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Risk Premia In The Term Structure Of Interest Rates: A Panel Data Approach

Bams, Dennis; Wolff, Christian C - C.E.P.R. Discussion Papers - 2000

This paper proposes a panel data approach to modeling the risk premium in the term structure of interest rates. Specifically, we develop a fixed maturity/random time effects model that implies a time-invariant one-factor model. Our approach allows us to disentangle risk premia and unexpected...

Persistent link: https://www.econbiz.de/10005123603

New-Keynesian Macroeconomics and the Term Structure

Bekaert, Geert; Cho, Seonghoon; Moreno Ibáñez, Antonio - C.E.P.R. Discussion Papers - 2006

This article complements the structural New-Keynesian macro framework with a no-arbitrage affine term structure model. Whereas our methodology is general, we focus on an extended macro-model with unobservable processes for the inflation target and the natural rate of output which are filtered...

Persistent link: https://www.econbiz.de/10005136692

Identifying Taylor rules in macro-finance models

Backus, David; Chernov, Mikhail; Zin, Stanley E. - C.E.P.R. Discussion Papers - 2013

Identification problems arise naturally in forward-looking models when agents observe more than economists. We illustrate the problem in several macro-finance models with Taylor rules. When the shock to the rule is observed by agents but not economists, identification of the rule's parameters...

Persistent link: https://www.econbiz.de/10011083775

What was the Market's View of UK Monetary Policy? Estimating Inflation Risk and Expected Inflation with Indexed Bonds

Jacobs, Mike; Remolona, Eli; Wickens, Michael R. - C.E.P.R. Discussion Papers - 1998

A measure of the credibility of monetary policy is the inflation risk premium embodied in nominal yields. This will be time varying and can be estimated by combining the information contained in the nominal term structure of interest rates with that in the real term structure of...

Persistent link: https://www.econbiz.de/10005666871

The Simplest Test of Inflation Target Credibility

Svensson, Lars E O - C.E.P.R. Discussion Papers - 1994

A simple test of inflation target credibility is constructed by subtracting the maximum and minimum inflation rates consistent with the inflation targets from the yields to maturity on nominal bonds. This results in a target-consistent range of real yields on nominal bonds. If expected real...

Persistent link: https://www.econbiz.de/10005661572

Signalling Debt Sustainability

Drudi, Francesco; Prati, Alessandro - C.E.P.R. Discussion Papers - 1993

This paper studies the optimal debt repayment policy of a government facing a credibility problem: the public is uncertain about whether the outstanding public debt will be repaid in full or in part and requires a risk premium to roll it over. The model determines when it is optimal for the...

Persistent link: https://www.econbiz.de/10005114285

The ECB as Lender of Last Resort for Sovereigns in the Euro Area

Buiter, Willem H.; Rahbari, Ebrahim - C.E.P.R. Discussion Papers - 2012

The paper establishes that sovereigns, like banks, need a lender of last resort (LoLR). In the euro area the ECB, with its estimated €3.4 trillion non-inflationary loss absorption capacity, is the only credible sovereign LoLR. The ECB/Eurosystem has been acting as sovereign LoLR through its...

Persistent link: https://www.econbiz.de/10011083551

The Case for Open-Market Purchases in a Liquidity Trap

Auerbach, Alan J; Obstfeld, Maurice - C.E.P.R. Discussion Papers - 2004

Prevalent thinking about liquidity traps suggests that the perfect substitutability of money and bonds at a zero short-term nominal interest rate renders open-market operations ineffective for achieving macroeconomic stabilization goals. We show that even were this the case, there remains a...

Persistent link: https://www.econbiz.de/10005661787

How do European Monetary and Fiscal Authorities Behave?

Favero, Carlo A. - C.E.P.R. Discussion Papers - 2002

The objective of this study is to investigate the behaviour of monetary and fiscal authorities in the Euro area. Our main contribution is joint modeling of behaviour of the two authorities. Our investigation highlights a number of facts. The systematic monetary policies adopted by the non-German...

Persistent link: https://www.econbiz.de/10005656458

How the Eurosystem’s Treatment of Collateral in its Open Market Operations Weakens Fiscal Discipline in the Eurozone (and what to do about it)

Buiter, Willem H.; Sibert, Anne - C.E.P.R. Discussion Papers - 2005

Market interest rates on sovereign debt issued by the 12 Eurozone national governments differ very little from each … collateralised open market operations convey the message that the Eurosystem views the debt of the 12 Eurozone sovereigns as … equivalent. The euro-denominated debt instruments of all twelve Eurozone governments are deemed to be eligible for use as …

Persistent link: https://www.econbiz.de/10005661821

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