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Monetary Policy Uncertainty and Economic Fluctuations

Creal, Drew - 2014

react in opposite directions to a shock to the real economy, and the response of inflation to uncertainty shocks vary across …

Persistent link: https://www.econbiz.de/10012458071

Long-memory Inflation Uncertainty : Evidence from the Term Structure of Interest Rates

Backus, David K. - 1993

pricing theory: the persistence of the short rate and variability of the long end of the yield curve. We suggest that this …

Persistent link: https://www.econbiz.de/10012474677

What Does the Yield Curve Tell us about GDP Growth?

Ang, Andrew - 2004

A lot, including a few things you may not expect. Previous studies find that the term spread forecasts GDP but these regressions are unconstrained and do not model regressor endogeneity. We build a dynamic model for GDP growth and yields that completely characterizes expectations of GDP. The...

Persistent link: https://www.econbiz.de/10012468018

The Value of Risk : Measuring the Service Output of U.S. Commercial Banks

Basu, Susanto - 2008

of banks argue that compensation for bearing systematic risk is not part of bank output. We apply these models and find …

Persistent link: https://www.econbiz.de/10012464032

Interest Rate Uncertainty and Sovereign Default Risk

Johri, Alok - 2020

International data suggests that fluctuations in the level and volatility of the world interest rate (as measured by the US treasury bill rate) are positively correlated with both the level and volatility of sovereign spreads in emerging economies. We incorporate an estimated time-varying...

Persistent link: https://www.econbiz.de/10012481187

Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy

Christiano, Lawrence J. - 2001

inflation and persistence in output. The key features of our model are those that prevent a sharp rise in marginal costs after … an expansionary shock to monetary policy. Of these features, the most important are staggered wage contracts of average …

Persistent link: https://www.econbiz.de/10012470317

Monetary Policy Surprises, Credit Costs and Economic Activity

Gertler, Mark - 2014

external instruments produce responses in output and inflation consistent with both textbook theory and conventional monetary …

Persistent link: https://www.econbiz.de/10012458442

The Yield Curve, Recessions and the Credibility of the Monetary Regime : Long Run Evidence 1875-1997

Bordo, Michael D. - 2004

predictability varies over time, however, particularly across different monetary regimes. In accord with our proposed theory, regimes … with low credibility (high persistence of inflation) tend to have better predictability …

Persistent link: https://www.econbiz.de/10012468262

Expectations Hypotheses Tests

Bekaert, Geert - 2000

. In addition to standard Wald tests, we formulate Lagrange Multiplier and Distance Metric tests which require estimation … under the non-linear constraints of the null hypotheses. Estimation under the null is achieved by iterating on approximate …

Persistent link: https://www.econbiz.de/10012471161

The Term Structure of Forward Exchange Premia and the Forecastibility of Spot Exchange Rates : Correcting the Errors

Clarida, Richard H. - 1993

We present theory and evidence that challenges the view that forward premia contain little information regarding …

Persistent link: https://www.econbiz.de/10012474508