We wish to understand the implications of recent shifts in US productivity for the structure of optimal monetary policy rules. Accordingly, we augment a standard inflation targeting model in which a forward-looking version of the Taylor rule constitutes the optimal monetary policy with regime...

Many have questioned the empirical relevance of the Calvo-Yun model. This paper appends three widely-studied macroeconomic models (Calvo-Yun, Hybrid and Svensson) with forward rate curves. We back out from observations on the yield curve the underlying macroeconomic model that most closely...

In this paper we concentrate on the hypothesis that the empirical rejections of the Expectations Theory(ET) of the term structure of interest rates can be caused by improper modelling of expectations. Our starting point is an interesting anomaly found by Campbell-Shiller(1987), when by taking a...

One of the key variables for a bank's management is the development of the "risk-free interest rate", which is the reference for all bond and loan rates as well as an indicator for the state of the economy and therefore the bank"s future perspectives. Turning towards long-term analysis, the...

We argue that inflation-targeting strategy in practice can be approximated with the interest rate responding to the unchanged-interest-rate forecast of inflation. We develop a method to derive unchanged-interest-rate forecasts in forward-looking models and evaluate the performance of the policy...

In this paper, we show how stochastic optimisation and worst-case analysis can be used together in order to provide central banks with a straightforward tool for selecting a policy rule that limits worst-case outcomes while at the same time providing reasonably good performance on average. We...

This paper highlights the analysis of the term structure of interest rate within a full DSGE model. Our goal consists in setting up a full model including the feed-back from the economy to the term structure and vice-versa. Contrary to existing models of the term structure (TS, henceforth) (for...

Portfolio manager's performance is often evaluated respect to a predetermined market benchmark. Usually the benchmark is an equity/bond portfolio or index for which the percentage and the bond duration are specified, so the manager's aim is to build a portfolio whose performance replicates the...

Estimation of forward-looking interest rate rules is ubiquitous in the context of developed economy central banks. This paper considers the five countries in Latin America that have adopted the Inflation Targeting framework and performs estimations of forward-looking rules via i) standard...

This paper incorporates heterogeneous agents into a NNS model with nominal inertia. Heterogeneous households are introduced into NNS models to try and reconcile the movements in interest rates, consumption and inflation. The key findings here are that heterogeneity and wage inertia are needed to...