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Risk Sharing and Financial Contagion in Asia

Risk Sharing and Financial Contagion in Asia »

Source: Risk Sharing and Financial Contagion in Asia : An Asset Price Perspective

Volume/Issue: 2011/242

Series: IMF Working Papers

Author(s): Phurichai Rungcharoenkitkul

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 2011

ISBN: 9781463922634

Keywords: risk sharing, contagion, affine term structure model, financial contagion, stochastic discount, bond, Financial Aspects of Economic Integration,

This paper assesses financial integration in Asia in terms of risk-sharing benefit versus financial-contagion cost. We construct a new measure of risk sharing based on a term structure model, which allows identific...

Global Factors in the Term Structure of Interest Rates

Global Factors in the Term Structure of Interest Rates »

Source: Global Factors in the Term Structure of Interest Rates

Volume/Issue: 2013/223

Series: IMF Working Papers

Author(s): Mirko Abbritti , Salvatore Dell'Erba , Antonio Moreno , and Sergio Sola

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 05 November 2013

ISBN: 9781475513516

Keywords: Yield Curve, Global Factors, FAVAR, Affine Term Structure Models, Term Premium, inflation, monetary economics, expansionary monetary policy, monetary policies, Time-Series Models

This paper introduces global factors within a FAVAR framework in an empirical affine term structure model. We apply our method to a panel of international yield curves and show that global factors account for more...

Risk Sharing and Financial Contagion in Asia
			: An Asset Price Perspective

Risk Sharing and Financial Contagion in Asia : An Asset Price Perspective »

Volume/Issue: 2011/242

Series: IMF Working Papers

Author(s): Phurichai Rungcharoenkitkul

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 2011

DOI: http://dx.doi.org/10.5089/9781463922634.001

ISBN: 9781463922634

Keywords: risk sharing, contagion, affine term structure model, financial contagion, stochastic discount, bond, Financial Aspects of Economic Integration,

This paper assesses financial integration in Asia in terms of risk-sharing benefit versus financial-contagion cost. We construct a new measure of risk sharing based on a term structure model, which allows identific...

Global Factors in the Term Structure of Interest Rates

Global Factors in the Term Structure of Interest Rates »

Volume/Issue: 2013/223

Series: IMF Working Papers

Author(s): Mirko Abbritti , Salvatore Dell'Erba , Antonio Moreno , and Sergio Sola

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 05 November 2013

DOI: http://dx.doi.org/10.5089/9781475513516.001

ISBN: 9781475513516

Keywords: Yield Curve, Global Factors, FAVAR, Affine Term Structure Models, Term Premium, inflation, monetary economics, expansionary monetary policy, monetary policies, Time-Series Models

This paper introduces global factors within a FAVAR framework in an empirical affine term structure model. We apply our method to a panel of international yield curves and show that global factors account for more...