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A tale of four tails: Inflation, the policy rate, longer-term rates, and stock prices
Anene, Dominic; D'Amico, Stefania - 2017
We analyze empirical links between the perceived tail-risk of inflation, the policy rate, longer-term interest rates … always in reaction to Fed announcements; and, (v) our impulse responses demonstrate that odds of extreme inflation outcomes …
Persistent link: https://www.econbiz.de/10012030329
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Determinantes de la tasa interbancaria de préstamos en Argentina
Anastasi, Alejandra; Elosegui, Pedro; Sangiácomo, Máximo - 2009
This paper analyzes the determinants of the interest rate of short-term unsecured loan inter-bank market (call) in Argentina. The results show that the heterogeneous nature of the entities, in terms of size and origin of ownership, impacts on the interest rate agreed. Other additional aspects,...
Persistent link: https://www.econbiz.de/10010325101
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Tacit collusion under interest rate fluctuations
Dal Bó, Pedro - 2002
In contrast to the existing literature on repeated games that assumes a Þxed discount factor, I study an environment in which it is more realistic to assume a ßuctuating discount factor. In a repeated oligopoly, as the interest rate changes, so too does the degree to which Þrms discount the...
Persistent link: https://www.econbiz.de/10010318903
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In- and out-of-sample specification analysis of spot rate models: Further evidence for the period 1982-2008
Cai, Lili; Swanson, Norman R. - 2011
We review and construct consistent in-sample specification and out-of-sample model selection tests on conditional distributions and predictive densities associated with continuous multifactor (possibly with jumps) and (non)linear discrete models of the short term interest rate. The results of...
Persistent link: https://www.econbiz.de/10010282832
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Supply shocks and the persistence of inflation
Sommer, Martin - 2002
This paper examines the long-run effects of supply shocks (such as oil shocks) on inflation in the United States. The … persistence of supply shocks in U.S. inflation fell considerably during the period of Volcker's disinflation (1979-1982). My … the behavior of inflation expectations-agents expected shocks to persist in the pre-Volcker period, but not in the post …
Persistent link: https://www.econbiz.de/10010293489
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Regime dependence, common shocks and the inflation-relative price variability relation
Castagnino, Tomás; D'Amato, Laura - 2008
idiosyncratic components, we study the regime dependence of the inflation-RPV relation in Argentina and the USA. Under High …Using frequency domain techniques to separate short and long run dynamics and decomposing inflation into its common and … inflation, strong long-run comovement between RPV and Inflation is found for both economies, that extends to the short run …
Persistent link: https://www.econbiz.de/10010325092
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The interest rate, learning, and inventory investment
Maccini, Louis J.; Schaller, Huntley; Moore, Bartholomew - 2004
Economic theory predicts a negative relationship between inventories and the real interest rate, but previous empirical studies (mostly based on the older stock adjustment model) have found little evidence of such a relationship. We derive parametric tests for the role of the interest rate in...
Persistent link: https://www.econbiz.de/10010333073
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The mortgage rate conundrum
Justiniano, Alejandro; Primiceri, Giorgio E.; … - 2017
We document the emergence of a disconnect between mortgage and Treasury interest rates in the summer of 2003. Following the end of the Federal Reserve expansionary cycle in June 2003, mortgage rates failed to rise according to their historical relationship with Treasury yields, leading to...
Persistent link: https://www.econbiz.de/10012030332
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Why have interest rates fallen far below the return on capital
Marx, Magali; Mojon, Benoît; Velde, François R. - 2018
Risk-free rates have been falling since the 1980s while the return on capital has not. We analyze these trends in a calibrated OLG model with recursive preferences, designed to encompass many of the "usual suspects" cited in the debate on secular stagnation. Declining labor force and...
Persistent link: https://www.econbiz.de/10012030344
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Do Interventions Smooth Interest Rates?
Fischer, Andreas M. - 2000
Persistent link: https://www.econbiz.de/10011430014