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Thin capitalization rules and multinational firm capital structure
Blouin, Jennifer L.; Huizinga, Harry; Laeven, Luc; … - 2014
This paper examines the impact of thin capitalization rules that limit the tax deductibility of interest on the capital structure of the foreign affiliates of US multinationals. We construct a new data set on thin capitalization rules in 54 countries for the period 1982-2004. Using confidential...
Persistent link: https://www.econbiz.de/10010256736
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Persistence and cycles in the US Federal Funds rate
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2012
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/10009687196
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External monetary shocks and monetary integration : evidence from the Bulgarian currency board
Minea, Alexandru; Rault, Christophe - 2011
Starting July the 1st 1997, Bulgaria adopted a Currency Board (CB) monetary system. This paper aims at investigating if the adoption of the CB monetary system, which involves the cost of loosing monetary autonomy, has provided a relatively better (with respect to other CEEC) monetary integration...
Persistent link: https://www.econbiz.de/10009012188
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Non-linearities and persistence in US long-run interest rates
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2020
This note examines the stochastic behaviour of US monthly 10-year government bond yields. Specifically, it estimates a fractional integration model suitable to capture both persistence and non-linearities, these being two important properties of interest rates. Two series are analysed, one from...
Persistent link: https://www.econbiz.de/10012383724
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Interest rate spillovers from the United States : expectations, term premia and macro-financial vulnerabilities
Mehrotra, Aaron N.; Moessner, Richhild; Shu, Chang - 2019
We analyse how movements in the components of sovereign bond yields in the United States affect long-term rates in 10 advanced and 21 emerging economies. The paper documents significant global spillovers from both the expectations and term premia components of longterm rates in the United...
Persistent link: https://www.econbiz.de/10012119811
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The rate of return on everything, 1870-2015
Jordà, Òscar; Knoll, Katharina; Kuvshinov, Dmitry; … - 2018
This paper answers fundamental questions that have preoccupied modern economic thought since the 18th century. What is the aggregate real rate of return in the economy? Is it higher than the growth rate of the economy and, if so, by how much? Is there a tendency for returns to fall in the...
Persistent link: https://www.econbiz.de/10011794864
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Forward guidance and household expectations
Coibion, Olivier; Georgarakos, Dimitris; Gorodnichenko, … - 2020 - This Draft: February 10th, 2020
of inflation, mortgage rates, and unemployment to the effects of communication about future inflation in a randomized … then provide 22 different forms of information regarding past, current and/or future inflation and interest rates … beyond one year do not have any additional impact on forecasts. Exogenous variation in inflation expectations transmits into …
Persistent link: https://www.econbiz.de/10012171803
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Around the world with Irving Fisher
Thorvaldur Gylfason; Tómasson Helgi; Gylfi Zoega - 2015
This paper aims to show why Irving Fisher's own data on interest rates and inflation in New York, London, Paris, Berlin … changes in inflation, not even in the long run. In Fisher's data, interest rates have more persistence than inflation and … change less than inflation over time. The Fisher effect is a misnomer unless it is taken to refer to what Fisher actually …
Persistent link: https://www.econbiz.de/10010496089
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Long-term interest rates and public debt maturity
Sakalauskaite, Ieva; Beetsma, Roel; Giuliodori, Massimo - 2013
is stronger for countries with higher average inflation or debt. …
Persistent link: https://www.econbiz.de/10010189835
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Does the Euro-zone diverge? : a stress indicator for analyzing trends and cycles in real GDP and inflation
Flaig, Gebhard (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003496544