Showing 1 - 10 of 24
Persistent link: https://www.econbiz.de/10005410840
This paper tests the effects of central bank intervention on the ex ante volatility of $/DM and $/Yen exchange rates. In contrast to previous research which employed GARCH estimates of conditional volatility, we estimate ex ante volatility using the implied volatilities of currency options...
Persistent link: https://www.econbiz.de/10005410684
This paper tries to grasp banks' motivation for entering derivative markets. The motivation question is interesting for the following reason: if banks' main motivation for using derivatives is speculation, derivatives are likely to increase the risk to banks' capital and thus increase the cost...
Persistent link: https://www.econbiz.de/10005410739
Persistent link: https://www.econbiz.de/10005515012
Market analysts often forecast changes in stock prices by comparing earnings-price ratios on stocks to nominal interest rates. This paper shows that stock prices have followed inflation more closely than interest rates over the last thirty years. This result has implications for recent stock...
Persistent link: https://www.econbiz.de/10005515016
Persistent link: https://www.econbiz.de/10005515018
Ignoring the existence of the zero bound on nominal interest rates one considerably understates the value of monetary commitment in New Keynesian models. A stochastic forward-looking model with an occasionally binding lower bound, calibrated to the U.S. economy, suggests that low values for the...
Persistent link: https://www.econbiz.de/10005515025
Persistent link: https://www.econbiz.de/10005515050
In inflation targeting (IT) regimes, the Monetary Authority announces an explicit objective, the target for inflation. However, other objectives that possibly conflict with the inflation goal are present, such as keeping output close to its potential level and the stability of financial markets....
Persistent link: https://www.econbiz.de/10005410707
Persistent link: https://www.econbiz.de/10005410719