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A VAR analysis for the uncovered interest parity and the ex-ante purchasing power parity: the role of macroeconomic and financial information
Macchiarelli, Corrado - 2011
among the above three parities, we find a ”forward premium” bias in both the UIP - as it is normally found in empirical …This study revisits the relation between the uncovered interest parity (UIP), the ex ante purchasing power parity …-based tests for the three parities conditions at a long horizon. Particularly, test results are derived by rewriting the UIP, the …
Persistent link: https://www.econbiz.de/10011605449
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Bond market co-movements, expected inflation and the equilibrium real exchange rate
Macchiarelli, Corrado - 2011
Since the end of the fixed rates in 1973 and after the EMS sterling dismissal in 1992, the value of the pound has undergone large cyclical fluctuations on average. Of particular interest to policy makers is the understanding of whether such movements are consistent with the lack or not of a...
Persistent link: https://www.econbiz.de/10011605450
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Unconventional monetary policy and the anchoring of inflation expectations
Ciccarelli, Matteo; García, Juan Angel; … - 2017
The effects of the unconventional monetary policy (UMP) measures undertaken by the U.S. Federal Reserve (and other major central banks) remain a crucial topic for research. This paper investigates their effects on the anchoring of long-term inflation expectations, a key dimension of UMP that has...
Persistent link: https://www.econbiz.de/10011606040
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The (ir)relevance of the nominal lower bound for real yield curve analysis
Schupp, Fabian - 2020
, premium components are less reactive to a typical 10 bp increase in inflation, while real rate responses change their sign … yields into their expectations and premium components once survey information is incorporated. Overall, results support the …
Persistent link: https://www.econbiz.de/10012422138
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Bond Market Co-Movements, Expected Inflation and the Equilibrium Real Exchange Rate
Macchiarelli, Corrado - 2011
Since the end of the fixed rates in 1973 and after the EMS sterling dismissal in 1992, the value of the pound has undergone large cyclical fluctuations on average. Of particular interest to policy makers is the understanding of whether such movements are consistent with the lack or not of a...
Persistent link: https://www.econbiz.de/10013118031
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Unconventional Monetary Policy and the Anchoring of Inflation Expectations
Ciccarelli, Matteo - 2017
The effects of the unconventional monetary policy (UMP) measures undertaken by the U.S. Federal Reserve (and other major central banks) remain a crucial topic for research. This paper investigates their effects on the anchoring of long-term inflation expectations, a key dimension of UMP that has...
Persistent link: https://www.econbiz.de/10012963931
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The Yield Curve and Macroeconomic Dynamics
Hördahl, Peter; Tristani, Oreste; Vestin, David - 2021
We show that microfounded DSGE models with nominal rigidities can be successful in replicating features of bond yield data which have previously been considered puzzling in general equilibrium frameworks. Consistent with empirical evidence, we obtain average holding period returns that are...
Persistent link: https://www.econbiz.de/10013316763
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Cost of borrowing shocks and fiscal adjustment
de Groot, Oliver; Holm-Hadulla, Fédéric; … - 2012
Do capital markets impose fiscal discipline on governments? We investigate the responses of fiscal variables to a change in the interest rate paid by governments on their debt in a panel of 14 European countries over four decades. This is done in the context of a panel vector autoregressive...
Persistent link: https://www.econbiz.de/10011605548
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Fiscal discipline and the cost of public dept service: some estiames for OECD countries
Ardagna, Silvia; Caselli, Francesco; Lane, Timothy - 2004
We use a panel of 16 OECD countries over several decades to investigate the effects of government debts and deficits on long-term interest rates. In simple static specifications, a one-percentage-point increase in the primary deficit relative to GDP increases contemporaneous long-term interest...
Persistent link: https://www.econbiz.de/10011604457
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Fiscal policy and growth: do financial crises make a difference?
Afonso, António; Grüner, Hans Peter; Kolerus, Christina - 2010
In this paper we assess to what extent in the existence of a financial crisis, government spending can contribute to mitigate economic downturns in the short run and whether such impact differs in crisis and non crisis times. We use panel analysis for a set of OECD and non-OECD countries for the...
Persistent link: https://www.econbiz.de/10011605263