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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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House Prices and Ultra-Low Interest Rates : Exploring the Non-Linear Nexus
Dieckelmann, Daniel; Hempell, Hannah Sabine; Jarmulska, … - 2023
The acceleration of house price growth amidst falling interest rates to record-low levels across euro area countries between 2015 and 2021 has sparked renewed interest in the link between the two variables. Asset-pricing theory suggests that real house prices respond to changes in real interest...
Persistent link: https://www.econbiz.de/10014257208
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Monetary Policy and the Drifting Natural Rate of Interest
Daudignon, Sandra; Tristani, Oreste - 2023
policy is not constrained by the ZLB. The neutral rate – the level of the policy rate consistent with stable inflation and …
Persistent link: https://www.econbiz.de/10014257263
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Banks and Negative Interest Rates
Heider, Florian; Saidi, Farzad; Schepens, Glenn - 2021
In this paper, we survey the nascent literature on the transmission of negative policy rates. We discuss the theory of how the transmission depends on bank balance sheets, and how this changes once policy rates become negative. We review the growing evidence that negative policy rates are...
Persistent link: https://www.econbiz.de/10013227327
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Banking Sector Output Measurement in the Euro Area - A Modified Approach
Colangelo, Antonio - 2010
Banks do not charge explicit fees for many of the services they provide but the service payment is bundled with the offered interest rates. This output therefore has to be imputed using estimates of the opportunity cost of funds. We argue that rather than using the single short-term, low-risk...
Persistent link: https://www.econbiz.de/10013143332
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How is real convergence driving nominal convergence in the new EU Member States?
Lein-Rupprecht, Sarah M.; León-Ledesma, Miguel A.; … - 2007
prices with respect to the euro area: productivity growth and increased trade openness. Productivity growth can have a … productivity growth a positive one on price level convergence with respect to the euro area. …
Persistent link: https://www.econbiz.de/10011604873
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Macroeconomic forecasting and structural change
Gambetti, Luca; D’Agostino, Antonello; Giannone, Domenico - 2010
macroeconomic forecasts. We produce real time out-of-sample forecasts for inflation, the unemployment rate and the interest rate … predictions for the three variables. In particular for inflation the TV-VAR outperforms, in terms of mean square forecast error … also shown to hold over the most recent period in which it has been hard to forecast inflation. …
Persistent link: https://www.econbiz.de/10011605213
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Banking sector output measurement in the euro area - a modified approach
Colangelo, Antonio; Inklaar, Robert - 2010
Banks do not charge explicit fees for many of the services they provide but the service payment is bundled with the offered interest rates. This output therefore has to be imputed using estimates of the opportunity cost of funds. We argue that rather than using the single short-term, low-risk...
Persistent link: https://www.econbiz.de/10011605250
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Productivity shocks, budget deficits and the current account
Bussière, Matthieu; Fratzscher, Marcel; Müller, Gernot J. - 2005
Deficits" discussion of the 1980s. In contrast, during the 1990s productivity growth has been identified as the primary cause … importance of budget deficits and productivity shocks for the determination of the current account. Using a sample of 21 OECD … current account, while country-specific productivity shocks appear to play a key role. …
Persistent link: https://www.econbiz.de/10011604555
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Medium run redux: technical change, factor shares and frictions in the euro area
McAdam, Peter; Willman, Alpo - 2008
We develop a framework for analyzing “medium-run” departures from balanced growth, and apply it to the economies of continental Europe. A time-varying factor-augmenting production function (mimicking “directed” technical change) with a below-unitary substitution elasticity coupled with...
Persistent link: https://www.econbiz.de/10011604961