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The Response of Stock Market Volatility to Futures-Based Measures of Monetary Policy Shocks
Gospodinov, Nikolay; Jamali, Ibrahim - Federal Reserve Bank of Atlanta - 2014
In this paper, we investigate the dynamic response of stock market volatility to changes in monetary policy. Using a … vector autoregressive model, our findings reveal a significant and asymmetric response of stock returns and volatility to … monetary policy shocks. Although the increase in the volatility risk premium, futures-trading volume, and leverage appear to …
Persistent link: https://www.econbiz.de/10010942124
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A model of the Twin Ds: optimal default and devaluation
Schmitt-Grohé, Stephanie Schmitt-Grohe; Uribe, Martin; … - Federal Reserve Bank of Atlanta - 2015
This paper characterizes jointly optimal default and exchange-rate policy in a small open economy with limited enforcement of debt contracts and downward nominal wage rigidity. Under optimal policy, default occurs during contractions and is accompanied by large devaluations. The latter inflate...
Persistent link: https://www.econbiz.de/10011254937
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Economic review
Federal Reserve Bank of Atlanta - Atlanta, Ga. - 62.1977,5 - 92.2007
Persistent link: https://www.econbiz.de/10000463578
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Economic review
Federal Reserve Bank of Atlanta - Atlanta, Ga. : The Federal Reserve Bank; … - Nachgewiesen 72.1987 - 95.2010,3; damit Ersch. eingest.
Persistent link: https://www.econbiz.de/10001637434
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Empirical tests of two state-variable HJM models
Bliss, Robert R.; Ritchken, Peter - Federal Reserve Bank of Atlanta - 1995
volatility structure imposed on forward rates. For most general HJM structures the resultant path dependence creates … volatility structures of forward rates that enable the term structure dynamics to be captured by a finite set of state variables …. The class is quite rich. The instantaneous spot rate volatility may be quite general, but the model curtails the structure …
Persistent link: https://www.econbiz.de/10005401851
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Testing term structure estimation methods
Bliss, Robert R. - Federal Reserve Bank of Atlanta - 1996
This paper tests and compares five distinct methods for estimating the term structure. The Unsmoothed Fama-Bliss method is an iterative method by which the discount rate function is built up by computing the forward rate necessary to price successively longer maturity bonds. The Smoothed...
Persistent link: https://www.econbiz.de/10005401949
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Endogenous term premia and anomalies in the term structure of interest rates: explaining the predictability smile
Roberds, William; Whiteman, Charles H. - Federal Reserve Bank of Atlanta - 1996
Recent studies have documented the existence of a "predictability smile" in the term structure of interest rates: spreads between long maturity rates and short rates predict subsequent movements in interest rates provided the long horizon is three months or less or if the long horizon is two...
Persistent link: https://www.econbiz.de/10005402004
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Death of a Reserve Currency
Quinn, Stephen; Roberds, William - Federal Reserve Bank of Atlanta - 2014
The Dutch bank florin was the dominant currency in Europe during much of the 17th and 18th centuries. The florin, a fiat money, was managed by an early central bank, the Bank of Amsterdam. Using a new reconstruction of the Bank of Amsterdam's balance sheet, we analyze the florin's loss of...
Persistent link: https://www.econbiz.de/10010942125
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Early Public Banks
Roberds, William; Velde, Francois - Federal Reserve Bank of Atlanta - 2014
Publicly owned or commissioned banks were common in Europe from the 15th century. This survey argues that while the early public banks were characterized by great experimentation in their design, a common goal was to create a liquid and reliable monetary asset in environments where such assets...
Persistent link: https://www.econbiz.de/10010942501
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The efficiency of private e-money-like systems: the U.S. experience with national bank notes
Weber, Warren - Federal Reserve Bank of Atlanta - 2015
Beginning in 1864, in the United States notes of national banks were the predominant medium of exchange. Each national bank issued its own notes. E-money shares many of the characteristics of these bank notes. This paper describes some lessons relevant to e money from the U.S. experience with...
Persistent link: https://www.econbiz.de/10011241657