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Exchange Rate Flexibility under the Zero Lower Bound
Cook, David; Devereux, Michael B - C.E.P.R. Discussion Papers - 2014
An independent currency and a flexible exchange rate generally helps a country in adjusting to macroeconomic shocks. But recently in many countries, interest rates have been pushed down close to the lower bound, limiting the ability of policy-makers to accommodate shocks, even in countries with...
Persistent link: https://www.econbiz.de/10011083336
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Risk, Uncertainty and Asset Prices
Bekaert, Geert; Engstrom, Eric; Xing, Yuhang - C.E.P.R. Discussion Papers - 2006
We identify the relative importance of changes in the conditional variance of fundamentals (which we call "uncertainty …") and changes in risk aversion ("risk" for short) in the determination of the term structure, equity prices and risk … premiums. Theoretically, we introduce persistent time-varying uncertainty about the fundamentals in an external habit model …
Persistent link: https://www.econbiz.de/10005124333
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Short and Long Interest Rate Targets
Adão, Bernardino; Correia, Isabel; Teles, Pedro - C.E.P.R. Discussion Papers - 2010
We show that short and long nominal interest rates are independent monetary policy instruments. The pegging of both helps solving the problem of multiplicity that arises when only short rates are used as the instrument of policy. A peg of the nominal returns on assets of different maturities is...
Persistent link: https://www.econbiz.de/10008554242
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Tobin's Imperfect Asset Substitution in Optimizing General Equilibrium
Andrés, Javier; López-Salido, J David; Nelson, Edward - C.E.P.R. Discussion Papers - 2004
’s supply affects both the yield on that asset and the spread or ‘risk premium’ between returns on that asset and alternative … expectations theory of the term structure can be traced to movements in the relative stocks of financial assets. The richer …
Persistent link: https://www.econbiz.de/10005123931
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Inertia in Taylor Rules
Driffill, John; Rotondi, Zeno - C.E.P.R. Discussion Papers - 2007
The inertia found in econometric estimates of interest rate rules is a continuing puzzle. Many reasons for it have been offered, though unsatisfactorily, and the issue remains open. In the empirical literature on interest rate rules, inertia in setting interest rates is typically modelled by...
Persistent link: https://www.econbiz.de/10005067434
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The Term Structure of Interest Rates, Structural Stability and Macroeconomic Policy Changes in the UK
Driffill, John - C.E.P.R. Discussion Papers - 1990
, on a number of basic tests. Their relationship with yields on treasury bills, however, is not consistent with the theory … unless an autoregressive risk premium is introduced into the holding period yield on long bonds. The only evidence of a …
Persistent link: https://www.econbiz.de/10005281377
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Should the Euro Area be Run as a Closed Economy?
Favero, Carlo A.; Giavazzi, Francesco - C.E.P.R. Discussion Papers - 2008
The European Economic and Monetary Union (EMU) has created a new economic area, larger and closer with respect to the rest of the world. Area-specific shocks are thus more important in EMU than country-specific shocks used to be in the previous states, e.g. in Germany. It is thus not surprising...
Persistent link: https://www.econbiz.de/10005136545
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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
-finance model, we test the hypothesis that the bond yield conundrum is connected to various sources of uncertainty in the financial …
Persistent link: https://www.econbiz.de/10008682889
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Monetary transmission in low income countries
Mishra, Prachi; Montiel, Peter J; Spilimbergo, Antonio - C.E.P.R. Discussion Papers - 2010
This paper reviews the monetary transmission mechanism in low income countries (LICs). We use monetary transmission in advanced and emerging markets as a benchmark to identify aspects of the transmission mechanism that may operate differently in LICs. In particular, we focus on the effects of...
Persistent link: https://www.econbiz.de/10008466328
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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
between risk and uncertainty is implemented by applying the Gilboa-Schmeidler maxmin with multiple priors framework to lenders …, ultimate lenders and financial intermediaries. The model is used to investigate the impact of uncertainty about the likelihood … 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