Narrow search
Showing 1 - 10 of 316
Cover Image
High Public Debt in Currency Crises: Fundamentals versus Signalling Effects
Benigno, Pierpaolo; Missale, Alessandro - C.E.P.R. Discussion Papers - 2001
This Paper examines how public debt, government credibility and external circumstances affect the probability of exchange rate devaluations in a three-period open-economy version of the Barro-Gordon (1983) model with nominal public debt. Public debt creates a link between current and future...
Persistent link: https://www.econbiz.de/10005791395
Cover Image
The Predictive Power of the Yield Spread: Further Evidence and A Structural Interpretation
Favero, Carlo A.; Kaminska, Iryna; Söderström, Ulf - C.E.P.R. Discussion Papers - 2005
inflation as predictors. We provide a possible structural interpretation of these results by allowing for time-varying risk … policy on output in an intertemporal Euler equation. We show that including a short-term interest rate and inflation in the … and inflation are difficult to interpret using a standard macroeconomic framework. A decomposition of the yield spread …
Persistent link: https://www.econbiz.de/10005791499
Cover Image
Why are Long Rates Sensitive to Monetary Policy?
Ellingsen, Tore; Söderström, Ulf - C.E.P.R. Discussion Papers - 2004
response is central bank private information about the state of the economy or about its own target for inflation. …
Persistent link: https://www.econbiz.de/10005792395
Cover Image
Taylor Rules and the Predictability of Interest Rates
Söderlind, Paul; Söderström, Ulf; Vredin, Anders - C.E.P.R. Discussion Papers - 2003
disentangle the effects, we study the predictability of all variables in a simple model of monetary policy: inflation, the output …
Persistent link: https://www.econbiz.de/10005123552
Cover Image
Should the Euro Area be Run as a Closed Economy?
Favero, Carlo A.; Giavazzi, Francesco - C.E.P.R. Discussion Papers - 2008
entirely explained by U.S. shocks and by the systematic response of U.S. and European variables (inflation, short term rates …
Persistent link: https://www.econbiz.de/10005136545
Cover Image
In Search of a Theory of Debt Management
Faraglia, Elisa; Marcet, Albert; Scott, Andrew - C.E.P.R. Discussion Papers - 2008
A growing literature integrates theories of debt management into models of optimal fiscal policy. One promising theory argues that the composition of government debt should be chosen so that fluctuations in the market value of debt offset changes in expected future deficits. This complete market...
Persistent link: https://www.econbiz.de/10005136601
Cover Image
Term Structure Forecasting: No-Arbitrage Restrictions vs Large Information Set
Favero, Carlo A.; Niu, Linlin; Sala, Luca - C.E.P.R. Discussion Papers - 2007
very effective in forecasting; d. within no-arbitrage models, assuming time-varying risk price is more favourable than … assuming constant risk price for medium horizon-maturity forecast when yield factors dominate the information set, and for …
Persistent link: https://www.econbiz.de/10005497801
Cover Image
The bond yield conundrum: alternative hypotheses and the state of the economy
Eijffinger, Sylvester C W; Mahieu, Ronald J; Raes, Louis - C.E.P.R. Discussion Papers - 2010
We study the bond yield conundrum in a macro-finance framework. Building upon a flexible and non-structural macro-finance model, we test the hypothesis that the bond yield conundrum is connected to various sources of uncertainty in the financial markets. Moreover we explicitly test for the role...
Persistent link: https://www.econbiz.de/10008682889
Cover Image
Modelling Long Bonds - The Case of Optimal Fiscal Policy
Faraglia, Elisa; Marcet, Albert; Scott, Andrew - C.E.P.R. Discussion Papers - 2014
We show how to model portfolio models in the presence of long bonds. Specifically we study optimal fiscal policy under incomplete markets where the government issues bonds of maturity N 1. Assuming the existence of long bonds introduces an additional intertemporal mechanism that makes taxes...
Persistent link: https://www.econbiz.de/10011083295
Cover Image
The Pruned State-Space System for Non-Linear DSGE Models: Theory and Empirical Applications
Andreasen, Martin M.; Fernández-Villaverde, Jesús; … - C.E.P.R. Discussion Papers - 2013
estimation for DSGE models approximated up to third-order and provides the foundation for indirect inference and SMM when …
Persistent link: https://www.econbiz.de/10011083616