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Persistent link: https://www.econbiz.de/10009766427
Recent interest in "Risk Management"has highlighted the relevance of Bayesian analysis for robust monetary …
Persistent link: https://www.econbiz.de/10003747990
This paper studies optimal discretionary policy with parameter uncertainty about inflation inertia. Optimal policy rules and impulse responses are presented within a hybrid New-Keynesian model estimated for the euro area by Smets (2003). We find that it may be optimal for policy to respond more...
Persistent link: https://www.econbiz.de/10003208613
Persistent link: https://www.econbiz.de/10001702821
This paper sheds light on the impact of global macroeconomic uncertainty on the euro area economy. We build on the methodology proposed by Jurado et al. (2015) and estimate global as well as country-specific measures of economic uncertainty for fifteen key euro area trade partners and the euro...
Persistent link: https://www.econbiz.de/10012503567
This paper proposes a procedure to investigate the nature and persistence of the forces governing the yield curve and to use the extracted information for forecasting purposes. The latent factors of a model of the Nelson-Siegel type are directly linked to the maturity of the yields through the...
Persistent link: https://www.econbiz.de/10003782668
, or "uncertainty shocks", are an important model ingredient. First, they account for countercyclical movements in risk … changes in both risk-premia and expected future real rates, uncertainty shocks account for about 1/2 of the variance of long …
Persistent link: https://www.econbiz.de/10012009116
We address the question to what extent a central bank can de-risk its balance sheet by unconventional monetary policy … operations. To this end, we propose a novel risk measurement framework to empirically study the time-variation in central bank … generated beneficial risk spill-overs across monetary policy operations, causing overall risk to be nonlinear in exposures. Some …
Persistent link: https://www.econbiz.de/10011959298
. For this purpose, it first extends the estimation of risk-neutral probability density functions up to tick frequency. In … triggering an adjustment process for interest rate expectations. - Risk-neutral probability density functions ; option …
Persistent link: https://www.econbiz.de/10009380949
Persistent link: https://www.econbiz.de/10009766337