Felix Geiger Book order

The estimation of dynamic term structure models (DTSMs) turns out to be challenging in the presence of a small sample. It is exacerbated if the sample is characterized by a prolonged period of low interest rates near a time-varying eective lower bound. These challenges all weigh heavily when estimating a DTSM for the euro area OIS yield curve sample. Against this background, we propose a shadow-rate term structure model (SRTSM) that includes a time-varying eective lower bound accounting for the spread between the policy and short-term OIS rate and it also allows for future changes in the eective lower bound. In addition, it incorporates survey information in order to pin down the level of longer-term rate expectations. The model allows to adequately assess short-term monetary policy rate expectations and it generates far-distant rate expectations that are correlated with an estimated equilibrium nominal short rate derived from a macroeconomic model set-up. Our results also highlight the signaling channel of non-standard monetary policy shocks in the run-up to asset purchases based on high frequency identication approach. Our model outperforms DTSM specications without above modeling features from a statistical and economic perspective. We conrm our ndings employing a Monte Carlo simulation.

Focusing on the innovative development of an ultra-light-weight Proton-Transfer-Reaction Mass Spectrometer (PTR-MS), this work details its qualification and applications for studying volatile organic compound (VOC) emissions related to fossil fuel production. The system was deployed in a mobile laboratory to analyze chemical fingerprints from various emitters at oil and natural gas well pads, with specific investigations into aromatic hydrocarbon emissions at hydraulically fractured wells.

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 of short- and long-term interest rates as well as the risk compensation demanded by financial investors. By taking on a macro-finance perspective, the book’s approach explicitly acknowledges the close feedback between monetary policy, the macroeconomy and financial conditions. Both theoretical and empirical models are applied in order to get a profound understanding of the interlinkages between economic activity, the conduct of monetary policy and the underlying macroeconomic factors of bond price movements. Moreover, the book identifies a broad risk-taking channel of monetary transmission which allows a reassessment of the role of financial constraints; it enables policy makers to develop new guidelines for monetary policy and for financial supervision of how to cope with evolving financial imbalances.