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Bailout Uncertainty in a Microfounded General Equilibrium Model of the Financial System
Cukierman, Alex; Izhakian, Yehuda - C.E.P.R. Discussion Papers - 2011
, ultimate lenders and financial intermediaries. The model is used to investigate the impact of uncertainty about the likelihood … between risk and uncertainty is implemented by applying the Gilboa-Schmeidler maxmin with multiple priors framework to lenders … include: (i) An unanticipated increase in bailout uncertainty raises interest rates, the volume of defaults in both the real …
Persistent link: https://www.econbiz.de/10009144737
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Impact of uncertainty on high frequency response of the U.S. stock markets to the Fed's policy surprises
Marfatia, Hardik A. - In: The Quarterly Review of Economics and Finance 54 (2014) 3, pp. 382-392
This paper examines the impact of uncertainty on estimated response of stock returns to U.S. monetary policy surprise … and the level of uncertainty in the economy. Using high frequency daily data from the Federal funds futures market, we … measures of uncertainty. Evidence suggests a significant negative relationship between the level of uncertainty and the time …
Persistent link: https://www.econbiz.de/10010906233
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Real-Time Model Uncertainty in the United States: the Fed from 1996-2003
Ironside, Brian; Tetlow, Robert J. - C.E.P.R. Discussion Papers - 2005
compare these optimal rules against plausible alternatives. Model uncertainty is shown to be a substantial problem; the … rules are robust to model uncertainty may be an overly sanguine conclusion. …
Persistent link: https://www.econbiz.de/10005662266
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Bailout uncertainty in a microfounded general equilibrium model of the financial system
Cukierman, Alex; Izhakian, Yehuda - In: Journal of Banking & Finance 52 (2015) C, pp. 160-179
, ultimate lenders and financial intermediaries. The model is used to investigate the impact of uncertainty about the likelihood … between risk and uncertainty is implemented by applying the multiple priors framework to beliefs about the probability of …
Persistent link: https://www.econbiz.de/10011209863
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Min-max controllable risk problems
Gurevsky, Evgeny; Kovalev, Sergey; Kovalyov, Mikhail Y. - In: 4OR : quarterly journal of the Belgian, French and … 19 (2021) 1, pp. 93-101
Persistent link: https://www.econbiz.de/10012495037
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Monetary Policy in a Data-Rich Environment
Bernanke, Ben S.; Boivin, Jean - National Bureau of Economic Research (NBER) - 2001
Most empirical analyses of monetary policy have been confined to frameworks in which the Federal Reserve is implicitly assumed to exploit only a limited amount of information, despite the fact that the Fed actively monitors literally thousands of economic time series. This article explores the...
Persistent link: https://www.econbiz.de/10005828487
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Inflation and the User Cost of Capital: Does Inflation Still Matter?
hassett, kevin allen; Cohen, Darrel; Hubbard, R. Glenn - National Bureau of Economic Research (NBER) - 1997
In the late 1970s, many economists argued that the deleterious effects of inflation on the user cost of capital for U.S. firms were large. Since that time, the tax code has changed, the level of inflation has dropped significantly, and the of investment has evolved considerably. In this paper,...
Persistent link: https://www.econbiz.de/10005828587
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Inflation Targeting: A New Framework for Monetary Policy?
Bernanke, Ben S.; Mishkin, Frederic - National Bureau of Economic Research (NBER) - 1997
In recent years a number of industrialized countries have adopted a strategy for monetary policy known as `inflation targeting.' We describe how this approach has been implemented in practice and argue that it is best understood as a broad framework for policy, which allows the central bank...
Persistent link: https://www.econbiz.de/10005828609
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Monetary Policy and Inflation in the 1980s: A Personal View
Feldstein, Martin S. - National Bureau of Economic Research (NBER) - 1993
This paper, which was written as a part of the NBER project on American economic policy in the 1980s, reviews some of the major changes in monetary policy during that period. The paper tries to explain why policies changed in the way that they did and looks particularly at the role of economists...
Persistent link: https://www.econbiz.de/10005828617
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Multiple-Solution Indeterminacies in Monetary Policy Analysis
McCallum, Bennett T. - National Bureau of Economic Research (NBER) - 2003
This paper discusses four current topics in monetary policy analysis, each of which hinges on the possibility of multiple solutions in rational expectations (RE) models. In three of these cases--involving inflation forecast targeting, the zero-lower bound deflation trap, and the fiscal theory of...
Persistent link: https://www.econbiz.de/10005829023