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Displaying results 1 to 12 of 12.

  1. Métodos de estimación de curvas de rendimiento cupón cero en Argentina
    Author: Delfau, Emiliano
    Published: Noviembre 2017
    Publisher:  Universidad del CEMA, Buenos Aires, Argentina

    El objetivo del presente trabajo es realizar un análisis comparativo entre la metodología comúnmente utilizada por los agentes del mercado local en lo referido a la estimación de Curvas de Rendimiento Cupón Cero (también conocidas como Estructuras... more

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 245 (623)
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    El objetivo del presente trabajo es realizar un análisis comparativo entre la metodología comúnmente utilizada por los agentes del mercado local en lo referido a la estimación de Curvas de Rendimiento Cupón Cero (también conocidas como Estructuras Temporales de Tasa de Interés o ETTI), mediante la metodología de estimación de líneas de tendencias logarítmicas respecto a las YTM (Yield to Maturity) o TIR (Tasa Interna de Retorno) de un grupo o conjunto de títulos que comparten ciertas características y el desarrollo metodológico de Curvas de Rendimiento Cupón Cero mediante la implementación de un modelo paramétrico denominado Nelson y Siegel (NS)[1]. En los siguientes capítulos se abordarán ambas metodologías presentándose las ventajas y desventajas de cada una y sus ámbitos de aplicación. Para esto se tomarán los títulos públicos ajustados por CER a modo de ejemplo práctico dado que éstos presentan una estructura de cash flows compleja. El resultado del presente trabajo empírico arroja evidencias ampliamente favorables hacia la implementación del modelo paramétrico de NS. Esta conclusión se fundamenta tanto en las propiedades intrínsecas de la metodología de NS como en las desventajas de la utilización de YTM para extrapolar directamente una curva de rendimientos y, fundamentalmente, en los resultados obtenidos entre la diferencia (error) obtenida entre los precios estimados o teóricos por cada metodología y los precios de mercado.

     
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    Source: Union catalogues
    Language: Spanish
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/176596
    Series: Array ; nro. 623 (Noviembre 2017)
    Subjects: Zero-Bond; Rendite; Zinsstruktur; Schätztheorie; Argentinien
    Scope: 1 Online-Ressource (circa 12 Seiten), Illustrationen
  2. ECB policies involving government bond purchases
    impacts and channels
    Author: Krishnamurthy, Arvind; Nagel, Stefan; Vissing-Jørgensen, Annette; Rohner, Dominic
    Published: 27 October 2017
    Publisher:  Centre for Economic Policy Research, London

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    W 32 (12399)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    Series: Array ; DP 12399
    Subjects: Geldpolitik; Finanzkrise; Wirkungsanalyse; Öffentliche Anleihe; Quantitative Lockerung; Rendite; Zustandsraummodell; Eurozone
    Scope: 39 Seiten, circa 23 ungezählte Seiten, Illustrationen
    Notes:

    Erscheint auch als Online-Ausgabe
  3. The rate of return on everything, 1870-2015
    Author: Jordà, Òscar; Knoll, Katharina; Kuvshinov, Dmitry; Schularick, Moritz; Taylor, Alan M.
    Published: November 2017
    Publisher:  Federal Reserve Bank of San Francisco, [San Francisco, CA]

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 385 (2017,25)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    Series: Working papers series / Federal Reserve Bank of San Francisco ; 2017, 25 (December 2017)
    Subjects: Wirtschaftsgeschichte; Return on Investment; Ertragsgesetz; Kapitalwertmethode; Zins; Rendite; Dividende; Risikoprämie; Vermögen; Wohnungsmarkt; Europa; USA; Japan; Australien
    Scope: 1 Online-Ressource (circa 123 Seiten), Illustrationen
  4. The U.S. Treasury Premium
    Author: Du, Wenxin; Im, Joanne; Schreger, Jesse
    Published: August 2017
    Publisher:  National Bureau of Economic Research, Cambridge, MA

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    W 1 (23759)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    Series: Working paper series / National Bureau of Economic Research ; 23759
    Subjects: Staatspapier; Öffentliche Anleihe; Rendite; Finanzkrise; Vergleich; Australien; Kanada; Schweiz; Eurozone; Großbritannien; Japan; Neuseeland; USA
    Scope: 49 Seiten, Illustrationen
    Notes:

    Erscheint auch als Online-Ausgabe
  5. ECB policies involving government bond purchases
    impact and channels
    Author: Krishnamurthy, Arvind; Nagel, Stefan; Vissing-Jørgensen, Annette
    Published: November 2017
    Publisher:  National Bureau of Economic Research, Cambridge, MA

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    W 1 (23985)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    Series: Working paper series / National Bureau of Economic Research ; 23985
    Subjects: Geldpolitik; Finanzkrise; Wirkungsanalyse; Öffentliche Anleihe; Quantitative Lockerung; Rendite; Zustandsraummodell; Eurozone
    Scope: 39 Seiten, 23 ungezählte Seiten, Illustrationen
    Notes:

    Erscheint auch als Online-Ausgabe
  6. The rate of return on everything, 1870-2015
    Author: Jordà, Òscar; Knoll, Katharina; Kuvshinov, Dmitry; Schularick, Moritz; Taylor, Alan M.
    Published: 14 December 2017
    Publisher:  Centre for Economic Policy Research, London

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    W 32 (12509)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    Series: Array ; DP 12509
    Subjects: Wirtschaftsgeschichte; Return on Investment; Ertragsgesetz; Kapitalwertmethode; Zins; Rendite; Dividende; Risikoprämie; Vermögen; Wohnungsmarkt; Europa; USA; Japan; Australien
    Scope: 52 Seiten, Seite A54-A121, Illustrationen
    Notes:

    Erscheint auch als Online-Ausgabe
  7. Bond yield spillovers from major advanced economies to emerging Asia
    Author: Belke, Ansgar; Dubova, Irina; Volz, Ulrich
    Published: 2017
    Publisher:  Global Labor Organization (GLO), Maastricht

    This paper explores the extent to which changes to long-term interest rates in major advanced economies have influenced long-term government bond yields in Emerging Asia. To gauge long-term interest spillover effects, the paper uses VAR variance... more

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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 565
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    This paper explores the extent to which changes to long-term interest rates in major advanced economies have influenced long-term government bond yields in Emerging Asia. To gauge long-term interest spillover effects, the paper uses VAR variance decompositions with high frequency data. Our results reveal that sovereign bond yields in Emerging Asia responded significantly to changes to US and Eurozone bond yields, although the magnitudes were heterogeneous across countries. The size of spillovers varied over time. The pattern of these variations can partially be explained by the implementation of different unconventional monetary policy measures in advanced countries.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/156230
    Series: GLO discussion paper ; no. 41
    Subjects: Zins; Zinspolitik; Spillover-Effekt; Rentenmarkt; Öffentliche Anleihe; Rendite; Asien; Schwellenländer; Industrieländer; Long-term interest rates; bond yields; monetary policy spillovers; Emerging Asia
    Scope: 1 Online-Ressource (circa 25 Seiten), Illustrationen
  8. Estimarea primei de risc la termen incluse în randamentele titlurilor de stat
    Author: Bodea, Cătălin; Radu, Răzvan
    Published: Iunie 2017
    Publisher:  Banca Naţională a României, [Bucurȩsti]

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    Keine Speicherung
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    Source: Union catalogues
    Language: Romanian
    Media type: Book
    Format: Online
    Series: Caiete de studii / Banca Naţională a României ; nr. 47
    Subjects: Öffentliche Anleihe; Risikoprämie; Zinsstruktur; Rendite; Rumänien
    Scope: 1 Online-Ressource (circa 36 Seiten), Illustrationen
  9. Bond yield spillovers from major advanced economies to emerging Asia
    Author: Belke, Ansgar; Dubova, Irina; Volz, Ulrich
    Published: 2017
    Publisher:  ROME, Research On Money in the Economy, Duesseldorf, Germany

    This paper explores the extent to which changes to long-term interest rates in major advanced economies have influenced long-term government bond yields in Emerging Asia. To gauge long-term interest spillover effects, the paper uses VAR variance... more

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 426 (2017,2)
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    This paper explores the extent to which changes to long-term interest rates in major advanced economies have influenced long-term government bond yields in Emerging Asia. To gauge long-term interest spillover effects, the paper uses VAR variance decompositions with high frequency data. Our results reveal that sovereign bond yields in Emerging Asia responded significantly to changes to US and Eurozone bond yields, although the magnitudes were heterogeneous across countries. The size of spillovers varied over time. The pattern of these variations can partially be explained by the implementation of different unconventional monetary policy measures in advanced countries.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/187448
    Series: ROME discussion paper series ; no 2017, 02 (February 2017)
    Subjects: Zins; Zinspolitik; Spillover-Effekt; Rentenmarkt; Öffentliche Anleihe; Rendite; Asien; Schwellenländer; Industrieländer
    Scope: 1 Online-Ressource (circa 27 Seiten), Illustrationen
  10. U.S. municipal yields and unfunded state pension liabilities
    Author: Beetsma, Roel; Lekniute, Zina; Ponds, Eduard
    Published: 25 April 2017
    Publisher:  Centre for Economic Policy Research, London

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    W 32 (11997)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    Series: Array ; DP 11998
    Subjects: Kommunalobligation; Rendite; Altersversorgung im öffentlichen Dienst; Pensionskasse; Marktwert; USA
    Scope: 33 Seiten, Illustrationen
    Notes:

    Erscheint auch als Online-Ausgabe
  11. Bid-to-cover and yield changes around public debt auctions in the euro area
    Author: Beetsma, Roel; Giuliodori, Massimo; Hanson, Jesper; Jong, Frank de
    Published: 23 March 2017
    Publisher:  Centre for Economic Policy Research, London

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    W 32 (11932)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    Series: Array ; DP 11932
    Subjects: Öffentliche Anleihe; Auktionstheorie; Signalling; Wertpapierhandel; Sekundärmarkt; Rendite; Volatilität; Schätzung; Eurozone
    Scope: 46 Seiten, Illustrationen
    Notes:

    Erscheint auch als Online-Ausgabe
  12. Bid-to-cover and yield changes around public debt auctions in the euro area
    Author: Beetsma, Roel; Giuliodori, Massimo; Hanson, Jesper; Jong, Frank de
    Published: [2017]
    Publisher:  European Central Bank, Frankfurt am Main, Germany

    Earlier research has shown that euro-area primary public debt markets affect secondary markets. We find that more successful auctions of euro area public debt, as captured by higher bid-to-cover ratios, lead to lower secondary-market yields following... more

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    Location:
    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 534 (2056)
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    Earlier research has shown that euro-area primary public debt markets affect secondary markets. We find that more successful auctions of euro area public debt, as captured by higher bid-to-cover ratios, lead to lower secondary-market yields following the auctions. This effect is stronger when market volatility is higher. We rationalize both findings using a simple theoretical model of primary dealer behavior, in which the primary dealers receive a signal about the value of the asset auctioned.

     
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    Source: Union catalogues
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9789289927789
    Other identifier:
    hdl: 10419/175680
    Series: Working paper series / European Central Bank ; no 2056 (May 2017)
    Subjects: Öffentliche Anleihe; Auktionstheorie; Signalling; Wertpapierhandel; Sekundärmarkt; Rendite; Volatilität; Schätzung; Eurozone; euro area; public debt; financial market; investment; bond; market; public policy
    Scope: 1 Online-Ressource (circa 49 Seiten), Illustrationen