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Understanding the High Interest Rates on Italian Government Securities
Giovannini, Alberto; Piga, Gustavo - C.E.P.R. Discussion Papers - 1992
This paper discusses several determinants of the differential between yields on Italian government securities and yields on foreign government securities. We concentrate on expectations of (at least partial) insolvency, tax factors and exchange rate expectations. The evidence suggests that most...
Persistent link: https://www.econbiz.de/10005114342
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Noise Trading and Exchange Rate Regimes
Jeanne, Olivier; Rose, Andrew K - C.E.P.R. Discussion Papers - 1999
both create and share the risk associated with exchange rate volatility. In such circumstances, monetary policy can be used … of noise traders alters the composition of the market and generates excess exchange rate volatility, since noise traders … to lower exchange rate volatility without altering macroeconomic fundamentals. …
Persistent link: https://www.econbiz.de/10005666966
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Preferred Risk Habitat of Individual Investors
Dorn, Daniel; Huberman, Gur - C.E.P.R. Discussion Papers - 2007
commensurate with their risk aversion; more risk-averse individuals pick lower-volatility stocks. The investors' portfolio …The preferred risk habitat hypothesis, introduced here, is that individual investors select stocks with volatilities … consistent with the predictions of the hypothesis: the portfolios contain highly similar stocks in terms of volatility, when …
Persistent link: https://www.econbiz.de/10005067451
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Time-Varying Business Volatility, Price Setting, and the Real Effects of Monetary Policy
Bachmann, Rüdiger; Born, Benjamin; Elstner, Steffen; … - C.E.P.R. Discussion Papers - 2013
Does time-varying business volatility affect the price setting of firms and thus the transmission of monetary policy … Climate Survey the impact of idiosyncratic volatility on the price setting behavior of firms. In a second step, we use a … calibrated New Keynesian business cycle model to gauge the effects of time-varying volatility on the transmission of monetary …
Persistent link: https://www.econbiz.de/10011083687
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Asset Return Dynamics Under Bad Environment-Good Environment Fundamentals
Bekaert, Geert; Engstrom, Eric - C.E.P.R. Discussion Papers - 2010
-varying volatility, skewness and kurtosis in fundamentals while still permitting closed-form solutions for asset prices. The model not … only fits standard salient asset prices features including means and volatilities for equity returns and risk free rates …
Persistent link: https://www.econbiz.de/10008784728
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Investment Shocks and Business Cycles
Justiniano, Alejandro; Primiceri, Giorgio E; … - C.E.P.R. Discussion Papers - 2008
Shocks to the marginal efficiency of investment are the most important drivers of business cycle fluctuations in US output and hours. Moreover, these disturbances drive prices higher in expansions, like a textbook demand shock. We reach these conclusions by estimating a DSGE model with several...
Persistent link: https://www.econbiz.de/10005791592
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Testing a DSGE Model of the EU Using Indirect Inference
Meenagh, David; Minford, Patrick; Wickens, Michael R. - C.E.P.R. Discussion Papers - 2008
We use the method of indirect inference, using the bootstrap, to test the Smets and Wouters model of the EU against a VAR auxiliary equation describing their data; the test is based on the Wald statistic. We find that their model generates excessive variance compared with the data. But their...
Persistent link: https://www.econbiz.de/10005791817
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A Model-Based Evaluation of the Debate on the Size of the Tax Multiplier
Chahrour, Ryan; Schmitt-Grohé, Stephanie; Uribe, Martín - C.E.P.R. Discussion Papers - 2010
The SVAR and narrative approaches to estimating tax multipliers deliver significantly different results. The former yields multipliers of about 1 percent, whereas the latter produces much larger multipliers of about 3 percent. The SVAR and narrative approaches differ along two important...
Persistent link: https://www.econbiz.de/10008554233
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Is There a Fiscal Free Lunch in a Liquidity Trap?
Erceg, Christopher; Lindé, Jesper - C.E.P.R. Discussion Papers - 2010
This paper uses a DSGE model to examine the effects of an expansion in government spending in a liquidity trap. The spending multiplier can be much larger than in the normal situation if the liquidity trap is very prolonged, and the budgetary costs minimal. But given this "fiscal free lunch," it...
Persistent link: https://www.econbiz.de/10008468666
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Re-Evaluating Swedish Membership in EMU: Evidence from an Estimated Model
Söderström, Ulf - C.E.P.R. Discussion Papers - 2008
I revisit the potential costs and benefits for Sweden of joining the Economic and Monetary Union (EMU) of the European Union. I first show that the Swedish business cycle since the mid-1990s has been closely correlated with the Euro area economies, suggesting that common shocks have been an...
Persistent link: https://www.econbiz.de/10005124237