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Crump, Richard K.; Eusepi, Stefano; Tambalotti, Andrea; … - 2015

We estimate the elasticity of intertemporal substitution (EIS) - the elasticity of expected consumption growth with … Consumer Expectations (SCE). This dataset is unique, since it includes consumers' expectations of both consumption growth and … subjective version of the consumption Euler equation, without having to take a stand on the process of expectation formation. Our …

Persistent link: https://www.econbiz.de/10011288682

Subjective Intertemporal Substitution

Crump, Richard K. - 2020

We estimate the elasticity of intertemporal substitution (EIS)—the response of expected consumption growth to changes …). This unique data set allows us to estimate the consumption Euler equation with no auxiliary assumptions on the properties … with the results of much of the literature. In addition, planned consumption displays excess sensitivity to expected income …

Persistent link: https://www.econbiz.de/10012856136

The term structure of expectations and bond yields

Crump, Richard K.; Eusepi, Stefano; Mönch, Emanuel - 2016

How much do term premiums matter for explaining the dynamics of the term structure of interest rates? A lot. We characterize the expected path of nominal and real short-rates as well as inflation using the universe of U.S. surveys of professional forecasters covering more than 500 survey-horizon...

Persistent link: https://www.econbiz.de/10011477349

The term structure of expectations

Crump, Richard K.; Eusepi, Stefano; Mönch, Emanuel; … - 2021

Economic theory predicts that intertemporal decisions depend critically on expectations about future outcomes. Using the universe of professional survey forecasts for the United States, we document the behavior of the entire term structure of expectations for output growth, inflation, and the...

Persistent link: https://www.econbiz.de/10012660381

Scarce, abundant, or ample? : a time-varying model of the reserve demand curve

Afonso, Gara; Giannone, Domenico; La Spada, Gabriele; … - 2022

Does the federal funds rate respond to shocks when aggregate reserves are in the trillions of dollars? Has banks' demand for reserves moved over time? We provide a structural time-varying estimate of the slope of the reserve demand curve over 2010-21. We estimate a time-varying vector...

Persistent link: https://www.econbiz.de/10013257201

Tying down the anchor : monetary policy rules and the lower bound on interest rates

Mertens, Thomas M.; Williams, John C. - 2019

This paper uses a standard New Keynesian model to analyze the effects and implementation of various monetary policy frameworks in the presence of a low natural rate of interest and a lower bound on interest rates. Under a standard inflation-targeting approach, inflation expectations will be...

Persistent link: https://www.econbiz.de/10012000049

What to expect from the lower bound on interest rates : evidence from derivatives prices

Mertens, Thomas M.; Williams, John C. - 2018

This paper analyzes the effects of the lower bound for interest rates on the distributions of expectations for future inflation and interest rates. We study a stylized New Keynesian model where the policy instrument is subject to a lower bound to motivate the empirical analysis. Two equilibria...

Persistent link: https://www.econbiz.de/10011894408

The nonlinear case against leaning against the wind

Boyarchenko, Nina; Crump, Richard K.; Dogra, Keshav; … - 2024

We re-examine the relationship between monetary policy and financial stability in a setting that allows for nonlinear, time-varying relationships between monetary policy, financial stability, and macroeconomic outcomes. Using novel machine-learning techniques, we estimate a flexible "nonlinear...

Persistent link: https://www.econbiz.de/10014532008

Inflation band targeting and optimal inflation contracts

Mishkin, Frederic S.; Westelius, Niklas J. - In: Journal of money, credit and banking : JMCB 40 (2008) 4, pp. 557-582

Persistent link: https://www.econbiz.de/10003714478

Globalization, macroeconomic performance, and monetary policy

Mishkin, Frederic S. - In: Journal of money, credit and banking : JMCB 41 (2009), pp. 187-196

Persistent link: https://www.econbiz.de/10003807835