Narrow search
Showing 1 - 10 of 735
Cover Image
Why are Target Interest Rate Changes so Persistent?
Coibion, Olivier - 2011
While the degree of policy inertia in central banks' reaction functions is a central ingredient in theoretical and empirical monetary economics, the source of the observed policy inertia in the U.S. is controversial, with tests of competing hypotheses such as interest-smoothing and...
Persistent link: https://www.econbiz.de/10013131304
Cover Image
Exchange Rate Volatility and First-Time Entry by Multinational Firms
Russ, Katheryn - 2008
theoretically that volatility in fundamental variables such as the nominal interest rate that drive exchange rate volatility can … investment on exchange rate volatility. It is the first paper to provide empirical evidence that interest rate volatility may …
Persistent link: https://www.econbiz.de/10012773155
Cover Image
Can Interest Rate Volatility Be Extracted from the Cross Section of Bond Yields? an Investigation of Unspanned Stochastic Volatility
Collin-Dufresne, Pierre - 2006
Most affine models of the term structure with stochastic volatility (SV) predict that the variance of the short rate is …;unspanned stochastic volatility (USV).quot; Of the models tested, only the A1(4) USV model is found to generate both realistic volatility … estimates and a good cross-sectional fit. Our findings suggests that interest rate volatility cannot be extracted from the cross …
Persistent link: https://www.econbiz.de/10012783833
Cover Image
Liquidity and Trading Dynamics
Guerrieri, Veronica - 2010
How do financial frictions affect the response of an economy to aggregate shocks? In this paper, we address this question, focusing on liquidity constraints and uninsurable idiosyncratic risk. We consider a search model where agents use liquid assets to smooth individual income shocks. We show...
Persistent link: https://www.econbiz.de/10012759970
Cover Image
External Imbalances in an Advanced, Commodity-Exporting Country : The Case of New Zealand
Edwards, Sebastian - 2010
During the last three years New Zealand has faced increasingly large external imbalances. The current account deficit has increased from 4.3% of GDP in 2003 to almost 9.0% of GDP in 2005. During the same period the country's net international investment position (NIIP) went from a negative level...
Persistent link: https://www.econbiz.de/10012760610
Cover Image
A General Stochastic Volatility Model for the Pricing and Forecasting of Interest Rate Derivatives
Trolle, Anders B. - 2010
We develop a tractable and flexible stochastic volatility multi-factor model of the term structure of interest rates …
Persistent link: https://www.econbiz.de/10012761268
Cover Image
On Expectations, Term Premiums and the Volatility of Long-Term Interest Rates
Pesando, James E. - 2010
explored that evidence of excess volatility need not imply the existence of unexploited profit opportunities under the rational …
Persistent link: https://www.econbiz.de/10012763138
Cover Image
A Multifactor, Nonlinear, Continuous-Time Model of Interest Rate Volatility
Boudoukh, Jacob - 2010
major finding is that the volatility of interest rates is increasing in the level of interest rates only for sharply upward …
Persistent link: https://www.econbiz.de/10012763356
Cover Image
Separating the Business Cycle from Other Economic Fluctuations
Hall, Robert E. - 2009
the volatility of GDP growth at all frequencies. Monetary policymakers looking to a neoclassical model to provide the …
Persistent link: https://www.econbiz.de/10012767517
Cover Image
Can a Lender of Last Resort Stabilize Financial Markets? Lessons from the Founding of the Fed
Bernstein, Asaf - 2008
financial stringency from the harvest season, with the rest of the year during the period 1870-1925. Stock volatility in the … period (1870- May 1908). We also find that the volatility of the call loan rate declined nearly 70 percent in September and …
Persistent link: https://www.econbiz.de/10012769641