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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

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

Monetary policy under alternative exchange rate regimes in Central and Eastern Europe

Ziegler, Christina - 2012

inflation as one component of future real wages. This paper scrutinizes whether countries in CEE that officially announce an … inflation target are tempted to act time-inconsistently and switch from the announced inflation target to an exchange rate … target in order to sustain higher output via surprise inflation. If market participants discover the time-inconsistency, they …

Persistent link: https://www.econbiz.de/10010308235

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

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

Why are policy real interest rates so high in Brazil? An analysis of the determinants of the Central Bank of Brazil's real interest rate

Balliester Reis, Thereza - 2016

This paper discusses the reasons for Brazil.s high policy real interest rates by considering two opposing views, the orthodox and heterodox approaches. While orthodox authors defend the position that bad domestic policies are the cause of the high interest rate, heterodox economists claim that...

Persistent link: https://www.econbiz.de/10011581594

Mortgage prepayment, race, and monetary policy

Gerardi, Kristopher; Willen, Paul; Zhang, David Hao - 2021

During the period 2005 to 2020, Black borrowers with mortgages insured by Fannie Mae or Freddie Mac paid interest rates that were almost 50 basis points higher than those paid by nonHispanic white borrowers. We show that the main reason is that non-Hispanic white borrowers are much more likely...

Persistent link: https://www.econbiz.de/10012653488

Japanese monetary policy and household saving

Israel, Karl-Friedrich; Sepp, Tim; Sonnenberg, Nils - 2021

This paper analyzes the impact of monetary policy on household saving in Japan between 1993 and 2017. Using annual data from the Japan Panel Survey of Consumers it is shown that monetary expansion has contributed to a widening gap in households' net saving through an adverse effect on the volume...

Persistent link: https://www.econbiz.de/10012590545

New Keynesian dynamics in a low interest rate environment

Braun, R. Anton; Körber, Lena Mareen - 2011

Recent research has found that the dynamic properties of the New Keynesian model can be very different when the nominal interest rate is zero. Improvements in technology and reductions in the labor tax rate lower economic activity, and the size of the government purchase output multiplier can be...

Persistent link: https://www.econbiz.de/10010292223

Interest Rate Smoothing versus Serially Correlated Errors in Taylor Rules: Testing the Tests

Welz, Peter; Österholm, Pär - 2005

This paper contributes to the recent debate about the estimated high partial adjustment coefficient in dynamic Taylor rules, commonly interpreted as deliberate interest rate smoothing on the part of the monetary authority. We argue that a high coefficient on the lagged interest rate term may be...

Persistent link: https://www.econbiz.de/10010321535

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