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Interest Rate Volatility and Contagion in Emerging Markets : Evidence from the 1990s

Edwards, Sebastian; Susmel, Raul - 2021

of volatility through time. We are particularly interested in understanding whether periods of high volatility spillover … across countries. Our analysis relies both on univariate and bivariate switching volatility models. Our results indicate that … high-volatility episodes are, in general, short-lived, lasting from two to seven weeks. We find some weak evidence of …

Persistent link: https://www.econbiz.de/10013229055

Simulated Likelihood Estimation of Diffusions with an Application to Exchange Rate Dynamics in Incomplete Markets

Santa-Clara, Pedro; Brandt, Michael W. - 2021

We present an econometric method for estimating the parameters of a diffusion model from discretely sampled data. The estimator is transparent, adaptive, and inherits the asymptotic properties of the generally unattainable maximum likelihood estimator. We use this method to estimate a new...

Persistent link: https://www.econbiz.de/10013235636

Exchange Rates and Fundamentals

Engel, Charles M. - 2004

We show analytically that in a rational expectations present value model, an asset price manifests near random walk behavior if fundamentals are I(1) and the factor for discounting future fundamentals is near one. We argue that this result helps explain the well known puzzle that fundamental...

Persistent link: https://www.econbiz.de/10012785468

Money and Interest Rates in the United States During the Great Depression

Basile, Peter - 2010

This paper reexamines the debate over whether the United States fell into a liquidity trap in the 1930s. We first review the literature on the liquidity trap focusing on Keynes's discussion of "absolute liquidity preference" and the division that soon emerged between Keynes, who believed that a...

Persistent link: https://www.econbiz.de/10013139970

Interest Rates and Money in the Measurement of Monetary Policy

Belongia, Michael T. - 2014

Over the last twenty-five years, a set of influential studies has placed interest rates at the heart of analyses that interpret and evaluate monetary policies. In light of this work, the Federal Reserve's recent policy of "quantitative easing," with its goal of affecting the supply of liquid...

Persistent link: https://www.econbiz.de/10013053840

The Response of Interest Rates to the Federal Reserve's Weekly Money Announcements : the "Puzzle" of Anticipated Money

Deaves, Richard; Melino, Angelo; Pesando, James E. - 2022

Researchers, using the survey conducted by Money Market Services, Inc., have found that the anticipated component in the Federal Reserve's weekly money supply announcement is negatively correlated with the post- announcement change in market yields. We prove that eliminating a (downward) bias in...

Persistent link: https://www.econbiz.de/10013323587

Temporal Variation in the Interest-Rate Response to Money Announcements

Roley, V. Vance; Wheatley, Simon M. - 2022

A number of studies find significant temporal variation in the interest-rate response to money announcement surprises. An unresolved question, however, is whether the response changes immediately as different policy regimes are adopted, or whether the change is gradual reflecting the...

Persistent link: https://www.econbiz.de/10013310144

Money and Inflation in the Euro Area : A Case for Monetary Indicators?

Gerlach, Stefan; Svensson, Lars E. O. - 2021

This paper studies the relationship between inflation, output, money and interest rates in the euro area, using data spanning 1980 2000. The P* model is shown to have considerable empirical support. Thus, the price gap' or, equivalently, the real money gap' (the gap between current real balances...

Persistent link: https://www.econbiz.de/10013312477

Short-Run Independence of Monetary Policy Under Pegged Exchange Rates and Effects of Money on Exchange Rates and Interest Rates

Stockman, Alan C.; Ohanian, Lee E. - 2021

Economists generally assert that countries sacrifice monetary independence when they peg their exchange rates. At the same time, central bankers frequently assert that pegging an exchange rate does not eliminate the independence of monetary policy. This paper examines the effects of money-supply...

Persistent link: https://www.econbiz.de/10013229355

Money Growth and Interest Rates

Hur, Seok-Kyun - 2021

Our paper explores a transmission mechanism of monetary policy through bond market. Based on the assumption of delayed responses of economic agents to monetary shocks, we derive a system of equations relating the term structure of interest rates with the past history of money growth rates and...

Persistent link: https://www.econbiz.de/10013230219

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