Showing 1 - 10 of 62
Inflation compensation derived from nominal and real bond yields contains market based, real time information regarding the inflation expectations and the pricing of inflation risks. In this study, we calculate inflation compensation for Turkey by using nominal and real yield curves. The...
Persistent link: https://www.econbiz.de/10011048760
This paper aims to extend the existing literature on foreign exchange rate risk pricing. Unlike the existing studies on Canada, we use six alternative bilateral and one multilateral exchange rate proxies. Furthermore, using both a two-factor and a three-factor capital asset pricing model (CAPM),...
Persistent link: https://www.econbiz.de/10010744019
This paper studies the effects of the monetary policy regime shift to inflation targeting on the stochastic properties of the real interest rate in the U.K. The empirical analysis suggests a constant mean of the real interest rate that shifts with the monetary policy regime change to inflation...
Persistent link: https://www.econbiz.de/10010573265
Using a standard forward-looking New Keynesian model, this paper investigates rational expectation equilibrium determinacy and macroeconomic performance of simple monetary policy rules under exogenous versus endogenous tax policies when there is tax uncertainty. Under the endogenous tax...
Persistent link: https://www.econbiz.de/10010729810
By introducing search and matching frictions in both the labor and the credit markets into a cash in advance New Keynesian DSGE model, we provide a novel explanation of the incomplete pass-through from policy rates to loan rates. We show that this phenomenon is ineradicable if banks possess some...
Persistent link: https://www.econbiz.de/10010729845
We address the problem of a social planner who, as in Weitzman, (2001), gathers data on experts' discount rates and wants to infer the social consumption discount rate. We propose an equilibrium approach and we analyze the expression and the properties of the resulting equilibrium discount rate....
Persistent link: https://www.econbiz.de/10010729861
Price and liquidity puzzles have been identified as two major counterintuitive findings arising from monetary shocks. We investigate their presence in eleven African countries, using a dynamic stochastic general equilibrium model designed for indebted small open-economies. Our simulations reveal...
Persistent link: https://www.econbiz.de/10010737979
This paper decomposes monetary policy changes into anticipated and unanticipated ones. Then US Treasury rate pass-through and the corresponding central bank reaction function are analyzed within an asymmetric error–correction framework. Our empirical analysis indicates that changes in policy...
Persistent link: https://www.econbiz.de/10010737990
The paper presents a new approach to exchange rate modelling that augments the CHEER model with a sovereign credit default risk as perceived by financial investors making their decisions. In the cointegrated VAR system with nine variables comprised of the short- and long-term interest rates in...
Persistent link: https://www.econbiz.de/10011048680
It is commonly believed that higher budget deficits raise interest rates. However, these crowding out effects of increasing public debt have usually been found to be small or non-existent. One explanation is that on globalised bond markets interest rate differentials are offset due to financial...
Persistent link: https://www.econbiz.de/10011048781