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Heterogeneous beliefs and housing-market boom-bust cycles in a small open economy

Tomura, Hajime - 2009

This paper introduces heterogeneous beliefs among households in a small open economy model for the Canadian economy. The model suggests that simultaneous boom-bust cycles in house prices, output, investment, consumption and hours worked emerge when credit-constrained mortgage borrowers expect...

Persistent link: https://www.econbiz.de/10003852849

Bond liquidity premia

Fontaine, Jean-Sébastien; Garcia, René - 2009

. We measure the value of funding liquidity from the cross-section of on-the-run premia by adding a liquidity factor to an … arbitrage-free term structure model. As predicted, we find that funding liquidity explains the cross-section of risk premia. An … increase in the value of liquidity predicts lower risk premia for on-the-run and off-the-run bonds but higher risk premia on …

Persistent link: https://www.econbiz.de/10003933337

Resurrecting the role of real money balance effects

Dorich, José - 2009

I present a structural econometric analysis supporting the hypothesis that money is still relevant for shaping inflation and output dynamics in the United States. In particular, I find that real money balance effects are quantitatively important, although smaller than they used to be in the...

Persistent link: https://www.econbiz.de/10003933293

Risk premium shocks and the zero bound on nominal interest rates

Amano, Robert A.; Shukayev, Malik - 2009

There appears to be a disconnect between the importance of the zero bound on nominal interest rates in the real-world and predictions from quantitative DSGE models. Recent economic events have reinforced the relevance of the zero bound for monetary policy whereas quantitative models suggest that...

Persistent link: https://www.econbiz.de/10003933335

Exchange rate pass-through and monetary policy : how strong is the link?

Murchison, Stephen - 2009

Several authors have presented reduced-form evidence suggesting that the degree of exchange rate pass-through to the consumer price index has declined in Canada since the early 1980s and is currently close to zero. Taylor (2000) suggests that this phenomenon, which has been observed for several...

Persistent link: https://www.econbiz.de/10003933342