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On secular stagnation and low interest rates : demography matters
Ferrero, Giuseppe; Groß, Marco; Neri, Stefano - 2017
Nominal and real interest rates in advanced economies have been decreasing since the mid-1980s and reached historical low levels in the aftermath of the global financial crisis. Understanding why interest rates have fallen is essential for both monetary policy and financial stability. This paper...
Persistent link: https://www.econbiz.de/10011697366
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Real interest rates, bank borrowing, and fragility
Ahnert, Toni; Anand, Kartik; König, Philipp Johann - 2022
How do real interest rates affect financial fragility? We study this issue in a model in which bank borrowing is subject to rollover risk. A bank's optimal borrowing trades off the benefit from investing additional funds into profitable assets with the cost of greater risk of a run by bank...
Persistent link: https://www.econbiz.de/10013463279
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House prices and ultra-low interest rates : exploring the non-linear nexus
Dieckelmann, Daniel; Hempell, Hannah S.; Jarmulska, Barbara - 2023
The acceleration of house price growth amidst falling interest rates to record-low levels across euro area countries between 2015 and 2021 has sparked renewed interest in the link between the two variables. Asset-pricing theory suggests that real house prices respond to changes in real interest...
Persistent link: https://www.econbiz.de/10013553574
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Exchange rate forecasting on a napkin
Ca'Zorzi, Michele; Rubaszek, Michał - 2018
This paper shows that there are two regularities in foreign exchange markets in advanced countries with flexible regimes. First, real exchange rates are mean-reverting, as implied by the Purchasing Power Parity model. Second, the adjustment takes place via nominal exchange rates. These features...
Persistent link: https://www.econbiz.de/10011856403
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New facts on consumer price rigidity in the euro area
Gautier, Erwan; Conflitti, Cristina; Faber, Riemer P.; … - 2022
Using CPI micro data for 11 euro area countries covering about 60% of the euro area consumption basket over the period 2010-2019, we document new findings on consumer price rigidity in the euro area: (i) each month on average 12.3% of prices change, which compares with 19.3% in the United...
Persistent link: https://www.econbiz.de/10013256560
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One currency, one price? : euro changeover-related inflation in Estonia
Meriküll, Jaanika; Rõõm, Tairi - 2014
Persistent link: https://www.econbiz.de/10010441088
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The behaviour of the real exchange rate : evidence from regression quantiles
Nikolaou, Kleopatra (contributor) - 2006
We test for mean reversion in real exchange rates using a recently developed unit root test for non-normal processes based on quantile autoregression inference in semi-parametric and non-parametric settings. The quantile regression approach allows us to directly capture the impact of different...
Persistent link: https://www.econbiz.de/10003358655
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Productivity shocks and real exchange rate : a reappraisal
Peltonen, Tuomo; Sager, Michael - 2009
We reappraise the relationship between productivity and equilibrium real exchange rates using a panel estimation framework that incorporates a large number of countries and importantly, a dataset that allows explicit consideration of the role of non-traded, as well as traded, sector productivity...
Persistent link: https://www.econbiz.de/10003832627
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Can non-linear real shocks explain the persistence of PPP exchange rate disequilibria?
Peltonen, Tuomo; Popescu, Adina; Sager, Michael - 2009
exchange rates from levels implied by Purchasing Power Parity (PPP) are very persistent. Empirical efforts to explain this … differentials that drive equilibrium exchange rates away from levelsimplied by PPP, or the presence of non-linearities in the … adjustment process around PPP. By contrast, we combine these two explanations in the context of an innovative panel estimation …
Persistent link: https://www.econbiz.de/10003867086
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Long run macroeconomic relations in the global economy
Dées, Stéphane; Holly, Sean; Pesaran, M. Hashem; … - 2007
results for the PPP are much weaker. Also the transmission of shocks and subsequent adjustments in financial markets are much …
Persistent link: https://www.econbiz.de/10003472990