This paper implements a structural model of the yield curve with data on nominal positions and survey forecasts. Bond prices are characterized in terms of investors' current portfolio holdings as well as their subjective beliefs about future bond payoffs. Risk premia measured by an...

This article shows that the "risk premium" shock in Smets and Wouters (2007) can be interpreted as a structural shock to the demand for safe and liquid assets such as short-term US Treasury securities. Several implications of this interpretation are discussed.

This paper explores whether a limited participation model of the monetary transmission mechanism can account for the observed response of stock market returns to monetary policy shocks. It is found that the model generates responses that broadly match the empirical counterparts, although the...

The paper seeks to lay out a stock-flow-based theoretical framework that provides a foundation for a general theory of pricing. Contemporary marginalist economics is usually based on the assumption that prices are set in line with the value placed on goods by consumers. It does not take into...

The 2007-8 global financial crisis has shown the failure of private finance to efficiently allocate capital to finance real capital development. The resilience and stability of Brazil's financial system has received attention, since it navigated relatively smoothly through the Great Recession...

Walter Bagehot's putative principles of lending in liquidity crises - to lend freely to solvent banks with good collateral but at penalty rates - have served as a theoretical basis for thinking about the lender of last resort for close to 100 years, while simultaneously providing justification...

The paper evaluates the ability of market participants to anticipate monetary policy decisions in the euro area and in 13 other countries. First, by looking at the magnitude and the volatility of the changes in the money market rates we show that the days of policy meetings are special days for...

As financial stability has gained focus in economic policymaking, the demand for analyses of financial stability and the consequences of economic policy has increased. Alternative macroeconomic models are available for policy analyses, and this paper evaluates the usefulness of some models from...

Understanding the dynamics of spot interest rates is important for derivatives pricing, risk management, interest rate liberalization, and macroeconomic control. Based on a daily data of Chinese 7-day repo rates from July 22, 1996 to August 26, 2004, we estimate and test a variety of popular...

This paper examines the relationship between stock market development and economic growth in case of Argentina's economy. Apply Granger causality and exogeneity tests based on VEC (vector error correction) models with monthly data covering the period 1993:1-2010:8. The results show that the...