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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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Granger causality and regime inference in Bayesian Markov-switching VARs
Droumaguet, Matthieu; Warne, Anders; Woźniak, Tomasz - 2015
Persistent link: https://www.econbiz.de/10011288718
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The quantity theory of money, 1870-2020
Jung, Alexander - 2024
This study re-assesses the validity of the quantity theory of money (QTM) for the very long sample, 1870 to 2020, for 18 industrial countries using the dataset from Jordà et al. (2017). It considers structural changes in the economic and financial sectors and changes in monetary policy...
Persistent link: https://www.econbiz.de/10014558771
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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 …'s operational framework for monetary policy implementation. Strong persistence is detected in all log-volatility processes and and …. the second factor explains the transmission of volatility along the money market yield curve. We find evidence that most …
Persistent link: https://www.econbiz.de/10009635972
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Macroeconomic forecasting and structural change
D'Agostino, Antonello; Gambetti, Luca; Giannone, Domenico - 2010
using a Time-Varying Coefficients VAR with Stochastic Volatility (TV-VAR) for the US. The model generates accurate … ; Stochastic Volatility ; Time Varying Vector Autoregression …
Persistent link: https://www.econbiz.de/10003971298
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Interest rate expectations and uncertainty during ECB governing council days : evidence from intraday implied densities of 3-month Euribor
Vergote, Olivier; Puigvert Gutiérrez, Josep Maria - 2011
. For this purpose, it first extends the estimation of risk-neutral probability density functions up to tick frequency. In … particular, the non-parametric estimator of these densities, which is based on fitting implied volatility curves, is applied to …
Persistent link: https://www.econbiz.de/10009380949
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Interest rate volatility : a consol rate-based measure
Brousseau, Vincent; Durré, Alain - 2013
Persistent link: https://www.econbiz.de/10009765575
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Risk, monetary policy and asset prices in a global world
Bekaert, Geert; Hoerova, Marie; Xu, Nancy R. - 2023
We study how monetary policy and risk shocks affect asset prices in the US, the euro area, and Japan, differentiating between "traditional" monetary policy and communication events, each decomposed into "pure" and information shocks. Communication shocks from the US spill over to risk in the...
Persistent link: https://www.econbiz.de/10014483035
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Price stability and monetary policy effectiveness when nominal interest rates are bounded at zero
Coenen, Günter; Orphanides, Athanasios; Wieland, Volker - 2003
This paper employs stochastic simulations of a small structural rational expectations model to investigate the consequences of the zero bound on nominal interest rates. We find that if the economy is subject to stochastic shocks similar in magnitude to those experienced in the U.S. over the...
Persistent link: https://www.econbiz.de/10009635983
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Joint estimation of the natural rate of interest, the natural rate of unemployment, expected inflation, and potential output
Benati, Luca (contributor); Vitale, Giovanni (contributor) - 2007
We jointly estimate the natural rate of interest, the natural rate of unemployment, expected inflation, and potential output for the Euro area, the United States, Sweden, Australia, and the United Kingdom. Particular attention is paid to time-variation in (i) the data-generation process for...
Persistent link: https://www.econbiz.de/10003516685