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Money supply and the implementation of interest rate targets
Schabert, Andreas - 2005
In this paper, we analyze the relation between interest rate targets and money supply in a (bubble-free) rational expectations equilibrium of a standard cash-in-advance model. We examine lump-sum injections of money aimed to implement interest rate sequences that satisfy interest rate target...
Persistent link: https://www.econbiz.de/10011343954
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Federal reserve policy viewed through a money supply loss
Chowdhury, Ibrahim; Schabert, Andreas - 2008
Federal Reserve nonborrowed reserve supply systematically responded to changes in inflation and in the output gap over the period 1969-2000. While the feedback from output gap is always negative, the response of money supply to changes in inflation varies considerably across time. Nonborrowed...
Persistent link: https://www.econbiz.de/10011374418
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Federal reserve policy viewed through a money supply lens
Chowdhury, Ibrahim; Schabert, Andreas - 2008
Persistent link: https://www.econbiz.de/10003690036
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An analytically tractable interest rate model with humped volatility
Mercurio, Fabio; Moraleda Novo, Juan Manuel - 1996
Persistent link: https://www.econbiz.de/10000939515
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Pricing American interest rate claims with humped volatility models
Moraleda Novo, Juan Manuel; Vorst, Ton - 1996
Persistent link: https://www.econbiz.de/10000939517
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Smooth transition spatial autoregressive models
Andree, Bo Pieter Johannes; Blasques, Francisco; … - 2017
This paper introduces a new model for spatial time series in which cross-sectional dependence varies nonlinearly over space by means of smooth transitions. We refer to our model as the Smooth Transition Spatial Autoregressive (ST-SAR). We establish consistency and asymptotic Gaussianity for the...
Persistent link: https://www.econbiz.de/10011658755
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Beating the random walk : a performance assessment of long-term interest rate forecasts
Butter, Frank A. G. den; Jansen, Pieter W. - 2008
Persistent link: https://www.econbiz.de/10003787153
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Measuring productivity dispersion
Bartelsman, Eric J.; Wolf, Zoltán - 2017
Measuring the dispersion of productivity or efficiency across firms in a market or industry is rife with methodological issues. Nevertheless, the existence of considerable dispersion now is well documented and widely accepted. Less well understood are the economic features and mechanisms...
Persistent link: https://www.econbiz.de/10011622903
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Asymmetries in conditional mean and variance : modelling stock returns by asMA-asQGARCH
Brännäs, Kurt; Gooijer, Jan G. de - 2000
The asymmetric moving average model (asMA) is extended to allow forasymmetric quadratic conditional heteroskedasticity (asQGARCH). Theasymmetric parametrization of the conditional variance encompassesthe quadratic GARCH model of Sentana (1995). We introduce a framework fortesting asymmetries in...
Persistent link: https://www.econbiz.de/10011303289
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A Bayesian analysis of unobserved component models using Ox
Bos, Charles S. - 2011
Estimation of the volatility of time series has taken off since the introduction of the GARCH and stochastic volatility … unobserved stochastic volatility, and the varying approaches that have been taken for such estimation.In order to simplify the … comprehension of these estimation methods, the main methods for estimating stochastic volatility are discussed, with focus on their …
Persistent link: https://www.econbiz.de/10011386121