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Natural rate chimera and bond pricing reality
Brand, Claus; Goy, Gavin; Lemke, Wolfgang - 2021
equilibrium interest rate (r*), trend inflation (π*), and term premia. Similar to Bauer and Rudebusch (2020, AER), π* and r …
Persistent link: https://www.econbiz.de/10012705391
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Structural breaks, cointegration and the Fisher effect
Beyer, Andreas; Haug, Alfred Albert; Dewald, William G. - 2009
of cointegration. We applied new break tests and tested for nonlinearity in the cointegrating relation with post-war data … for 15 countries. Our empirical results support cointegration, after accounting for breaks, and a linear Fisher relation … in the long run. This is in contrast to several recent studies that found no support for linear cointegration. -- Fisher …
Persistent link: https://www.econbiz.de/10003831793
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Volatility of interest rates in the euro area
Cassola, Nuno; Morana, Claudio - 2003
This paper estimates the factors underlying the volatility of the euro overnight interest rate and its transmission along the euro area money market yield curve. A new multivariate unobserved components model is proposed allowing for both long-memory and stationary cyclical dynamics. Using...
Persistent link: https://www.econbiz.de/10009635972
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Interest rate reaction functions and the Taylor rule in the euro area
Gerlach-Kristen, Petra (contributor) - 2003
Persistent link: https://www.econbiz.de/10001820903
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Inequality and relative saving rates at the top
Lieberknecht, Philipp; Vermeulen, Philip - 2018
. We find strong evidence for a long-run cointegration relationship governed by relative saving rates at the top. For both …
Persistent link: https://www.econbiz.de/10011929816
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A cointegration model of money and wealth
Assenmacher-Wesche, Katrin; Beyer, Andreas - 2020
Extending the data set used in Beyer (2009) from 2007 to 2017, we estimate I(1) and I(2) money demand models for euro area M3. We nd that the elasticities in the money demand and the real wealth relations identi ed previously in Beyer (2009) have remained remarkably stable throughout the...
Persistent link: https://www.econbiz.de/10012150128
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The effects of climate change on the natural rate of interest : a critical survey
Mongelli, Francesco Paolo; Pointner, Wolfgang; End, … - 2022
This survey reviews the literature about the impact of climate change on the natural rate of interest (r*), an important yardstick for monetary policy. Economic and financial developments can lower r* in scenarios with increasing climate-related damages and uncertainty that reduce productivity...
Persistent link: https://www.econbiz.de/10013448676
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The reaction of bank lending to monetary policy measures in Germany
Worms, Andreas - 2001
Persistent link: https://www.econbiz.de/10001637012
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Revenue elasticities in euro area countries : an analysis of long-run and short-run dynamics
Koester, Gerrit; Priesmeier, Christoph - 2017
Revenue elasticities play a key role in forecasting, monitoring and analysing public finances under the European fiscal framework, which largely builds on cyclically adjusted indicators. This paper investigates whether there is evidence for dynamic - instead of the currently used static -...
Persistent link: https://www.econbiz.de/10011635246
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The quantity theory of money, 1870-2020
Jung, Alexander - 2024
cointegration tests show that the long-run relationship between excess money growth and inflation holds if longer runs of data are … predicted by Milton Friedman. For the full sample, the average speed of adjustment from excess money growth to inflation in …
Persistent link: https://www.econbiz.de/10014558771