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The Fed - Nonparametric Density Estimation and Tests of Continuous Time Interest Rate Models
Rate Models Matt Pritsker Abstract: A number of recent papers have used...rate, and to test term structure models. However, little is known about
URL: https://www.federalreserve.gov/econres/feds/nonparametric-density-estimation-and-tests-of-continuous-time-interest-rate-models.htm
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The Fed - Declining Required Reserves, Funds Rate Volatility, and Open Market Operations
Rate Volatility, and Open Market Operations Selva Demiralp and Dennis ...rate by controlling the reserve supply. In the 1990s, there was a significant
URL: https://www.federalreserve.gov/econres/feds/declining-required-reserves-funds-rate-volatility-and-open-market-operations.htm
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The Fed - Does Mortgage Hedging Amplify Movements in Long-term Interest Rates?
Rates? Roberto Perli and Brian Sack Abstract: The growth of the mortgage...rates. This paper finds that the volatility of the ten-year swap rate
URL: https://www.federalreserve.gov/econres/feds/does-mortgage-hedging-amplify-movements-in-long-term-interest-rates.htm
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The Fed - Are Rising U.S. Interest Rates Destabilizing for Emerging Market Economies?
rates with few difficulties. Figure 1. Federal Funds Rate versus Incidence...rates. A rise in interest rates driven by favorable growth prospects is
URL: https://www.federalreserve.gov/econres/notes/feds-notes/are-rising-u-s-interest-rates-destabilizing-for-emerging-market-economies-20210623.html
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The Fed - Monetary Policy Space in a Recession: Some Simple Interest Rate Arithmetic
Rate Arithmetic Michael Kiley1 Summary Nominal interest rates are low ...rates. First, low interest rates are expected to persist for some time
URL: https://www.federalreserve.gov/econres/notes/feds-notes/monetary-policy-space-in-a-recession-20200108.html
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The Fed - Do Negative Interest Rates Explain Low Profitability of European Banks?
Rates Explain Low Profitability of European Banks?1 Nicholas Coleman* ...rate environment. Specifically, $$$\text{Negative Rates Dummy}_{jt}$$$
URL: https://www.federalreserve.gov/econres/notes/feds-notes/do-negative-interest-rates-explain-low-profitability-of-european-banks-20191129.html
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The Fed - New Financial Market Measures of the Neutral Real Rate and Inflation Expectations
rates.2 Moreover, in practice, risk premiums in forward rates may be large...rates and inflation rates based on nonlinear regressions of Blue Chip
URL: https://www.federalreserve.gov/econres/notes/feds-notes/new-financial-market-measures-of-the-neutral-real-rate-and-inflation-expectations-20200803.html
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The Fed - Estimating the Value and Interest Rate Risk of Interest-Bearing Transactions Deposits
Rate Risk of Interest-Bearing Transactions Deposits James M. O'Brien Abstract...rate specifications studied include asymmetric adjustment to market rate
URL: https://www.federalreserve.gov/econres/feds/estimating-the-value-and-interest-rate-risk-of-interest-bearing-transactions-deposits.htm
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The Fed - Monetary Policy When the Nominal Short-Term Interest Rate is Zero
Rate is Zero James Clouse, Dale Henderson, Athanasios Orphanides, David...rate to its lower bound of zero. Assuming the nominal Treasury-bill rate
URL: https://www.federalreserve.gov/econres/feds/monetary-policy-when-the-nominal-short-term-interest-rate-is-zero.htm
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The Fed - DSGE Models of High Exchange-Rate Volatility and Low Pass-Through
Exchange-Rate Volatility and Low Pass-Through Giancarlo Corsetti, Luca...rate volatility, whereas a low degree of pass-through stems from both
URL: https://www.federalreserve.gov/econres/ifdp/dsge-models-of-high-exchange-rate-volatility-and-low-pass-through.htm
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