This paper develops a simple dynamic stochastic general equilibrium (DSGE) model
capable of evaluating the effect of large purchases of treasuries by central banks. The model …

The determinants of yield curve dynamics have been thoroughly discussed in finance
models. However, little can be said about the macroeconomic factors behind the movements …

In this paper, we propose a DSGE model with the term structure of interest rates drawing on
the framework introduced by Andrés et al.(2004) and Marzo et al.(2008). In particular, we …

This paper studies the forecasting performance of a general equilibrium model of bond
yields where government bonds provide liquidity services and are, as such, an integral part …

The aim of this paper is to investigate long-term portfolio management in a fully structural
macro-financial framework. First, we estimate a Dynamic Stochastic General Equilibrium …

In the first essay of this thesis, a medium scale DSGE model is developed and estimated for
the South African economy. When used for forecasting, the model is found to outperform …

This paper considers a US institutional investor who is implementing a long‐term portfolio
allocation using forecasts of financial returns. We compare the predictive performance of two …

There is tremendous turnover and liquidity that causes currency prices to fluctuate every
second, so traders and investors are constantly looking for ways to protect themselves from …

Monetary authorities in the US and UK commenced special program purchases of longer-
term government bonds in March 2009. One of the purposes of the programs was to …

This paper examines the effects of shocks to foreign official holdings of long-term US
Treasuries (FOHL) on macroeconomic aggregates using a dynamic general equilibrium …