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Predicting risk premia in short-term interest rates and exchange rates
Gräb, Johannes; Kostka, Thomas - 2018
We assess the ability of yield curve factors to predict risk premia in short-term interest rates and exchange rates across a large sample of major advanced economies. We find that the same tick-shaped linear combination of (relative) bond yields predicts risk premia in both short-term interest...
Persistent link: https://www.econbiz.de/10011802134
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Monetary policy and bank equity values in a time of low interest rates
Ampudia, Miguel; Heuvel, Skander van den - 2018
This paper examines the effects of monetary policy on the equity values of European banks. We identify monetary policy shocks by looking at changes in the EONIA one-month and two-year swap contract rates during narrow windows around the press statements and press conferences announcing monetary...
Persistent link: https://www.econbiz.de/10011928956
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Monetary policy and bank profitability in a low interest rate environment
Altavilla, Carlo; Boucinha, Miguel; Peydró, José-Luis - 2017
We analyse the impact of standard and non-standard monetary policy measures on bank profitability. For empirical … monetary policies on market-based measures of expected bank profitability and credit risk, by employing an event study analysis … identification, the analysis focuses on the euro area, thereby exploiting substantial bank and country heterogeneity within a …
Persistent link: https://www.econbiz.de/10011732734
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Exchange rates and fundamentals
Engel, Charles; West, Kenneth David - 2003
Standard economic models hold that exchange rates are influenced by fundamental variables such as relative money supplies, outputs, inflation rates and interest rates. Nonetheless, it has been well documented that such variables little help predict changes in floating exchange rates u0097 that...
Persistent link: https://www.econbiz.de/10009635953
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How does information affect the comovement between interest rates and exchange rates?
Sánchez, Marcelo (contributor) - 2006
information with signal extraction, the realisation of a relatively less frequent shock leads the central bank to behave as if a … asymmetric information models predict a lack of response of the central bank to aggregate demand shocks, as opposed to an …
Persistent link: https://www.econbiz.de/10003320628
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The zero-interest-rate bound and the role of the exchange rate for monetary policy in Japan
Coenen, Günter (contributor); Wieland, Volker (contributor) - 2003
Persistent link: https://www.econbiz.de/10001762880
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Exchange rates and fundamentals
Engel, Charles (contributor); West, Kenneth D. (contributor) - 2003
Persistent link: https://www.econbiz.de/10001820873
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Interest rate-growth differentials on government debt : an empirical investigation for the euro area
Checherita-Westphal, Cristina; Domingues Semeano, João - 2020
Persistent link: https://www.econbiz.de/10012306620
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Economic consequences of high public debt: evidence from three large scale DSGE models
Burriel, Pablo; Checherita-Westphal, Cristina; … - 2020
The paper reviews the economic risks associated with regimes of high public debt through DSGE model simulations. The large public debt build-up following the 2009 global financial and economic crisis acted as a shock absorber for output, while in the recent and more severe COVID19-crisis, an...
Persistent link: https://www.econbiz.de/10012251324
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Debt rule design in theory and practice : the SGP's debt benchmark revisited
Hauptmeier, Sebastian; Kamps, Christophe - 2020
deviations of in ation from the central bank's objective; and, second, a reduced speed of adjustment. Putting a reformed debt …
Persistent link: https://www.econbiz.de/10012172233