor performance (which would be expected to affect hedge fund funding liquidity adversely) and when stock market liquidity (a proxy for asset liquidity) is low. Finally, we examine whether extreme poor performance in the stock, bond, and currency markets is more likely when contagion in the hedge fund sector is high. We find no evidence that contagion in the hedge fund sector is associated with extreme poor performance in the stock and bond markets, but find significant evidence that performance in the currency market is worse when hedge fund contagion is high, consistent with the effects of an unwinding of carry trades"--National Bureau of Economic Research web site

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Edition: Preliminary and incomplete
    Series: Weiss Center working papers ; 08,2
    Subjects: Hedgefonds; Ansteckungseffekt; Rendite
    Scope: Online-Ressource (PDF-Datei: 47 S., 475,15 KB), graph. Darst.
    Notes:

    Literaturverz. S. 45 - 47
  13. Gesetzliche und private Altersvorsorge
    Risiko und Rendite im Vergleich
    Author: Schnabel, Reinhold; Ottnad, Adrian
    Published: 2008
    Publisher:  Dt. Inst. für Altersvorsorge, Köln

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    Source: Union catalogues
    Language: German
    Media type: Book
    Format: Print
    ISBN: 9783934446342
    RVK Categories: MS 2700 ; PQ 3480 ; QX 400
    Subjects: Gesetzliche Rentenversicherung; Private Altersvorsorge; Rendite; Risiko; Rentabilität; Deutschland; Old age pensions; Old age pensions
    Scope: 100 S., graph. Darst., a
    Notes:

    Literaturverz. S. 91 - 95
  14. Modelling long-run trends and cycles in financial time series data
    Published: 2008
    Publisher:  Brunel Univ. West London, Brunel Business School, Uxbridge

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Economics and finance working papers / Brunel University West London, Brunel Business School ; 08-18
    Subjects: Finanzmarkt; Zeitreihenanalyse; Trend; Rendite; Prognoseverfahren; Theorie; USA
    Scope: Online-Ressource (PDF-Datei: 35 S.), graph. Darst.
  15. Digitale Erlösquellen für Verlage
    Ergebnisse einer empirischen Studie
    Author: Schwaiger, Manfred; Kreher, Markus; Reibnitz, Alexander von
    Published: 2008
    Publisher:  Verband deutscher Zeitschriftenverleger, Berlin

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Hochschule der Medien, Bibliothek Standort Nobelstr.
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    Language: German
    Media type: Book
    Format: Print
    ISBN: 9783931940744
    RVK Categories: AP 28660
    Series: Dokumentation Publikumszeitschriften
    Subjects: Digitale Dienste; Digitale Güter; Revenue-Management; Rendite; Zeitschriftenverlag; Deutschland
    Scope: 44 S., Ill., graph. Darst.
  16. Estimating hedge fund leverage
    Author: McGuire, Patrick M.; Tsatsaronis, Kostas
    Published: 2008

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    W 910 (260)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    Series: BIS working papers ; 260
    Subjects: Hedgefonds; Risikokapital; Messung; Rendite; Anlageverhalten; Institutioneller Investor; Welt; Style analysis
    Scope: V, 37 S., graph. Darst.
  17. Yield curve factors, term structure volatility, and bond risk premia
    Published: 2008
    Publisher:  SFB 649, Economic Risk, Berlin

    We introduce a Nelson-Siegel type interest rate term structure model with the underlying yield factors following autoregressive processes revealing time-varying stochastic volatility. The factor volatilities capture risk inherent to the term struc-... more

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    Staats- und Universitätsbibliothek Bremen
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    We introduce a Nelson-Siegel type interest rate term structure model with the underlying yield factors following autoregressive processes revealing time-varying stochastic volatility. The factor volatilities capture risk inherent to the term struc- ture and are associated with the time-varying uncertainty of the yield curve's level, slope and curvature. Estimating the model based on U.S. government bond yields applying Markov chain Monte Carlo techniques we find that the yield factors and factor volatilities follow highly persistent processes. Using the extracted factors to explain one-year-ahead bond excess returns we observe that the slope and cur- vature yield factors contain the same explanatory power as the return-forecasting factor recently proposed by Cochrane and Piazzesi (2005). Moreover, we identify slope and curvature risk as important additional determinants of future excess returns. Finally, we illustrate that the yield and volatility factors are closely con- nected to variables reflecting macroeconomic activity, inflation, monetary policy and employment growth. It is shown that the extracted yield curve components have long-term prediction power for macroeconomic fundamentals. -- Term structure modelling ; yield curve risk ; stochastic volatility ; factor models ; macroeconomic fundamentals

     
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    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/25296
    Series: SFB 649 discussion paper ; 2008,053
    Subjects: Rendite; Zinsstruktur; Volatilität; Stochastischer Prozess; Faktorenanalyse; Zinsstruktur; Wirkungsanalyse; Theorie; Öffentliche Anleihe; Risikoprämie; USA
    Scope: Online-Ressource (PDF-Datei: 47 S.), graph. Darst.
  18. Imperfect information, macroeconomic dynamics and the yield curve
    an encompassing macro-finance model
    Author: Dewachter, Hans
    Published: 2008
    Publisher:  National Bank of Belgium, Brussels

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    Series: Array ; 144
    Subjects: Neoklassische Synthese; Dynamische Wirtschaftstheorie; Unvollkommene Information; Rendite; Kapitaleinkommen; Theorie; USA
    Scope: 69 S., graph. Darst.
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  19. Exportaktivitäten und Rendite in niedersächsischen Industrieunternehmen
    Published: 2008
    Publisher:  Univ., Lüneburg

    Zahlreiche Studien belegen, dass exportierende Unternehmen eine höhere Produktivität aufweisen als gleich große nicht exportierende Unternehmen aus derselben Branche. Gleichzeitig zahlen Exporteure ihren Mitarbeitern bei identischer Qualifikation... more

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    Niedersächsische Staats- und Universitätsbibliothek Göttingen
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    Leuphana Universität Lüneburg, Medien- und Informationszentrum, Universitätsbibliothek
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    Zahlreiche Studien belegen, dass exportierende Unternehmen eine höhere Produktivität aufweisen als gleich große nicht exportierende Unternehmen aus derselben Branche. Gleichzeitig zahlen Exporteure ihren Mitarbeitern bei identischer Qualifikation höhere Löhne, und sie müssen Extrakosten im Zusammenhang mit den Ausfuhren tragen. Lohnt sich Exporttätigkeit unter dem Strichoder wird der Produktivitätsvorsprung durch die höheren Kosten ausgeglichen? Eine Untersuchung mit einem neu verfügbaren Längsschnittdatensatz, der Daten aus zwei Erhebungen der amtlichen Statistik kombiniert, zeigt, dass dies in den übrigen westdeutschen Bundesländern höchstwahrscheinlich und in einem ökonomisch relevanten Ausmaß der Fall ist, während es niedersächsischen exportierenden Industrieunternehmen nicht gelingt, ihren Produktivitätsvorsprung gegenüber nicht exportierenden Unternehmen auch in einen Renditevorsprung zu überführen.

     
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    Language: German
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/28213
    Series: University of Lüneburg Working Paper Series in Economics ; 95
    Subjects: Exportwirtschaft; Rendite; Schätzung; Niedersachsen
    Scope: Online-Ressource (PDF-Datei: 27 S., 578,03 KB)
    Notes:

    Parallel als Druckausg. erschienen
  20. Riesterrente im Vergleich
    eine Simulationsstudie zur Verteilung der Renditen
    Author: Weber, Andreas; Wystup, Uwe
    Published: 2008
    Publisher:  Frankfurt School of Finance & Management, Frankfurt, M.

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    C 256577
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    Language: German
    Media type: Book
    Format: Print
    Series: Working paper series / Centre for Practical Quantitative Finance ; 12
    Subjects: Private Altersvorsorge; Steuervergünstigung; Rendite; Vergleich; Zinsstruktur; Simulation; Deutschland
    Scope: 33 S., Ill., graph. Darst.
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  21. Vergleich von Anlagestrategien bei Riesterrenten ohne Berücksichtigung von Gebühren
    eine Simulationsstudie zur Verteilung der Renditen
    Author: Weber, Andreas; Wystup, Uwe
    Published: 2008
    Publisher:  Frankfurt School of Finance & Management, Frankfurt, M.

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    C 256571
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    Language: German
    Media type: Book
    Format: Print
    Series: Working paper series / Centre for Practical Quantitative Finance ; 13
    Subjects: Private Altersvorsorge; Steuervergünstigung; Rendite; Zinsstruktur; Simulation; Deutschland
    Scope: 28 S., Ill., graph. Darst.
    Notes:
  22. Was kostet eine Garantie?
    ein statistischer Vergleich der Rendite von langfristigen Anlagen
    Author: Becker, Christoph; Wystup, Uwe
    Published: 2008
    Publisher:  Frankfurt School of Finance & Management, Frankfurt, M.

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    C 254811
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    Source: Union catalogues
    Language: German
    Media type: Book
    Format: Print
    Series: Working paper series / Centre for Practical Quantitative Finance ; No. 8
    Subjects: Investmentfonds; Private Altersvorsorge; Rendite; Finanzanalyse; Deutschland; Mindestrendite; Garantiefonds
    Scope: 60 S., graph. Darst.
  23. Covered Call Writing
    Portfolio Insurance zur Altersvorsorge
    Author: Simeonova, Antoniya
    Published: 2008

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    Staats- und Universitätsbibliothek Bremen
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    11a bwl 529/329
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    Niedersächsische Staats- und Universitätsbibliothek Göttingen
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    Thüringer Universitäts- und Landesbibliothek
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    Language: German
    Media type: Dissertation
    Format: Print
    Other identifier:
    3436
    RVK Categories: QK 550
    Subjects: Kapitalanlage; Optionsgeschäft; Rendite; Portfolio-Management; Pensionskasse; Schweiz
    Scope: XXV, 276 S., graph. Darst.
    Notes:

    St. Gallen, Univ., Diss., 2007
  24. A no-arbitrage structural vector autoregressive model of the UK yield curve
    Published: 2008
    Publisher:  Bank of England, London

    This paper combines a structural vector autoregression (SVAR) with a no-arbitrage approach to build a multifactor affine term structure model (ATSM). The resulting no-arbitrage structural vector autoregressive (NA-SVAR) model implies that expected... more

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    Niedersächsische Staats- und Universitätsbibliothek Göttingen
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    This paper combines a structural vector autoregression (SVAR) with a no-arbitrage approach to build a multifactor affine term structure model (ATSM). The resulting no-arbitrage structural vector autoregressive (NA-SVAR) model implies that expected excess returns are driven by the structural macroeconomic shocks. This is in contrast to a standard ATSM, in which agents are concerned with non-structural risks. As a simple application of a NA-SVAR model, we study the effects of supply, demand and monetary policy shocks on the UK yield curve. We show that all shocks affect the slope of the yield curve, with demand and supply shocks accounting for a large part of the time variation in bond yields. The short end of the yield curve is driven mainly by the expectations component, while the term premium matters for the dynamics of the long end of the yield curve.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Working paper / Bank of England ; 357
    Subjects: Volkswirtschaft; Schock; Zinsstruktur; Rentenmarkt; Rendite; VAR-Modell
    Scope: Online-Ressource (32 S. = 630 K), graph. Darst.
  25. Gesetzliche und private Altersvorsorge :
    Risiko und Rendite im Vergleich /
    Author: Schnabel, Reinhold
    Published: 2008.
    Publisher:  Dt. Inst. für Altersvorsorge,, Köln :

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    Source: Philologische Bibliothek, FU Berlin
    Contributor: Ottnad, Adrian
    Language: German
    Media type: Book
    Format: Print
    ISBN: 978-3-934446-34-2
    RVK Categories: MS 2700 ; PQ 3480 ; QX 400
    Subjects: Deutschland; Gesetzliche Rentenversicherung; Private Rentenversicherung; Rendite; Rentabilität; Risiko; Rentenversicherung; Private Altersversorgung; Rendite; Risiko
    Scope: 100 S. :, graph. Darst.