NDLI: From Bond Yield to Macroeconomic Instability: The Effect of Negative Interest Rates

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From Bond Yield to Macroeconomic Instability: The Effect of Negative Interest Rates

Content Provider	Scilit
Author	Recchioni, Maria Cristina
Copyright Year	2016
Description	Journal: SSRN Electronic Journal We present a hybrid Heston model with a local stochastic volatility to describe government bond yield dynamics. The model is analytically tractable and, therefore, can be efficiently estimated using the maximum likelihood approach. Twofold is the model contribution. First, it captures changes in the yield volatility and predict future yield values of Germany, French, Italy and Spain. The result is an early warning indicator which anticipates phases of instability characterizing the time series investigated. Then, the model describes convergence/divergence phenomena among European government bond yields and explores the countries' reactions to a common monetary policy described through the EONIA interbank rate.
Related Links	http://www.doctreballeco.uji.es/wpficheros/Recchioni_and_Tedeschi_06_2016.pdf https://papers.ssrn.com/sol3/Delivery.cfm?abstractid=2773690
ISSN	10914358
e-ISSN	15565068
DOI	10.2139/ssrn.2773690
Journal	SSRN Electronic Journal
Language	English
Publisher	Elsevier BV
Publisher Date	2016-04-28
Access Restriction	Open
Subject Keyword	Journal: SSRN Electronic Journal Stochastic Volatility Model Kolmogorov Backward Equation Maximum Likelihood Function Government Bond Yield Forecasting
Content Type	Text
Resource Type	Article
Subject	Public Health, Environmental and Occupational Health Psychiatry and Mental Health

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