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Tiers of joy? Reserve tiering and bank behavior in a negative-rate environment

Publications associées (38)

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Pricing and hedging of inflation-indexed bonds in an affine framework

Damir Filipovic

This study deals with the pricing and hedging of inflation-indexed bonds. Under foreign exchange analogy we model the nominal short rate, real short rate and logarithm of the price index with an afflne Gaussian process. Using the underlying affine property ...

Elsevier2014

Leaning Against Boom-Bust Cycles in Credit and Housing Prices

Luisa Lambertini

This paper studies the potential gains of monetary and macro-prudential policies that lean against house-price and credit cycles. We rely on a model that features Borrowers and Savers and allows for over-borrowing induced by news-shock-driven cycles. We fi ...

Elsevier2013

The term structure of interbank risk

Damir Filipovic

We infer a term structure of interbank risk from spreads between rates on interest rate swaps indexed to the London Interbank Offered Rate (LIBOR) and overnight indexed swaps. We develop a tractable model of interbank risk to decompose the term structure i ...

Elsevier2013

We use several popular tests to test the validity of the Purchasing Power Parity (PPP) hypothesis. In particular, we analyze four classes of tests-standard univariate unit root tests, co-integration, panel unit root tests, and unit root tests for nonlinear ...

Springer Verlag2012

Optimal Exchange-Rate Targeting with Large Labor Unions

Luisa Lambertini, Vincenzo Cuciniello

We study whether monetary policy should target the exchange rate in a two-country model with non-atomistic wage setters, non-traded goods and different degrees of exchange- rate pass through. Commitment to an exchange rate target reduces the labor market d ...

Center for Fiscal Policy Working Paper Series2009

We develop a tractable and flexible stochastic volatility multifactor model of the term structure of interest rates. It features unspanned stochastic volatility factors, correlation between innovations to forward rates and their volatilities, quasi-analyti ...

Oxford University Press2009

Term-Structure Models: A Graduate Course

Damir Filipovic

Changing interest rates constitute one of the major risk sources for banks, insurance companies, and other financial institutions. Modeling the term-structure movements of interest rates is a challenging task. This volume gives an introduction to the mathe ...

Springer Finance2009

The welfare effect of foreign monetary conservatism with non-atomistic wage setters

Vincenzo Cuciniello

This paper sheds light on the real effects of foreign central bank’s degree of inflation aversion in presence of non-atomistic wage setters. It extends the Lippi’s (2003) framework to an open economy and identifies the key strategic mechanisms between mone ...

Center for Fiscal Policy Working Paper Series2009

A two area dynamic stochastic general equilibrium model is employed to investigate the welfare implications of losing monetary independence. Two policy regimes are compared: (i) in one area there is a common currency, while in the other area countries stil ...

Center for Fiscal Policy Working Paper Series2009

What leads to the development of residential construction projects? If the economic literature is to be believed, developers analyse market opportunities. However, it is difficult to assess those opportunities, for several reasons, e.g. long time horizon f ...

University of Reading2008