Forecasting long-term interest rates with a general-equilibrium model of the Euro area: what role for liquidity services of bonds?

DOI10.1007/S10690-013-9172-5MaRDI QIDQ2254286zbMATH OpenOpenAlexFDO

Authors Paolo Zagaglia

Publication date 4 February 2015

Published in Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10690-013-9172-5

zbMATH Keywords

Bayesian estimationforecastinggeneral equilibrium modelsyield curve

Mathematics Subject Classification ID

General equilibrium theory (91B50) Economic growth models (91B62) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cites work

• A joint econometric model of macroeconomic and term-structure dynamics
• A preferred-habitat model of the term structure of interest rates
• A Reality Check for Data Snooping
• A simple model for study of the determination of the price level and the interaction of monetary and fiscal policy
• An Intertemporal Model of Saving and Investment
• Bayesian Analysis of DSGE Models—Some Comments
• Bayesian inference in dynamic econometric models. With a foreword by Jacques J. Drèze
• Contemporary Bayesian Econometrics and Statistics
• Euro area inflation persistence in an estimated nonlinear DSGE model
• Forecasting the yield curve in a data-rich environment: a no-arbitrage factor-augmented VAR approach
• Monopolistic Price Adjustment and Aggregate Output
• Optimal inattention to the stock market with information costs and transactions costs
• The Stationary Bootstrap

Cited in

(2)

• Linear-quadratic term structure models for negative Euro area yields
• Forecasting government bond spreads with heuristic models: evidence from the eurozone periphery

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