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Level, Slope, Curvature: Characterising the Yield Curve in a Cointegrated VAR Model
Giese, Julia V. - Institut für Weltwirtschaft (IfW) - 2008
Empirical evidence on the expectations hypothesis of the term structure is in-conclusive and its validity widely debated. Using a cointegrated VAR model of US treasury yields, this paper extends a common approach to test the theory. If, as we find, spreads between two yields are non-stationary,...
Persistent link: https://www.econbiz.de/10005083365
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The Feldstein-Horioka paradox: A selective survey of the literature
Lapp, Susanne - Institut für Weltwirtschaft (IfW) - 1996
The paper provides a selective survey of the literature on the Feldstein-Horioka paradox. The observed high correlation between national savings and domestic investment emerges as a robust empirical regularity. If this regularity is to be attributed to low capital mobility (due to government...
Persistent link: https://www.econbiz.de/10009276713
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Energy Saving Technology Diffusion via FDI and Trade: A CGE Model of China
Hübler, Michael - Institut für Weltwirtschaft (IfW) - 2009
model for climate policy analyses. It analyzes China’s accession to a Post Kyoto emission regime that keeps global emissions …, China will become a net seller of emission permits and steadily reduce emissions, possibly below their 2004 level until 2030 … on Chinese welfare will not significantly change when China joins the Post Kyoto regime …
Persistent link: https://www.econbiz.de/10005818849
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Announcements of ECB Unconventional Programs: Implications for the Sovereign Risk of Italy
Falagiarda, Matteo; Reitz, Stefan - Institut für Weltwirtschaft (IfW) - 2013
This paper studies the effects of ECB communications about unconventional monetary policy operations on the perceived sovereign risk of Italy over the last five years. More than fifty events concerning non-standard operations are identified and classified with respect to the specific ECB...
Persistent link: https://www.econbiz.de/10010886951
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Should We Discount the Far-Distant Future at Its Lowest Possible Rate?
Gollier, Christian - Institut für Weltwirtschaft (IfW) - 2009
In this paper, we elaborate on an idea initially developed by Weitzman (1998) that justifies taking the lowest possible discount rate for far-distant future cash flows. His argument relies on the arbitrary assumption that when the future rate of return of capital (RRC) is uncertain, one should...
Persistent link: https://www.econbiz.de/10005083338
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Debt and Interest Rates: The U.S. and the Euro Area
Frankel, Jeffrey; Chinn, Menzie D. - Institut für Weltwirtschaft (IfW) - 2007
We find that real interest rates paid on government debt depend significantly upon current and expected future levels of debt, in Europe as in the US. But this result only emerges when we condition on foreign interest rates, illustrating financial international integration. The previously strong...
Persistent link: https://www.econbiz.de/10005083400
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Determinants of the expected real long-term interest rates in the G7-countries
Krämer, Jörg W. - Institut für Weltwirtschaft (IfW) - 1996
The paper investigates which factors determine the expected real long-term interest rates of the G7-countries as a whole within a single equation error correction model. Inflationary expectations are generated using the low frequency component of inflation provided by the Hodrick-Prescott...
Persistent link: https://www.econbiz.de/10009276751
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Determinants of government bond spreads in the Euro area – in good times as in bad
Aßmann, Christian; Hogrefe, Jens - Institut für Weltwirtschaft (IfW) - 2009
Despite the single currency, yields on government bonds in the Euro Area deviate from German bond yields. These bond spreads are usually attributed to differing default and liquidity risks. Recent research points out that time-varying global factors, approximated by risk measures or short term...
Persistent link: https://www.econbiz.de/10005026904
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Circuit theory extended: The role of speculation in crises
Lancastle, Neil - Institut für Weltwirtschaft (IfW) - 2012
This paper asks why modern finance theory and the efficient market hypothesis have failed to explain long-term carry trades; persistent asset bubbles or zero lower bounds; and financial crises. It extends Keen (Solving the Paradox of Monetary Profits, 2010) and the Theory of the Monetary Circuit...
Persistent link: https://www.econbiz.de/10010983167
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Yes, we should discount the far-distant future at its lowest possible rate: a resolution of the Weitzman-Gollier puzzle
Freeman, Mark C. - Institut für Weltwirtschaft (IfW) - 2009
In this paper the author proves that the Expected Net Future Value (ENFV) criterion can lead a risk neutral social planner to reject projects that increase expected utility. By contrast, the Expected Net Present Value (ENPV) rule correctly identifies the economic value of the project. While the...
Persistent link: https://www.econbiz.de/10008561126