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The Zero-Beta Interest Rate
Di Tella, Sebastian; Hébert, Benjamin; Kurlat, Pablo; … - National Bureau of Economic Research - 2023
We use equity returns to construct a time-varying measure of the interest rate that we call the zero-beta rate: the expected return of a stock portfolio orthogonal to the stochastic discount factor. The zero-beta rate is high and volatile. In contrast to safe rates, the zero-beta rate fits the...
Persistent link: https://www.econbiz.de/10014337830
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Monetary Policy without Moving Interest Rates : The Fed Non-Yield Shock
Boehm, Christoph E.; Kroner, T. Niklas - National Bureau of Economic Research - 2024
Existing high-frequency monetary policy shocks explain surprisingly little variation in stock prices and exchange rates around FOMC announcements. Further, both of these asset classes display heightened volatility relative to non-announcement times. We use a heteroskedasticity-based procedure to...
Persistent link: https://www.econbiz.de/10014576665
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The General Theory of Employment, Interest, and Money After 75 Years : The Importance of Being in the Right Place at the Right Time
Luzzetti, Matthew N. - 2010
This paper studies why the General Theory had so much impact on the economics profession through the 1960s, why that … impact began to wane in the 1970s, and why many economic policymakers cling to many of the tenets of the General Theory. We … qualitatively to patterns discussed in the General Theory, that econometric developments in the area of simultaneous equations made …
Persistent link: https://www.econbiz.de/10012462016
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Sticky Discount Rates
Fukui, Masao; Gormsen, Niels; Huber, Kilian - National Bureau of Economic Research - 2024
We show that firms' nominal required returns to capital (i.e., their discount rates) are sticky with respect to expected inflation. Such nominally sticky discount rates imply that increases in expected inflation directly lower firms' real discount rates and thereby raise real investment. We...
Persistent link: https://www.econbiz.de/10014512092
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Bank Funding Risk, Reference Rates, and Credit Supply
Cooperman, Harry; Duffie, Darrell; Luck, Stephan; Wang, … - National Bureau of Economic Research - 2023
Corporate credit lines are drawn more heavily when funding markets are more stressed. This covariance elevates expected bank funding costs. We show that credit supply is dampened by the associated debt-overhang cost to bank shareholders. Until 2022, this impact was reduced by linking the...
Persistent link: https://www.econbiz.de/10014226104
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Supply and Demand and the Term Structure of Interest Rates
Greenwood, Robin; Hanson, Samuel G.; Vayanos, Dimitri - National Bureau of Economic Research - 2023
We survey the growing literature emphasizing the role that supply-and-demand forces play in shaping the term structure of interest rates. Our starting point is the Vayanos and Vila (2009, 2021) model of the term structure of default-free bond yields, which we present in both discrete and...
Persistent link: https://www.econbiz.de/10014437010
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Is Maturity-Transformation Risk Priced into Bank Deposit Rates?
Fleckenstein, Matthias; Longstaff, Francis A. - National Bureau of Economic Research - 2024
We use the term structure of bank CD rates to examine whether maturity-transformation risk is priced into the rates banks offer customers. We find that depositors pay a significant cost for the liquidity provided by bank deposits. This cost is strongly related to the amount of...
Persistent link: https://www.econbiz.de/10014635687
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Keynesian, New Keynesian, and New Classical Economics
Greenwald, Bruce C. - 1987
Much of the new theory of macro-economics that has been built upon micro-economic models of imperfect information leads …
Persistent link: https://www.econbiz.de/10012476909
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The Four Equation New Keynesian Model
Sims, Eric R. - 2019
This paper develops a New Keynesian model featuring financial intermediation, short and long term bonds, credit shocks, and scope for unconventional monetary policy. The log-linearized model reduces to four key equations - a Phillips curve, an IS equation, and policy rules for the short term...
Persistent link: https://www.econbiz.de/10012480015
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Understanding the New-Keynesian Model when Monetary Policy Switches Regimes
Farmer, Roger E.A. - 2007
This paper studies a New-Keynesian model in which monetary policy may switch between regimes. We derive sufficient conditions for indeterminacy that are easy to implement and we show that the necessary and sufficient condition for determinacy, provided by Davig and Leeper, is necessary but not...
Persistent link: https://www.econbiz.de/10012465691