Showing 1 - 10 of 27
An analysis of how central-bank exchange-market intervention can affect both the level of exchange rates and the risk premium in asset returns, showing how the risk premium is related to the conditional variances of intervention and other exogenous processes.
Persistent link: https://www.econbiz.de/10005526622
A look at whether the United States' decision to cease intervention after March 1981 had a perceptible influence on the day-to-day behavior of exchange rates, using the stable paretian distribution.
Persistent link: https://www.econbiz.de/10005428235
Sterilized intervention is generally ineffective. Countries that conduct monetary policy using an overnight, interbank rate as an intermediate target automatically sterilize their interventions. Nonsterilized interventions can influence nominal exchange rates, but they conflict with price...
Persistent link: https://www.econbiz.de/10005428268
This paper utilizes recent research developments in portfolio balance theory and in real exchange-rate instability to synthesize, update, and test the optimum currency area (OCA) theory. Four hypotheses, capturing the central features of the OCA theory, are advanced and tested in a...
Persistent link: https://www.econbiz.de/10005428328
A development of a simple model in which interest rate claims are priced in the Heath-Jarrow-Morton paradigm and so incorporate full information on the term structure. The volatility structure for forward rates is humped and includes as a special case the exponentially dampened volatility...
Persistent link: https://www.econbiz.de/10005526596
A discussion of the circumstances under which interest rate rules are consistent with nominal determinacy in macroeconomic models.
Persistent link: https://www.econbiz.de/10005526598
A discussion of how mortgage lenders might use posted lending terms to signal both their eagerness to take new loan applications and their lending standards.
Persistent link: https://www.econbiz.de/10005526604
What are the economic effects of an interest rate cut when an economy is in the midst of a financial crisis? Under what conditions will a cut stimulate output and employment, and raise welfare? Under which will it have the opposite effects? The authors answer these questions in a general class...
Persistent link: https://www.econbiz.de/10005526624
Using the yield curve helps forecast real growth over the period 1875 to 1997. Using both the level and slope of the curve improves forecasts more than using either variable alone. Forecast performance changes over time and depends somewhat on whether recursive or rolling out of sample...
Persistent link: https://www.econbiz.de/10005526633
The authors analyze the restrictions necessary to ensure that the interest-rate policy rule used by the central bank does not introduce real indeterminacy into the economy. They conduct this analysis in a flexible price economy and a sticky price model that satisfies the natural rate hypothesis....
Persistent link: https://www.econbiz.de/10005526653