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Resolving the Spanning Puzzle in Macro-Finance Term Structure Models
Bauer, Michael D.; Rudebusch, Glenn D. - CESifo - 2015
Previous macro-finance term structure models (MTSMs) imply that macroeconomic state variables are spanned by (i.e., perfectly correlated with) model-implied bond yields. However, this theoretical implication appears inconsistent with regressions showing that much macroeconomic variation is...
Persistent link: https://www.econbiz.de/10011155372
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Around the World with Irving Fisher
Gylfason, Thorvaldur; Tómasson, Helgi; Zoega, Gylfi - CESifo - 2015
This paper aims to show why Irving Fisher’s own data on interest rates and inflation in New York, London, Paris, Berlin … changes in inflation, not even in the long run. In Fisher’s data, interest rates have more persistence than inflation and … change less than inflation over time. The Fisher effect is a misnomer unless it is taken to refer to what Fisher actually …
Persistent link: https://www.econbiz.de/10011205384
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Long-Term Interest Rates and Public Debt Maturity
Sakalauskaite, Ieva; Beetsma, Roel; Giuliodori, Massimo - CESifo - 2013
is stronger for countries with higher average inflation or debt. …
Persistent link: https://www.econbiz.de/10010697222
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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 mean (+), variance (-) and skewness (+) of the growth of aggregate consumption between 0 and <i>t</i>. The shape of the yield curve is thus determined by how these moments vary with <i>t</i>. We...
Persistent link: https://www.econbiz.de/10005094448
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Asset Pricing Implications of a New Keynesian Model: A Note
Heer, Burkhard; Klarl, Torben; Maussner, Alfred - CESifo - 2012
De Paoli, Scott, and Weeken [2010, Asset pricing implications of a New Keynesian model. Journal of Economic Dynamics and Control 34, 2056-73] study equity and bonds prices in a New Keynesian model with sticky nominal prices. This note argues that their model generates a behavior of the labor...
Persistent link: https://www.econbiz.de/10010599728
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An Extended Macro-Finance Model with Financial Factors
Dewachter, Hans; Iania, Leonardo - CESifo - 2010
This paper extends the benchmark Macro-Finance model by introducing, next to the standard macroeconomic factors, additional liquidity-related and return forecasting factors. Liquidity factors are obtained from a decomposition of the TED spread while the return-forecasting (risk premium) factor...
Persistent link: https://www.econbiz.de/10008572472
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The Great Mortgaging: Housing Finance, Crises, and Business Cycles
Jordà, Òscar; Schularick, Moritz; Taylor, Alan M. - CESifo - 2014
This paper unveils a new resource for macroeconomic research: a long-run dataset covering disaggregated bank credit for 17 advanced economies since 1870. The new data show that the share of mortgages on banks’ balance sheets doubled in the course of the 20th century, driven by a sharp rise of...
Persistent link: https://www.econbiz.de/10010948836
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Smells Like Fiscal Policy? Assessing the Potential Effectiveness of the ECB's OMT Program
Hristov, Nikolay; Hülsewig, Oliver; Siemsen, Thomas; … - CESifo - 2014
This paper explores the potential effectiveness of the ECB’s Outright Monetary Transaction (OMT) program in safeguarding an appropriate monetary policy transmission. Since the program aims at manipulating bank lending rates by conducting sovereign bond purchases on secondary markets, a stable...
Persistent link: https://www.econbiz.de/10010877947
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Hypnosis Before Wake-up Call?! The Revival of Sovereign Credit Risk Perception in the EMU-Crisis
Bordon, Ingo G.; Schmid, Kai D.; Schmidt, Michael - CESifo - 2014
This paper qualifies the view of pronounced overpricing of sovereign bonds for the so-called GIIPS countries during the financial crisis. We use annual data for 21 OECD countries from 1980 to 2012. As opposed to related studies, our data set allows us to contrast the pricing of macroeconomic...
Persistent link: https://www.econbiz.de/10010888450
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External Sovereign Debt in a Monetary Union: Bailouts and the Role of Corruption
Achury, Carolina; Koulovatianos, Christos; Tsoukalas, … - CESifo - 2011
We build a tractable stylized model of external sovereign debt and endogenous international interest rates. In corrupt economies with rent-seeking groups stealing public resources, a politico-economic equilibrium is characterized by permanent fiscal impatience which leads to excessive issuing of...
Persistent link: https://www.econbiz.de/10009228617