. We find that a contractionary oil price shock has a negative effect on the current account which lasts for approximately …

. We find that a contractionary oil price shock has a negative effect on the current account which lasts for approximately …

We use a joint model of macroeconomic and term structure dynamics to estimate inflation risk premia in the United … inflation and interest rate expectations at various future horizons, as well as term structure data from both nominal and index …-linked bonds. Our results show that, in both currency areas, inflation risk premia are relatively small, positive, and increasing …

complementary positive central bank information shock raises both. These two shocks have intuitive and very different effects on the … point formally and offer an interpretation of the central bank information shock using a New Keynesian macroeconomic model …

-specific models include a Phillips curve determining inflation, an IS curve determining output, a Taylor Rule determining interest … through error spillover effects. Bootstrapped error bands are also provided for the cross country responses of a shock to the …