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Persistence and Cycles in the US Federal Funds Rate
Caporale, Guglielmo Maria - 2013
This paper uses long-range dependence techniques to analyse two important features of the US Federal Funds effective rate, namely its persistence and cyclical behaviour. It examines annual, monthly, bi-weekly and weekly data, from 1954 until 2010. Two models are considered. One is based on an...
Persistent link: https://www.econbiz.de/10013089178
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How Banks Respond to Negative Interest Rates : Evidence from the Swiss Exemption Threshold
Basten, Christoph - 2018
We analyze the effect of negative monetary policy rates on banks, using detailed supervisory information from Switzerland. For identification, we compare changes in the behavior of banks that had different fractions of their central bank reserves exempt from negative rates. More affected banks...
Persistent link: https://www.econbiz.de/10012921277
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Long-Term Interest Rates and Public Debt Maturity
Sakalauskaite, Ieva - 2013
For a sample of sixteen OECD countries over the period 1980-2007 we show that, for given debt-GDP ratio, an increase in the maturity of the public debt by one year lowers its long-term interest rate by around 20-30 basis points. This effect is stronger for countries with higher average inflation...
Persistent link: https://www.econbiz.de/10013075134
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Uncertainty and Economic Activity : A Multi-Country Perspective
Cesa-Bianchi, Ambrogio - 2018
. We develop a multi-country version of the Lucas tree model with time-varying volatility and show that in addition to … the cross country variations of realized volatility. Using this theoretical insight, two common factors, a ‘real' and a …-specific innovations to real GDP growth and realized stock market volatility. We then quantify the absolute and the relative importance of …
Persistent link: https://www.econbiz.de/10012920871
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Uncertainty and Monetary Policy in Good and Bad Times
Caggiano, Giovanni - 2017
financial volatility. Uncertainty shocks hitting in recessions are found to trigger a more abrupt drop and a faster recovery in …
Persistent link: https://www.econbiz.de/10012947523
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Estimating the Real Effects of Uncertainty Shocks at the Zero Lower Bound
Caggiano, Giovanni - 2017
We employ a parsimonious nonlinear Interacted-VAR to examine whether the real effects of uncertainty shocks are greater when the economy is at the ZeroLower Bound. We find the contractionary effects of uncertainty shocks to be statistically larger when the ZLB is binding, with differences that...
Persistent link: https://www.econbiz.de/10012947624
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Aging, the Great Moderation and Business-Cycle Volatility in a Life-Cycle Model
Heer, Burkhard - 2014
According to empirical studies, the life cycle of labor supply volatility exhibits a U-shaped pattern. This may lead to … the conclusion that demographic change induces a drop in output volatility. We present an overlapping generations model … that replicates the empirically observed pattern and study the impact of demographic transition on output volatility. We …
Persistent link: https://www.econbiz.de/10013059476
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Great Moderation at the Firm Level? Unconditional vs. Conditional Output Volatility
Buch, Claudia M. - 2013
;Great Moderationquot; can be found in firm level data as well remains disputed. We study the evolution of firm level output volatility … trends in unconditional firm level and aggregated output volatility in Germany are similar. There has been a long …-run downward trend, which was interrupted by the unification period. Second, the conditional, idiosyncratic firm level volatility …
Persistent link: https://www.econbiz.de/10012753581
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Credit Channel and Business Cycle : The Role of Tax Evasion
Chiarini, Bruno - 2018
This paper examines the role of tax evasion in explaining the business cycle in a DSGE model with a financial accelerator. For this purpose, we assume that financially constrained agents are tax evaders, taking advantage of an additional margin of flexibility in coping with adverse shocks. In...
Persistent link: https://www.econbiz.de/10012910934
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Banking Crises and Boom-Bust Dynamics : Evidence for Italy (1861-2016)
Bartoletto, Silvana - 2018
The financial crises of 2007-2008 and the subsequent worldwide recession show the importance of exploring the correlation between financial and real crises. Starting from our new estimation of the Italian business cycle (Bartoletto et al., 2017), we analyze the linkage between banking crises and...
Persistent link: https://www.econbiz.de/10012917986