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The Foreign Exchange Risk Premium in a Target Zone with Devaluation Risk

Svensson, Lars E.O. - 1990

The foreign exchange risk premium in an exchange rate target zone regime with devaluation/realignment risks is derived … devaluation/realignment risk, is taken into account. The risk premium is then the sum of two separate risk premia, arising from … real and nominal exchange rate premia are considered. The real and nominal risk premia from movements within the band are …

Persistent link: https://www.econbiz.de/10012475561

Bayesian and Adaptive Optimal Policy under Model Uncertainty

Svensson, Lars E.O. - 2007

We study the problem of a policymaker who seeks to set policy optimally in an economy where the true economic structure is unobserved, and he optimally learns from observations of the economy. This is a classic problem of learning and control, variants of which have been studied in the past, but...

Persistent link: https://www.econbiz.de/10012465237

Exchange Rate Variability And Asset Trade

Persson, Torsten - 1989

exchange rates -- determine the risk characteristics of nominal assets, and how these risk characteristics determine …

Persistent link: https://www.econbiz.de/10012476246

Portfolio Choice and Asset Pricing With Nontraded Assets

Svensson, Lars E.O. - 1988

This paper examines portfolio choice and asset pricing when some assets are nontraded, for instance when a country cannot trade claims to its output on world capital markets, when a government cannot trade claims to future tax revenues, or when an individual cannot trade claims to his future...

Persistent link: https://www.econbiz.de/10012476286

Optimal Monetary Policy under Uncertainty in DSGE Models : A Markov Jump-Linear-Quadratic Approach

Svensson, Lars E.O. - 2008

We study the design of optimal monetary policy under uncertainty in a dynamic stochastic general equilibrium models. We use a Markov jump-linear-quadratic (MJLQ) approach to study policy design, approximating the uncertainty by different discrete modes in a Markov chain, and by taking...

Persistent link: https://www.econbiz.de/10012464755

Trade in Risky Assets

Svensson, Lars E.O. - 1987

This paper develops a theory of the international trade pattern in risky assets by applying the law of comparative … autarky prices. The autarky price of an asset is high if the autarky real interest rate is low, or if the asset's autarky risk … measure (the product of the risk premium and the asset price) is low. It is examined how autarky interest rates and risk …

Persistent link: https://www.econbiz.de/10012476665

Does the P* Model Provide Any Rationale for Monetary Targeting?

Svensson, Lars E.O. - 2000

The so-called P* model is frequently used or referred to in discussions of monetary targeting. This gives the impression that the P* model might provide some rationale for monetary targeting or for the monetary reference value used by the Eurosystem. The P* model implies that inflation is...

Persistent link: https://www.econbiz.de/10012471029

How Should Monetary Policy be Conducted in an Era of Price Stability?

Svensson, Lars E.O. - 2000

The paper discusses several issues related to how monetary policy should be conducted in an era of price stability. Low inflation (with base drift in the price level) and price-level stability (without such base drift) are compared, and a suitable loss function (corresponding to flexible...

Persistent link: https://www.econbiz.de/10012471258

Price Stability as a Target for Monetary Policy : Defining and Maintaining Price Stability

Svensson, Lars E.O. - 1999

This paper discusses how price stability can be defined and how price stability can be maintained in practice. Some lessons for the Eurosystem are also considered. With regard to defining price stability, the choice between price-level stability and low (including zero) inflation and the...

Persistent link: https://www.econbiz.de/10012471507

The Equilibrium Degree of Transparency and Control in Monetary Policy

Faust, Jon - 1999

We examine a central bank's endogenous choice of degree of control and degree of transparency, under both commitment and discretion. Under commitment, we find that the deliberate choice of sloppy control is far less likely under a standard central-bank loss function than reported for a less...

Persistent link: https://www.econbiz.de/10012471635