Showing 1 - 10 of 93
econometrically estimated in continuous time with Euro/Dollar data and examined for the possible presence of chaotic motion. Our …
Persistent link: https://www.econbiz.de/10010274880
In this paper, we study the effects of US target rate changes and related communications by members of the Federal Reserve Board of Governors on spreads for emerging market sovereign credit default swaps (CDS). Using GARCH models, we find that during the pre-financial crisis sub-sample (April...
Persistent link: https://www.econbiz.de/10010286429
Tiny changes in the American monetary policy can have dramatic effects on the rest of the world because of dollar's double role of national and international currency. This is the Triffin dilemma. The paper shows how it works through three examples: price of commodities, dollarization, and the...
Persistent link: https://www.econbiz.de/10010301326
We argue that criticism concerning the Chinese dollar peg is misplaced as no predictable link exists between the exchange rate and the trade balance of an international creditor economy. The stable nominal yuan/dollar rate is argued to have stabilized Chinese, East Asian and global growth....
Persistent link: https://www.econbiz.de/10010275052
The term premium on nominal long-term bonds in the standard dynamic stochastic general equilibrium (DSGE) model used in macroeconomics is far too small and stable relative to empirical measures obtained from the data - an example of the "bond premium puzzle." However, in models of endowment...
Persistent link: https://www.econbiz.de/10011506664
subgroups including Euro area countries, the UK and the US respectively, provides evidence of a global convergence …
Persistent link: https://www.econbiz.de/10010274514
This paper estimates a DSGE model with many types of shocks and frictions for both the US and the euro area economy … over a common sample period (1974-2002). The structural estimation methodology allows us to investigate whether differences …
Persistent link: https://www.econbiz.de/10011506583
We investigate the effect of market liquidity on equity-collateralized funding accounting for endogeneity. Theory suggests market liquidity can affect funding liquidity in stabilizing and destabilizing manners. Using the average fee on stock loans as a proxy for equity-collateralized funding...
Persistent link: https://www.econbiz.de/10011506764
In this paper the author attempts an analysis of the current financial/economic crisis that is wider ranging and more fundamental than he has been able to find. He discusses alternatives to the financial bailouts and shows how the crisis could have been dealt with more efficiently and at little...
Persistent link: https://www.econbiz.de/10010301113
This brief exposition suggests that the Federal Reserve System temporarily guarantee a lower bound on stock prices in order to escape the current combination of liquidity trap and credit crunch. It shortly discusses reasons for this measure, consequences, and some alternatives. It is meant as a...
Persistent link: https://www.econbiz.de/10010264478