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Rafael B. De Rezende
Founder, Chairman, CEO and Investment manager
Amuletum Invest AB
Assistant Professor of Economics and Finance
Jönköping University
Research publications
A shadow rate without a lower bound constraint (download here)
Journal of Banking and Finance, 2023, v. 146, pp. 1-23, with Annukka Ristiniemi
Download the estimated shadow rates for the US, Sweden, euro area and the UK here!
The interest rate effects of government bond purchases away from the lower bound (download here)
Journal of International Money and Finance, 2017, v.74, pp. 165-186
How can term structure models be used by central banks? (download here)
Sveriges Riksbank Economic Review, 2017:1
Modeling and forecasting the yield curve by an extended Nelson-Siegel class of models: a quantile auto-regression approach (download here)
Journal of Forecasting, 2013, v.32, n.2, pp.111-123, with Mauro S. Ferreira
Giving flexibility to the Nelson-Siegel class of models (download here)
Brazilian Review of Finance, 2011, v.9, n.1, pp.27-49
Working Papers
An event-driven bank stress indicator: the case of US regional banks
R&R at Finance Research Letters
Effects of cost of mortgage on house prices: the role of the maturity structure of mortgage contracts
Re-examining the predictive power of the yield curve with quantile regression, 2019, with Mauro S. Ferreira (download here)
Risks in macroeconomic fundamentals and excess bond returns predictability, 2015, (download here)
Online Appendix (download here)
Sveriges Riksbank Working Paper Series, 2015, No.295
Research in progress
Asset allocation at the Effective Lower Bound
Reports and professional publications
The long run effects of de-dollarization on financial markets (gain access here)
AM Report, Amuletum Invest AB, vol.2, nr.3, May 2023
On the stress of US regional banks (gain access here)
AM Report, Amuletum Invest AB, vol.2, nr.2, March 2023
On the timing and strength of the upcoming recession (gain access here)
AM Report, Amuletum Invest AB, vol.2, nr.1, January 2023
Cost of mortgage and house prices: what's next? (gain access here)
AM Report, Amuletum Invest AB, vol.1, nr.4, November 2022
A portfolio of sustainable companies has been favorable during high volatile regimes (gain access here)
AM Report, Amuletum Invest AB, vol.1, nr.3, September 2022, with Lisa Alexandersson
The current stance of monetary policy: how contractionary it really is? (gain access here)
AM Report, Amuletum Invest AB, vol.1, nr.2, July 2022
The difficult task for monetary policy and the call for a fiscal adjustment (gain access here)
AM Report, Amuletum Invest AB, vol.1, nr.1, May 2022
Effects of the Riksbank's government bond purchases on asset prices (download here)
Sveriges Riksbank Economic Commentaries, 2015, no.13, with David Kjellberg and Oskar Tysklind
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