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Long-term interest rates and public debt maturity

Sakalauskaite, Ieva; Beetsma, Roel; Giuliodori, Massimo - 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/10010189835

Interest rates under falling stars

Bauer, Michael D.; Rudebusch, Glenn D. - 2017

the term premium in long-term interest rates, and captures a substantial share of interest rate variability at low …

Persistent link: https://www.econbiz.de/10011688099

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

Is Switzerland an interest rate island after all? : time series and non-linear switching regime evidence

Feld, Lars P.; Köhler, Ekkehard A. - 2015

Has the "Swiss interest rate anomaly" persisted after the financial crisis? Regarding the hypothesis that the Swiss interest rate anomaly results from systemic risk anticipation, we discuss whether Switzerland remains an interest rate island in the wake of the financial crisis. We find evidence...

Persistent link: https://www.econbiz.de/10011392550

Exchange rate parities and taylor rule deviations

Anderl, Christina; Caporale, Guglielmo Maria - 2021

This paper investigates the PPP and UIP conditions by taking into account possible nonlinearities as well as the role … follows. First, the nonlinear specification provides much stronger evidence for the PPP and UIP conditions, the estimated … exchange rate from the PPP- and UIP-implied equilibrium. …

Persistent link: https://www.econbiz.de/10012491545

Functional shocks to inflation expectations and real interest rates and their macroeconomic effects

Anderl, Christina; Caporale, Guglielmo Maria - 2023

This paper applies a recently developed method (Inoue and Rossi, 2021) to estimate functional inflation expectations and ex-ante real interest rate shocks, and then examines their macroeconomic effects in the context of a Functional Vector Autoregressive model with exogenous variables...

Persistent link: https://www.econbiz.de/10014364953

Private debt and GDP : a short-run perspective

Cafiso, Gianluca - 2016

Mainstream economic research regards private debt as a determinant of GDP growth in the longrun. Levine (2005) surveys in details this branch of literature and explains the channels by which debt fuels growth. In this paper we switch the focus from the long to the short-run and study whether...

Persistent link: https://www.econbiz.de/10011566459

GDP growth, private debt and monetary policy

Cafiso, Gianluca - 2017

Economic research has considered Private Debt a determinant of GDP growth for years. By keeping this perspective, the objective of this work is to understand how much of the GDP response to a monetary shock is due to the variation of private debt. This is the marginal contribution of private...

Persistent link: https://www.econbiz.de/10011659392

Financial sector development in Brunei Darussalam : depth, acces, and efficiency : a comparative analysis

Bhattacharyay, Biswanath; Bhattacharyay, Madhurima - 2022

Financial sector development plays an important role in promoting economic growth and welfare of the citizen of a country. On the other hand, financial sector instability or vulnerability, can adversely affect the economic growth and cause major disruptions in the country. This paper examines...

Persistent link: https://www.econbiz.de/10013380870

Analysis of monetary policy and financial stability : a new paradigm

Goodhart, Charles A. E.; Osorio, Carolina; Tsomocos, … - 2009

This paper introduces agent heterogeneity, liquidity, and endogenous default to a DSGE framework. Our model allows for a comprehensive assessment of regulatory and monetary policy, as well as welfare analysis in the different sectors of the economy. Due to liquidity and endogenous default, the...

Persistent link: https://www.econbiz.de/10003923247

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