Recently, it has been suggested that macroeconomic forecasts from estimated DSGE models tend to be more accurate out-of-sample than random walk forecasts or Bayesian VAR forecasts. Del Negro and Schorfheide(2013) in particular suggest that the DSGE model forecast should become the benchmark for...

We investigate the effects of U.S. monetary policy on asset prices using a high-frequency event-study analysis. We test whether these effects are adequately captured by a single factor—changes in the federal funds rate target—and find that they are not. Instead, we find that two...

Bu çalışmada, para politikası kararlarının piyasalar tarafından beklenen ve beklenmeyen kısımları ayrıştırılarak, Merkez Bankası'nın faiz kararlarının finansal piyasalardaki göreli uzun vadeli faiz oranları ve İMKB-100, İMKB-Mali, döviz kuru, risk primi gibi değişkenler...

Piyasa katılımcılarının faiz beklentilerini yansıtan getiri eğrisinin tahmini mali analizin temel taşlarındandır. Bu makalede getiri eğrilerinin temel özelliklerini tanıtıp, bilgimiz dahilinde ilk defa, Türkiye için uzun vadeli sabit kuponlu tahvillerin de tahmine dahil edildiği...

Bu çalışmanın amacı, Türkiye’de hangi piyasa aracının para politikası kararlarına ilişkin beklentileri daha iyi yansıttığı sorusuna yanıt aramaktır. Bu amaçla, çeşitli piyasa araçları ve yöntemler kullanılarak para politikası faizi beklentileri hesaplanmış ve...

Understanding inflation expectations is an integral part of understanding asset pricing and real economic decisions. We study the role of inflation experience in the formation of inflation expectations by investigating whether and to what extent inflation expectations of different forecasters...

We study the convergence of European bond markets and the anchoring of inflation expectations in euro area countries using high-frequency bond yield data for France, Germany, Italy and Spain. We find that Economic and Monetary Union (EMU) has led to substantial convergence in euro area sovereign...

We investigate the extent to which inflation targeting helps anchor long-run inflation expectations by comparing the behavior of daily bond yield data in the United Kingdom and Sweden--both inflation targeters - to that in the United States, a non-inflation-targeter. Using the difference between...

The discount function, which determines the value of all future nominal payments, is the most basic building block of finance and is usually inferred from the Treasury yield curve. It is therefore surprising that researchers and practitioners do not have available to them a long history of...