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Taylor-Rule Consistent Estimates of the Natural Rate of Interest
Brand, Claus - 2019
policy rules: we model inflation to be stationary, with the output gap pinning down deviations of inflation from its …
Persistent link: https://www.econbiz.de/10012889739
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(Un)Naturally Low? Sequential Monte Carlo Tracking of the US Natural Interest Rate
Lombardi, Marco J.; Sgherri, Silvia - 2021
Following the 2000 stockmarket crash, have US interest rates been held too low in relation to their natural level? Most likely, yes. Using a structural neo-Keynesian model, this paper attempts a real-time evaluation of the US monetary policy stance while ensuring consistency between the...
Persistent link: https://www.econbiz.de/10013316899
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Joint Estimation of the Natural Rate of Interest, the Natural Rate of Unemployment, Expected Inflation, and Potential Output
Benati, Luca; Vitale, Giovanni - 2021
We jointly estimate the natural rate of interest, the natural rate of unemployment, expected inflation, and potential …-variation in (i) the data-generation process for inflation, which we capture via a time-varying parameters specification for the … Phillips curve portion of the model; and (ii) the volatilities of disturbances to inflation and cyclical(log) output, which we …
Persistent link: https://www.econbiz.de/10013316896
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Capital Inflows and Euro Area Long-Term Interest Rates
Carvalho, Daniel - 2015
Capital flows into the euro area were particularly large in the mid-2000s and the share of foreign holdings of euro area securities increased substantially between the introduction of the euro and the outbreak of the global financial crisis. We show that the increase in foreign holdings of euro...
Persistent link: https://www.econbiz.de/10013020658
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Carry Trades and Monetary Conditions
Falconio, Andrea - 2021
This paper investigates the relation between monetary conditions and the excess returns arising from an investment strategy that consists of borrowing low-interest rate currencies and investing in currencies with high interest rates, so-called "carry trade". The results indicate that carry trade...
Persistent link: https://www.econbiz.de/10013315488
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Carry Trades and Monetary Conditions
Falconio, Andrea - 2021
This paper investigates the relation between monetary conditions and the excess returns arising from currency carry trades. The results indicate that carry trade average return, Sharpe ratio and downside risk differ substantially across monetary conditions before the onset of the financial...
Persistent link: https://www.econbiz.de/10013310704
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The Price of Liquidity : The Effects of Market Conditions and Bank Characteristics
Fecht, Falko - 2011
We study the prices that individual banks pay for liquidity (captured by borrowing rates in repos with the central bank and benchmarked by the overnight index swap) as a function of market conditions and bank characteristics. These prices depend in particular on the distribution of liquidity...
Persistent link: https://www.econbiz.de/10013121244
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The Reception of Public Signals in Financial Markets : What if Central Bank Communication Becomes Stale?
Ehrmann, Michael - 2009
-term interest rates to the Bank of England's inflation report and to macroeconomic announcements. Due to the quarterly frequency at … predicts that, the more time has elapsed since the latest release of an inflation report, market volatility should increase …
Persistent link: https://www.econbiz.de/10013157672
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Liquidation Value and Loan Pricing
Barbiero, Francesca; Schepens, Glenn; Sigaux, Jean-David - 2022
We show that the liquidation value of collateral depends on who is pledging it. We employ transaction-level data on overnight repurchase agreements (repo) and loan-level credit registry data on corporate loans. We find that borrowers on the repo market pay a 2.6 basis points rate premium when...
Persistent link: https://www.econbiz.de/10013300220
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Structural breaks, cointegration and the Fisher effect
Beyer, Andreas; Haug, Alfred A.; Dewald, William G. - 2009
There is scant empirical support in the literature for the Fisher effect in the long run, though it is often assumed in theoretical models. We argue that a break in the cointegrating relation introduces a spurious unit root that leads to a rejection of cointegration. We applied new break tests...
Persistent link: https://www.econbiz.de/10011605059