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The response of long-term interest rates to news about monetary policy actions : empirical evidence for the US and Germany
Nautz, Dieter; Wolters, Jürgen - 1998
We reexamine the expectations theory of the term structure focusing on the question how monetary policy actions … tests of expectations theory this implication only requires rational expectations but not stationary risk premia. Therefore …, its empirical test sheds new light on the importance of expectations theory for the determinants of the term structure of …
Persistent link: https://www.econbiz.de/10009578577
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Testing for short and long-run causality : the case of the yield spread and economic growth
Breitung, Jörg; Candelon, Bertrand - 2001
is proposed to test for causality at different forecast horizons. Second, the framework of Geweke (1982) and Hosaya (1991 …
Persistent link: https://www.econbiz.de/10009617950
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Animal spirits, technology shocks and the business cycle
Weder, Mark - 1997
In this paper a two-sector growth model allowing indeterminacy to occur at relatively mild degrees of increasing returns is developed. It is shown that these economies of scale need only be present in one sector of the economy (investment). This feature of the model, therefore, builds on...
Persistent link: https://www.econbiz.de/10009659067
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Volatility estimates of the short term interest rate with an application to German data
Dankenbring, Henning - 1998
theory but rather base the decision of the lag structure on a robust Lagrange Multiplier test. In contrast to U.S. data we …
Persistent link: https://www.econbiz.de/10009578570
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Nonparametric specification testing for continuous-time models with application to spot interest rates
Hong, Yongmiao; Li, Haitao - 2002
We propose two nonparametric transition density-based speciÞcation tests for continuous-time diffusion models. In contrast to marginal density as used in the literature, transition density can capture the full dynamics of a diffusion process, and in particular, can distinguish processes with...
Persistent link: https://www.econbiz.de/10009621413
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The transmission of German monetary policy in the pre-Euro period
Lütkepohl, Helmut; Wolters, Jürgen - 2001
A small macroeconomic model is constructed to study the transmission of the monetary policy conducted by the Deutsche Bundesbank (DBB) since the middle of the 1970s. For this purpose quarterly, seasonally unadjusted data for the period from 1975 to 1998 are used, that is, the period until the...
Persistent link: https://www.econbiz.de/10009616780
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Interest parity at short and long horizons
Chinn, Menzie David; Meredith, Guy - 2000
The unbiasedness hypothesis -- the joint hypothesis of uncovered interest parity (UIP) and rational expectations -- has been almost universally rejected in studies of exchange rate movements. In contrast to previous studies, which have used short-horizon data, we test this hypothesis using...
Persistent link: https://www.econbiz.de/10009583878
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On Markovian short rates in term structure models driven by jump-diffusion processes
Gapeev, P. V. (contributor); Küchler, U. (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001917033
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Markovian short rates in a forward rate model with a general class of Lévy processes
Küchler, Uwe (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001919022
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Heterogeneous time preferences and interest rates : the preferred habitat theory revisited
Riedel, Frank - 1999
Habitat Theory of Modigliani and Sutch, a model for intertemporal preferences accounting for preferred habitats is proposed … term bonds to shorter instruments as the Preferred Habitat Theory predicts. …
Persistent link: https://www.econbiz.de/10009579171