Showing 1 - 10 of 826
We define a parameter representing the relative forecast performance to compare forecasting results of different methods. By using this parameter, we analyze the performance of the dynamic Nelson-Siegel model and, for comparison, the first order autoregressive (AR(1)) model applied to a set of...
Persistent link: https://www.econbiz.de/10011157007
The objective of our work is to analyze the forecast performance of the dynamic Nelson-Siegel yield curve model and, for comparison, the first order autoregressive (AR(1)) model applied to a set of US bond yield data that covers a large timespan from November 1971 to December 2008. As a...
Persistent link: https://www.econbiz.de/10011249366
The Taylor hypothesis is the conjecture that the 2007-2009 financial crisis and the 2008-present downturn have been caused by loose monetary policy during 2002-2006. According to the Taylor hypothesis the Fed deviated from well-know rules of monetary policy-making over this period, and this...
Persistent link: https://www.econbiz.de/10011107274
This paper presented the empirical results of the volatility transmission of overnight rate along the yield curve in case of Pakistan. The results indicate that the volatility transmission of overnight repo rate is higher at the shorter end of the yield curve while lower at the longer end. These...
Persistent link: https://www.econbiz.de/10011107405
This paper demonstrates how to analytically characterize the set of rational expectations equilibria in a simple stochastic New Keynesian model with the zero lower bound. In this environment, purely forward-looking (non-history-dependent) monetary policies are not generally consistent with...
Persistent link: https://www.econbiz.de/10011107863
Chicago rule is shown to be the unique optimal monetary policy rule from the viewpoint of an intergenerational welfare-maximizing social planner. But, in the absence of commercial banking, it really mandates the elimination of the public sector, because it involves the elimination of central...
Persistent link: https://www.econbiz.de/10011109171
The study investigates the effect of interest rates on customer savings behavior in the Nigerian banking sector, after identifying a host of factors that are likely to influence customer confidence in commercial banks such as average income, commercial lending, legal rights strength, central...
Persistent link: https://www.econbiz.de/10011109246
Chicago rule is shown to be the unique optimal monetary policy rule from the viewpoint of an intergenerational welfare-maximizing social planner. But, in the absence of commercial banking, it really mandates the elimination of the public sector, because it involves the elimination of central...
Persistent link: https://www.econbiz.de/10011109358
Savings can be used in two different applications. Companies will nearly always use savings –equity, loans and bonds- to help produce and increase output and increase employment levels –the economic use of savings-. Individual households will take up mortgages. However the collective...
Persistent link: https://www.econbiz.de/10011109832
According to this note, the sectoral approach towards a quantity theory of credit is too vague in its predictions. A quantity theory of seigniorage approach is proposed in its place, arriving at the conclusion that the financial system may be held responsible for price and output fluctuations to...
Persistent link: https://www.econbiz.de/10011110424