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Stock Prices and Bond Yields : Can Their Comovements Be Explained in Terms of Present Value Models?

Shiller, Robert J. - 2009

short-run inflation rate. Over the last century real stock prices have shown little reaction to changes in inflation rates …

Persistent link: https://www.econbiz.de/10012767717

Estimating the Long-Run Relationship between Interest Rates and Inflation : a Response to Mccallum

Summers, Lawrence H. - 2021

This note demonstrates that Bennett McCallum's recent critique of low frequency estimates of macro-economic relationships is of little empirical significance. It also demonstrates that readily available and frequently used techniques can be used to diagnose the problem McCallum raises. Finally,...

Persistent link: https://www.econbiz.de/10013310822

The Fisher Hypothesis and the Forecastability and Persistence of Inflation

Barsky, Robert - 2021

inflation rate is -.17. The corresponding correlation for the period 1950 to 1979 is .71. Inflation evolved from essentially a … stochastic process of inflation, rather than a change in any structural relationship between nominal rates and expectedi nflation …. I find little evidence of inflation non-neutrality in data from the gold standard period.This contradicts the conclusion …

Persistent link: https://www.econbiz.de/10013234382

On the Welfare Cost of Inflation and the Recent Behavior of Money Demand

Ireland, Peter N. - 2010

low but still positive rates of inflation, provides an adequate approximation in welfare terms to the alternative of …

Persistent link: https://www.econbiz.de/10012759202

Interest Rates and the Exchange Rate : A Non-Monotonic Tale

Hnatkovska, Viktoria V. - 2010

interest rates raise the government's fiscal burden, and, therefore, can lead to higher expected inflation. While the first …

Persistent link: https://www.econbiz.de/10012759403

Conventional and Unconventional Approaches to Exchange Rate Modeling and Assessment

Alquist, Ron - 2010

We examine the relative predictive power of the sticky price monetary model, uncovered interest parity, and a transformation of net exports and net foreign assets. In addition to bringing Gourinchas and Rey's new approach and more recent data to bear, we implement the Clark and West...

Persistent link: https://www.econbiz.de/10012760690

Risk-Free Interest Rates

van Binsbergen, Jules H. - 2019

We estimate risk-free interest rates unaffected by convenience yields on safe assets. We infer them from risky asset prices without relying on any specific model of risk. We obtain a term structure of convenience yields with maturities up to 2.5 years at a minutely frequency. The convenience...

Persistent link: https://www.econbiz.de/10012864808

Negative Nominal Interest Rates and the Bank Lending Channel

Eggertsson, Gauti B. - 2019

We investigate the bank lending channel of negative nominal policy rates from an empirical and theoretical perspective. We find that retail household deposit rates are subject to a lower bound (DLB). Empirically, once the DLB is met, the pass-through to lending rates and credit volumes is...

Persistent link: https://www.econbiz.de/10012895478

The Reversal Interest Rate

Brunnermeier, Markus K. - 2019

The “reversal interest rate” is the rate at which accommodative monetary policy reverses its intended effect and becomes contractionary for lending. It occurs when banks' asset revaluation from duration mismatch is more than offset by decreases in net interest income on new business,...

Persistent link: https://www.econbiz.de/10012895911

Measuring the Effects of Federal Reserve Forward Guidance and Asset Purchases on Financial Markets

Swanson, Eric T. - 2017

I extend the methods of G ̈urkaynak, Sack, and Swanson (2005) to separately identify the effects of Federal Reserve forward guidance and large-scale asset purchases (LSAPs) during the 2009–15 U.S. zero lower bound (ZLB) period. I find that both forward guidance and LSAPs had substantial and...

Persistent link: https://www.econbiz.de/10012958993