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that a rise in conditional consumption growth volatility relative to the rest of the world reduces the foreign exchange … relation between the volatility in consumption growth and the level of real interest rates relative to the world interest rate … rates and macroeconomic volatility, on the one hand, and macroeconomic volatility and the net foreign asset position, on the …
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Residual income valuation is based on the assumption that the clean surplus relation holds. As pointed out by Ohlson (2000), among others, the standard clean surplus relation is frequently violated. Moreover, standard residual income valuation models rest on the implicit assumption that future...
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After hitting the lower bound on interest rates, the Eurosystem engaged in a public sector purchase programme (PSPP) and forward guidance (FG). We use prior and posterior predictive analysis to evaluate the importance of parameter uncertainty in an analysis of these policies. We model FG as an...
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We revisit the reversal puzzle: A counterintuitive contraction of inflation in response to an interest rate peg. We show that it is intimately related to the degree of agents' anticipation. If agents perfectly anticipate the peg, reversals occur depending on the duration of the peg. If they do...
Persistent link: https://www.econbiz.de/10012272030
The Eurosystem’s Public Sector Purchase Programme (PSPP) increased the scarcity of safe assets, which caused significant declines and substantial dispersion in European repo rates. However, banks holding these safe assets benefited from this development: First, using the German security...
Persistent link: https://www.econbiz.de/10012651072
We analyze the macroeconomic implications of a transient interest-rate peg in combination with a QE program in a non-linear medium-scale DSGE model. In this context, we re-examine what has become known as the reversal puzzle (Carlstrom, Fuerst and Paustian, 2015) and provide an analytical...
Persistent link: https://www.econbiz.de/10011671387