10 datasets found

This paper proposes a method of data analysis founded on the philosophy and understanding of uncertain knowledge developed by Bruno de Finetti. Specifically, the paper...

Using a panel of Austrian bank data we show that the lending decisions of the smallest banks are more sensitive to interest rate changes, and that for all banks, sensitivity...

According to several empirical studies US inflation and nominal interest rates as well as the real interest rate can be described as unit root processes. These results imply...

This paper studies nonstationarities in a panel of Canadian and US interest rates of different maturities and risk. We focus on methods which model the cross-sectional...

In this paper we propose a smooth transition tree model for both the conditional mean and variance of the short-term interest rate process. The estimation of such models is...

The aim of this paper is to assess whether modeling structural change can help improving the accuracy of macroeconomic forecasts. We conduct a simulated real-time out-of-sample...

Empirical modelling of the linkages between the euro area and the USA requires an open economy framework. The methodology proposed in this paper achieves identification of a...

We introduce longitudinal factor analysis (LFA) to extract the common risk-free (CRF) rate from a sample of sovereign bonds of countries in a monetary union. Since LFA exploits...

We consider forecasting the term structure of interest rates with the assumption that factors driving the yield curve are stationary around a slowly time-varying mean or...

We bring together some recent advances in the literature on vector autoregressive moving-average models, creating a simple specification and estimation strategy for the...