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Macroeconomic evolution after a shock: the role for financial intermediation

Vinogradov, Dmitri - EconWPA - 2003

An overlapping generations model with two production factors and two types of agents is considered in presence of …nancial intermediation. The research focuses at the analysis of the consequences of a suddain negative production shock on a …nancial intermediation capacities and consequently...

Persistent link: https://www.econbiz.de/10005126268

Banks versus Markets in Processing the Payments Shock

Vinogradov, Dmitri - EconWPA - 2005

The paper focuses on a comparison of bank-based andmarket-based …nancial systems with respect to their ability to smooth the negative consequences of a macroeconomic shock. The model describes a two-market OLG economy with two types of agents (workers and entrepreneurs) and a financial system...

Persistent link: https://www.econbiz.de/10005134734

Expectations, Bond Yields and Monetary Policy

Chun, Albert Lee - EconWPA - 2005

Through explicitly incorporating analysts' forecasts as observable factors in a dynamic arbitrage- free model of the yield curve, this paper proposes a framework for studying the impact of shifts in market sentiment on interest rates of all maturities. An empirical examination reveals that...

Persistent link: https://www.econbiz.de/10005076986

Collateral Constraints in a Monetary Economy

Cordoba, Juan Carlos; Ripoll, Marla - EconWPA - 2003

This paper studies the role of collateral constraints in transforming small monetary shocks into large persistent output fluctuations. We do this by introducing money in the heterogeneous-agent real economy of Kiyotaki and Moore (1997). Money enters in a cash-in-advance constraint and is...

Persistent link: https://www.econbiz.de/10005126270

Bank interest rates in a small European economy: Some exploratory macro level analyses using Finnish data

Kauko, Karlo - EconWPA - 2005

This paper presents econometric analyses on the determination of bank deposit and lending rates using longitudinal Finnish data. Interest rate pass-through is very strong, possibly complete, in the case of lending rates; in the case of deposit rates the pass-through is far from complete, even in...

Persistent link: https://www.econbiz.de/10005134950

The CNB’s Policy Decisions – Are They Priced in by the Markets?

Navrátil, David; Kotlán, Viktor - EconWPA - 2005

This paper asks to what extent the market prices in the future monetary policy decisions of the Czech National Bank (CNB), how this policy predictability has evolved over time, and whether the change in the central bank’s forecasting methodology in mid-2002 had any impact. Using a sample up to...

Persistent link: https://www.econbiz.de/10005561116

Liquidity Trap Prevention and Escape: A Simple Proposition

Cai, Junning - EconWPA - 2004

Liquidity traps occur when the natural nominal interest rate becomes negative. In a model with capital price dynamics explicitly considered, we find that shocks in the future can cause current and lasting liquidity traps. We propose that the central bank can prevent or fix liquidity traps by...

Persistent link: https://www.econbiz.de/10005561118

Extracting growth and inflation expectations from financial market data

Kajanoja, Lauri - EconWPA - 2004

This study presents a framework for extracting long-run GDP growth and inflation expectations from financial market data on a real-time basis. The framework uses information from both stock and bond markets. It builds on a dividend discount model of stock valuation and on a linearized...

Persistent link: https://www.econbiz.de/10005126246

Uncovered Interest Rate Parity Over the Past Two Centuries

Lothian, James R.; Wu, Liuren - EconWPA - 2003

Uncovered interest rate parity (UIP) is one of three key theoretical relations used in analytical work in both … international finance and international monetary economics. The problem, however, is that UIP does not seem to hold up well … empirically. In this paper, we argue that the failures of UIP that have been so widely documented are a coincidence of two …

Persistent link: https://www.econbiz.de/10005408192

Variance Risk Premia

Carr, Peter; Wu, Liuren - EconWPA - 2004

We propose a direct and robust method for quantifying the variance risk premium on financial assets. We theoretically … between the realized variance and this synthetic variance swap rate quantifies the variance risk premium. Using a large …

Persistent link: https://www.econbiz.de/10005413197

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