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Do We Need Multi-Country Models to Explain Exchange Rate, Interest Rate and Bond Return Dynamics?

Hodrick, Robert J; Vassalou, Maria - C.E.P.R. Discussion Papers - 2001

This Paper examines characterizations of the dynamics for first and second moments of the one-month interest rate, the 12-month excess bond return and exchange rates. The countries considered are the US, Germany, Japan and the UK. Our tests are based on the implications of multi-country versions...

Persistent link: https://www.econbiz.de/10005123846

Testing Uncovered Interest Parity: A Continuous-Time Approach

Diez de los Rios, Antonio; Sentana, Enrique - C.E.P.R. Discussion Papers - 2007

Nowadays researchers can choose the sampling frequency of exchange rates and interest rates. If the number of observations per contract period is large relative to the sample size, standard GMM asymptotic theory provides unreliable inferences in UIP regression tests. We specify a bivariate...

Persistent link: https://www.econbiz.de/10005067657

The Econometric Analysis of Risk Terms

Pagan, Adrian; Ullah, Aman - C.E.P.R. Discussion Papers - 1986

This paper provides a critical survey of the methods employed to model the effects of risk in econometric models. Most of the popular methods are shown to suffer from errors-in-variables bias, and an instrumental variable method is suggested to overcome this problem. The technique exploits the...

Persistent link: https://www.econbiz.de/10005498189

New Techniques to Extract Market Expectations from Financial Instruments

Söderlind, Paul; Svensson, Lars E O - C.E.P.R. Discussion Papers - 1997

This paper is a selective survey of new or recent methods to extract information about market expectations from asset prices for monetary policy purposes. Traditionally, interest rates and forward exchange rates have been used to extract expected means of future interest rates, exchange rates...

Persistent link: https://www.econbiz.de/10005504605

The International Transmission of Credit Bubbles: Theory and Policy

Martin, Alberto; Ventura, Jaume - C.E.P.R. Discussion Papers - 2015

We live in a new world economy characterized by financial globalization and historically low interest rates. This environment is conducive to countries experiencing credit bubbles that have large macroeconomic effects at home and are quickly propagated abroad. In previous work, we built on the...

Persistent link: https://www.econbiz.de/10011165659

Is the European Monetary System a DM-Zone?

De Grauwe, Paul - C.E.P.R. Discussion Papers - 1989

In this paper we analyze issues of symmetry and asymmetry in the workings of the EMS. We first measure how interest rates react to speculative disturbances. We find that despite the fact that speculative shocks have usually forced the offshore interest rates of the weak currencies to increase by...

Persistent link: https://www.econbiz.de/10005281408

Threat of a Capital Levy, Expected Devaluation and Interest Rates in Inter-War France

Sicsic, Pierre - C.E.P.R. Discussion Papers - 1998

The aim of this paper is to isolate and measure the respective importance of political and economic aspects in two critical episodes of the French inter-war period: the stabilization process of the mid-1920s and the reluctance to abandon the gold standard during the 1930s. We do this by...

Persistent link: https://www.econbiz.de/10005662302

An Equilibrium Model of 'Global Imbalances' and Low Interest Rates

Caballero, Ricardo; Farhi, Emmanuel; Gourinchas, … - C.E.P.R. Discussion Papers - 2006

Three of the most important recent facts in global macroeconomics - the sustained rise in the US current account deficit, the stubborn decline in long run real rates, and the rise in the share of US assets in global portfolio - appear as anomalies from the perspective of conventional wisdom and...

Persistent link: https://www.econbiz.de/10005666722

Extracting Expectations about 1992 UK Monetary Policy from Option Prices

Söderlind, Paul - C.E.P.R. Discussion Papers - 1998

The UK pound left the ERM on 16 September 1992 after a period of turbulence. UK monetary policy soon shifted to lower short interest rates and an inflation target was announced. This paper uses daily option prices to estimate how the market’s probability distribution of the future Deutsche...

Persistent link: https://www.econbiz.de/10005791268

Monetary transmission in low income countries

Mishra, Prachi; Montiel, Peter J; Spilimbergo, Antonio - C.E.P.R. Discussion Papers - 2010

framework prevalent in LICs drastically reduces the role of securities markets and increases the cost of bank lending to private … properly, the traditional monetary transmission channels (interest rate, bank lending, and asset price) are impaired. The … exchange rate channel, on the other hand, tends to be undermined by central bank intervention in the foreign exchange market …

Persistent link: https://www.econbiz.de/10008466328

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