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Secular drivers of the natural rate of interest in the United States : a quantitative evaluation
Platzer, Josef; Peruffo, Marcel - 2022
We develop a heterogeneous agent, overlapping generations model with nonhomothetic preferences that nests several explanations for the decline in the natural rate of interest (r*) suggested in the literature: demographic change, a slowdown in productivity growth, a rise in income inequality, and...
Persistent link: https://www.econbiz.de/10013170272
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The Fisher Hypothesis and Inflation Persistence : Evidence From Five Major Industrial Countries
Peng, Wensheng - 1995
This paper presents an empirical evaluation of the strength of the Fisher effect which predicts a positive relationship between the nominal interest rate and inflation in the postwar period in the five major industrial countries, utilizing recently developed time series techniques. The results...
Persistent link: https://www.econbiz.de/10014395917
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Inflation expectations in the U.S. : linking markets, households, and businesses
Williams, Peter D. - 2020
Inflation has been below the Federal Reserve's target for much of the past 20 years, creating worries that inflation may be deanchoring from the FOMC's target. This paper uses a factor model that incorporates information from professional forecasters, household and business surveys, and the...
Persistent link: https://www.econbiz.de/10012392558
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Monetary policy is not always systematic and data-driven : evidence from the yield curve
Bulíř, Aleš; Vlček, Jan - 2020
Does monetary policy react systematically to macroeconomic innovations? In a sample of 16 countries - operating under various monetary regimes - we find that monetary policy decisions, as expressed in yield curve movements, do react to macroeconomic innovations and these reactions reflect the...
Persistent link: https://www.econbiz.de/10012170089
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Estimating parameters of short-term real interest rate models
Khramov, Vadim - 2013
elasticity of interest rate volatility—the relationship between the volatility of changes in the interest rate and its level … rate volatility are found to be about 0.5, much lower than that of the nominal interest rate. These estimates show that the …
Persistent link: https://www.econbiz.de/10012667498
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German bond yields and debt supply : is there a "bund premium"?
Paret, Anne-Charlotte; Weber, Anke - 2019
, which is more pronounced for higher maturities and when risk aversion proxied by bond market volatility is high. Going …
Persistent link: https://www.econbiz.de/10012154614
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Testing the Prebisch-Singer hypothesis since 1650 : evidence from panel techniques that allow for multiple breaks
Arezki, Rabah; Hadri, Kaddour; Loungani, Prakash; Rao, Yao - 2013
secular trend and the short run volatility. To do so, we employ 25 series, some of them starting as far back as 1650 and … investigating the dynamics of the volatility of the 25 relative primary commodity prices also allowing for endogenous multiple … breaks. We describe the often time-varying volatility in commodity prices and show that it has increased in recent years …
Persistent link: https://www.econbiz.de/10012667514
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Managing macrofinancial risk
Adrian, Tobias; Vitek, Francis - 2020
We augment a linearized dynamic stochastic general equilibrium (DSGE) model with a tractable endogenous risk mechanism, to support the joint analysis of monetary and macroprudential policy. This state dependent conditional heteroskedasticity mechanism specifies the conditional variances of...
Persistent link: https://www.econbiz.de/10012300643
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Financial development, exchange rate fluctuations, and debt dollarization : a firm-level evidence
Kim, Minsuk - 2019
volatility in determining a firm's debt currency composition, among other channels. Furthermore, the effect of exchange rate … volatility becomes statistically insignificant beyond an estimated threshold credit-to-GDP ratio of 100 percent …
Persistent link: https://www.econbiz.de/10012102196
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Oil prices and GCC stock markets : new evidence from smooth transition models
Cheikh, Nidhaleddine Ben; Ben Naceur, Samy; Kanaan, … - 2018
Our paper examines the effect of oil price changes on Gulf Cooperation Council (GCC) stock markets using nonlinear smooth transition regression (STR) models. Contrary to conventional wisdom, our empirical results reveal that GCC stock markets do not have similar sensitivities to oil price...
Persistent link: https://www.econbiz.de/10011852573