Matthias Rupprecht

Matthias Rupprecht

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Rupprecht

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Matthias

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Explaining the Failure of the Expectations Hypothesis with Short-Term Rates

( 2017-04-06)
Ranaldo, Angelo
;
Rupprecht, Matthias

This paper provides the rst systematic study of the temporal and cross-sectional Variation in the risk premium of the expectations hypothesis (EH) at very short end of the term structure. Using a unique and comprehensive dataset of European repurchase (repo) rates, we explain the sources and time variation a ecting the risk premium. Our results show that the EH cannot be rejected when loans are secured by safe collateral and that unconventional monetary policy can substantially reduce risk premiums. By contrast, the EH is violated when interest rates are a ected by funding risk and collateral risk.

Type: presentation

URI: https://www.alexandria.unisg.ch/handle/20.500.14171/102474
Explaining the Failure of the Expectations Hypothesis with Short-Term Rates

( 2017-06-02)
Ranaldo, Angelo
;
Rupprecht, Matthias

This paper provides the rst systematic study of the temporal and cross-sectional Variation in the risk premium of the expectations hypothesis (EH) at very short end of the term structure. Using a unique and comprehensive dataset of European repurchase (repo) rates, we explain the sources and time variation a ecting the risk premium. Our results show that the EH cannot be rejected when loans are secured by safe collateral and that unconventional monetary policy can substantially reduce risk premiums. By contrast, the EH is violated when interest rates are a ected by funding risk and collateral risk

Type: presentation

URI: https://www.alexandria.unisg.ch/handle/20.500.14171/102292
Explaining the Failure of the Expectations Hypothesis with Short-Term Rates

( 2017-04-05)
Ranaldo, Angelo
;
Rupprecht, Matthias

This paper provides the rst systematic study of the temporal and cross-sectional Variation in the risk premium of the expectations hypothesis (EH) at very short end of the term structure. Using a unique and comprehensive dataset of European repurchase (repo) rates, we explain the sources and time variation a ecting the risk premium. Our results show that the EH cannot be rejected when loans are secured by safe collateral and that unconventional monetary policy can substantially reduce risk premiums. By contrast, the EH is violated when interest rates are a ected by funding risk and collateral risk

Type: presentation

URI: https://www.alexandria.unisg.ch/handle/20.500.14171/102478
Collateral markets: analytical frameworks

( 2016-01-18)
Ranaldo, Angelo
;
Rupprecht, Matthias
;
Wrampelmeyer, Jan

Type: presentation

URI: https://www.alexandria.unisg.ch/handle/20.500.14171/104741
The Fragility of Money Markets

( 2016-10-25)
Ranaldo, Angelo
;
Rupprecht, Matthias
;
Wrampelmeyer, Jan

Type: presentation

URI: https://www.alexandria.unisg.ch/handle/20.500.14171/103784

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