We empirically test whether there is a causal link between the real interest rate and the natural rate of interest, which could be a harbinger of secular stagnation if the real rate declines. Outcomes of VAR models for Japan, Germany and the US show that a fall in the real rate indeed affects...

This paper investigates how changes in the monetary policy framework have affected the overnight money market lending rate for the Dutch segment of the euro area during tranquil and crisis times. We present an EGARCH model on the volatility of the overnight lending rate. The results show that...

We investigate international co-movements in bond yields by testing for uncovered interest parity. We supplement existing work by focussing on long instead of short-term interest rates, and, related to that, by employing exchange rate expectations derived from purchasing power parity instead of...

We investigate the effects of official fiscal data and creative accounting signals on interest rate spreads between bond yields in the European Union. Our model predicts that risk premia contained in government bond spreads should increase in both, the official fiscal position and the expected...

This paper investigates the role of inflation risk in a model of the price dividend ratio, combining a dynamic Gordon model specification with the inflation-augmented capital asset pricing model (CAPM). The model is estimated for the Euro Area and U.S. and tested against traditional models. For...

In this paper we analyze the development of house prices for eight different countries over the period 1970-2003. First we look at real house price dynamics of the United States, the United Kingdom, Germany, France, Italy, the Netherlands, Sweden, and Belgium. After discussing the observable...

This paper presents an information variable for financial stability consisting of a composite index and its related critical boundaries. It is an extension of a Financial Conditions Index with information on financial institutions. The indicator is bounded, on one side, by the instability...

In this paper the relationship between stock prices and house prices is analysed for six countries over the years 1976-2001. We find that both asset prices show a positive long-term relationship, which can partly be explained by common macro-economic factors such as credit, consumption and...