搜索结果: 1-15 共查到“经济学 curve”相关记录16条 . 查询时间(0.062 秒)
The Macroeconomy and the Yield Curve:A Dynamic Latent Factor Approach
Term structure interest rates macroeconomic fundamentals factor model state-space model
2015/9/18
We estimate a model that summarizes the yield curve using latent factors (specifically, level,slope, and curvature) and also includes observable macroeconomic variables (specifically, real activity,in...
Fifty Years of the Phillips Curve: A Dialog on What We Have Learned
Fifty Years Phillips Curve
2015/8/3
Fifty Years of the Phillips Curve: A Dialog on What We Have Learned.
Falling Behind the Curve: A Positive Analysis of Stop-Start Monetary Policies and the Great Inflation
Monetary Policies Inflation
2015/8/3
This paper documents the evolution of long-run inflation expectations and models the stance
of monetary policy from 1965 to 1980. A host of survey-based measures and financial market
data indicate t...
The Global and Local in Phillips Curve
rank order statistics phillips curve infl ation unemployment rate
2015/7/28
The debate over the Phillips Curve - as the relation between level of unemployment rate and inflation rate - in historical economics is shortly reviewed. By using the analysis in the Extreme Value The...
What does the yield curve tell us about GDP growth?
Term structure Forecasting Financial markets and the macroeconomy
2015/7/23
A lot, including a few things you may not expect. Previous studies find that the term spread
forecasts GDP but these regressions are unconstrained and do not model regressor
endogeneity. We bu...
An Econometric Model of the Yield Curve with Macroeconomic Jump Effects
Macroeconomic Jump Effects Yield Curve
2015/7/23
This paper develops an arbitrage-free time-series model of yields in continuous time
that incorporates central bank policy. Policy-related events, such as FOMC meetings
and releases of macroeconomic...
Per capita income and farmers’ markets: Searching for an environmental Kuznets curve for environmental attributes
Per capita income farmers’ markets Searching for an environmental Kuznets curve environmental attributes
2014/6/3
Per capita income and farmers’ markets: Searching for an environmental Kuznets curve for environmental attributes。
Comments on Piazzesi and Schneider's "Bond Positions, Expectations, and the Yield Curve"
monetary interactions fiscal interactions integrating finance future enhancement
2011/9/16
The article presents the author commentaries of Monika Piazzesi and Martin Schneider's "Bond Positions, Expectations, and the Yield Curve." It refers to the integration of macroeconomics and finance i...
Interest Rates After The Credit Crunch: Multiple-Curve Vanilla Derivatives and SABR
crisis liquidity credit counterparty risk fixed income Libor Euribor Eonia yield curve forward curve, discount curve, single curve, multiple curve volatility surface collateral CSA discounting no arbitrage pricing interest rate derivatives FRAs swaps OIS basis swaps caps floors SABR
2011/3/30
We present a quantitative study of the markets and models evolution across the credit crunch crisis. In particular, we focus on the fixed income market and we analyze the most relevant empirical evide...
The Australian Phillips curve and more
inflation unemployment labor force modeling Australia
2011/3/23
A quantitative model is presented linking the rate of inflation and unemployment to the change in the level of labor force. The link between the involved variables is a linear one with all coefficient...
This paper presents an answer to why the yield curve tends to invert one year
before a recession. The capital-based macroeconomic model used in this paper traces out
the effects of an injection of s...
Forming Kuznets Curve among Chinese Provinces
regional disparity convergence catch-up Kuznets curve Theil index
2009/5/7
As coastal areas in China achieved economic growth, income disparities between the rural and urban areas have become prominent, and this trend can be measured using Gini coefficients and Theil indice...
Parsimonious HJM Modelling for Multiple Yield-Curve Dynamics
HJM Modelling Multiple Yield-Curve Dynamics
2010/12/13
For a long time interest-rate models were built on a single yield curve used both for discounting and forwarding. However, the crisis that has affected financial markets in the last years led market p...
Forming Kuznets Curve among Chinese Provinces
regional disparity convergence catch-up Kuznets curve Theil index
2010/12/7
As coastal areas in China achieved economic growth, income disparities between the rural and urban areas have become prominent, and this trend can be measured using Gini coefficients and Theil indices...
Exponential model of the Engel curve: Application within the income elasticity analysis of the Czech households’ demand for meat and meat products
exponential Engel model explicit dynamic model income demand elasticity demand for meat and meat products
2014/3/20
The paper is focused on the economic and mathematical analysis of the Engel demand model in the exponential form: q = a0 × ea1/X.Properties of this exponential model are studied with respect to its ap...