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UK term structure decompositions at the zero lower bound
Carriero, Andrea; Mouabbi, Sarah; Vangelista, Elisabetta - 2015
This paper employs a Zero Lower Bound (ZLB) consistent shadow-rate model to decompose UK nominal yields into expectation and term premia components. Compared to a standard affine term structure model, it performs relatively better in a ZLB setting and effectively captures the countercyclical...
Persistent link: https://www.econbiz.de/10011339919
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Inflation decomposition model : application to Macedonian inflation
Andonova, Danica Unevska - 2018
The purpose of the paper is to introduce the framework for decomposing the forecast of headline inflation, obtained by macroeconomic model of NBRM for monetary policy analysis and medium term projections (MAKPAM), into its components: food, energy and core inflation. The model for inflation...
Persistent link: https://www.econbiz.de/10011926820
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Extraction of inflation expectations from financial instruments
Fuertes, Alberto; Gimeno, Ricardo; Marqués, José Manuel - 2018
In this paper we estimate inflation expectations for several Latin American countries using an affine model that takes as factors the observed inflation and the parameters generated from zero-coupon yield curves of nominal bonds. By implementing this approach, we avoid the use of...
Persistent link: https://www.econbiz.de/10011883446
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SVARs identification through bounds on the forecast error variance
Volpicella, Alessio - 2019
-robust approach is proposed to construct estimation and inference. Thirdly, this paper suggests a procedure to derive theory … the FEVD tend to remove unreasonable implications, increase estimation precision, sharpen and also alter the inference of …
Persistent link: https://www.econbiz.de/10012037315
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Predictions of short-term rates and the expectations hypothesis of the term structure of interest rates
Thornton, Daniel L. (contributor) - 2004 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002115886
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Predictions of short-term rates and the expectations hypothesis
Guidolin, Massimo; Thornton, Daniel L. - 2010
Persistent link: https://www.econbiz.de/10008651137
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Tobins̉ imperfect asset substitution in optimizing general equilibrium
Andrés, Javier (contributor);  … - 2004 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001987130
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Monetary policy surprises and their transmission through term premia and expected interest rates
Kaminska, Iryna; Mumtaz, Haroon; Šustek, Roman - 2020
for macroeconomic outcomes? Using an affine term structure model, we shed new light on these questions. Estimation is … subject to restrictions addressing an estimation bias in expected interest rates obtained by previous studies. Highfrequency … the transmission mechanism and broadly consistent with macroeconomic theory. …
Persistent link: https://www.econbiz.de/10012316011
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Money and capital : a quantitative analysis
Aruoba, S. Boraðan; Waller, Christopher; Wright, Randall D. - 2009
Persistent link: https://www.econbiz.de/10003866642
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Asymmetric expectation effects of regime shifts and the great moderation
Liu, Zheng (contributor); Waggoner, Daniel F. (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003579970