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The Level and Volatility of Interest Rates in the United States : the Roles of Expected Inflation, Real Rates, and Taxes
Makin, John H.; Tanzi, Vito - 2021
implications of a broad range of U.S. tax code provisions for behavior of interest rates. Determinants of interest rate volatility …
Persistent link: https://www.econbiz.de/10013240983
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Predictable Stock Returns in the United States and Japan : a Study of Long-Term Capital Market Integration
Campbell, John Y. - 2010
This paper studies the predictability of monthly excess returns on equity portfolios over the domestic short-term interest rate in the U.S. and Japan during the period 1971:1-1989:3. The paper finds that similar variables, including the dividend-price ratio and interest rate variables, help to...
Persistent link: https://www.econbiz.de/10012763162
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Risk Matters : The Real Effects of Volatility Shocks
Fernández-Villaverde, Jesús - 2010
This paper shows how changes in the volatility of the real interest rate at which small open emerging economies borrow … motivate our investigation, we document the strong evidence of time-varying volatility in the real interest rates faced by a … sample of four emerging small open economies: Argentina, Ecuador, Venezuela, and Brazil. We postulate a stochastic volatility …
Persistent link: https://www.econbiz.de/10012757576
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Understanding Inflation-Indexed Bond Markets
Campbell, John Y. - 2010
inflation-indexed yields and high short-term volatility of inflation-indexed bond returns do not invalidate the basic case for …
Persistent link: https://www.econbiz.de/10013152616
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Data Gaps and the Policy Response to the Novel Coronavirus
Stock, James H. - 2020
This note lays out the basic Susceptible-Infected-Recovered (SIR) epidemiological model of contagion, with a target audience of economists who want a framework for understanding the effects of social distancing and containment policies on the evolution of contagion and interactions with the...
Persistent link: https://www.econbiz.de/10012838354
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Inflation, Real Interest Rates, and the Bond Market : A Study of UK Nominal and Index-Linked Government Bond Prices
Barr, David G. - 2008
This paper estimates expected future real interest rates and inflation rates from observed prices of UK government nominal and index-linked bonds. The estimation method takes account of imperfections in the indexation of UK index-linked bonds. It assumes that expected log returns on all bonds...
Persistent link: https://www.econbiz.de/10012774964
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Short-Term Movements of Long-Term Real Interest Rates : Evidence from the U.K. Indexed Bond Market
Wilcox, James A. - 2010
The central goverment now issues both nominal and iflation indexed long-term bonds in the United Kingdom. The difference in their yields provides one measure of the long-term expevted rate of inflation. The evidence suggests that higher long-term, expected , real yields are associated with...
Persistent link: https://www.econbiz.de/10012763379
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The Role of Real Annuities and Indexed Bonds in an Individual Accounts Retirement Program
Brown, Jeffrey R.; Mitchell, Olivia S.; Poterba, James M. - 2021
additional real returns associated with common stocks more than compensate for the volatility of prospective payouts. These …
Persistent link: https://www.econbiz.de/10013215351
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Consumer Durables and the Real Interest Rate
Mankiw, N. Gregory - 2021
One important channel through which real interest rates affect aggregate demand is consumer expenditure on durable goods. This paper examines empirically the link between interest rates and consumer durables. Solving for the decision rule relating income and interest rates to consumer demand is...
Persistent link: https://www.econbiz.de/10013246298
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Fin De Siecle Real Interest Parity
Fujii, Eiji; Chinn, Menzie David - 2022
We evaluate the recent evidence for real interest parity, focusing on long-term yields. Examining the data on financial instruments of various maturities across the G7 countries, we find substantial differences in the degree of real interest equalization measured at different horizons. In...
Persistent link: https://www.econbiz.de/10013308602