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The Term Structure of Real Interest Rates: Theory and Evidence from UK Index-Linked Bonds
Seppälä, Juha - Suomen Pankki - 2000
This paper studies the behavior of the default-risk-free real term structure and term premia in two general equilibrium endowment economies with complete markets but without money. In the first economy there are no frictions as in Lucas (1978) and in the second risk-sharing is limited by the...
Persistent link: https://www.econbiz.de/10005648948
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Asset Pricing with Uncertain Betas: A Long-Term Perspective
Gollier, Christian - CESifo - 2013
How should one evaluate investment projects whose CCAPM betas are uncertain? This question is particularly crucial for projects yielding long-lasting impacts on the economy, as is the case for example for many green investments. We define the notion of a certainty equivalent beta. We show that...
Persistent link: https://www.econbiz.de/10010877682
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Evaluation of Long-Dated Investments under Uncertain Growth Trend, Volatility and Catastrophes
Gollier, Christian - CESifo - 2012
Because of the uncertainty about how to model the growth process of our economy, there is still much confusion about which discount rates should be used to evaluate actions having long-lasting impacts, as in the contexts of climate change, social security reforms or large public infrastructures...
Persistent link: https://www.econbiz.de/10010603851
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The Consumption-Based Determinants of the Term Structure of Discount Rates
Gollier, Christian - CESifo - 2005
The efficient rate of return of a zero-coupon bond with maturity <i>t</i> is determined by our expectations about the …
Persistent link: https://www.econbiz.de/10005094448
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ECB Interventions in Distressed Sovereign Debt Markets: The Case of Greek Bonds
Trebesch, Christoph; Zettelmeyer, Jeromin - CESifo - 2014
Greek government bond market in mid-2010 and use a unique new dataset to show, for the first time, what type of bonds the … ECB bought. We then explore the short-term effects of ECB purchases at the bond-level. The results show a large impact of … bought. This is consistent with theories of “local supply effects” in segmented or illiquid bond markets. …
Persistent link: https://www.econbiz.de/10010756163
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How Should the Distant Future be Discounted when Discount Rates are Uncertain?
Gollier, Christian; Weitzman, Martin L. - CESifo - 2009
It is not immediately clear how to discount distant-future events, like climate change, when the distant-future discount rate itself is uncertain. The so-called “Weitzman-Gollier puzzle” is the fact that two seemingly symmetric and equally plausible ways of dealing with uncertain future...
Persistent link: https://www.econbiz.de/10008534029
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Common Trends and Common Cycles among Interest Rates of the G7-Countries
Lindenberg, Nannette; Westermann, Frank - CESifo - 2009
In this paper we re-investigate the comovements of interest rates in the G7-countries. We propose a structured modus operandi to analyze the time series characteristics of interest rates and to test for common features. We conduct cointegration, serial correlation common feature and codependence...
Persistent link: https://www.econbiz.de/10005405925
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Monetary policy and rejections of the expectations hypothesis
Ravenna, Federico; Seppälä, Juha - Suomen Pankki - 2006
We study the rejection of the expectations hypothesis within a New Keynesian business cycle model. Earlier research has shown that the Lucas general equilibrium asset pricing model can account for neither sign nor magnitude of average risk premia in forward prices, and is unable to explain...
Persistent link: https://www.econbiz.de/10005648886
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Monetary policy, expected inflation and inflation risk premia
Ravenna, Federico; Seppälä, Juha - Suomen Pankki - 2007
Within a New Keynesian business cycle model, we study variables that are normally unobservable but are very important for the conduct of monetary policy, namely expected inflation and inflation risk premia. We solve the model using a third-order approximation that allows us to study time-varying...
Persistent link: https://www.econbiz.de/10005648925
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A continuous-time model of the term structure of interest rates with fiscal-monetary policy interactions
Marzo, Massimiliano; Romagnoli, Silvia; Zagaglia, Paolo - Suomen Pankki - 2008
We study the term structure implications of the fiscal theory of price level determination. We introduce the intertemporal budget constraint of the government in a general equilibrium model in continuous time. Fiscal policy is set according to a simple rule whereby taxes react proportionally to...
Persistent link: https://www.econbiz.de/10005648966