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Monetary Policy after the Crisis
Belka, Marek; Thomsen, Jens; Abildgren, Kim; Catte, Pietro - 2011
On 4 March 2011, SUERF – The European Money and Finance Forum and the National Bank of Poland jointly organised a conference on the theme of: "Monetary Policy after the Crisis". Following a call for papers with a large number of submissions, the scientific committee selected 9 papers, which...
Persistent link: https://www.econbiz.de/10011689949
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A VAR analysis for the uncovered interest parity and the ex-ante purchasing power parity: the role of macroeconomic and financial information
Macchiarelli, Corrado - 2011
among the above three parities, we find a ”forward premium” bias in both the UIP - as it is normally found in empirical …This study revisits the relation between the uncovered interest parity (UIP), the ex ante purchasing power parity …-based tests for the three parities conditions at a long horizon. Particularly, test results are derived by rewriting the UIP, the …
Persistent link: https://www.econbiz.de/10011605449
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Bond market co-movements, expected inflation and the equilibrium real exchange rate
Macchiarelli, Corrado - 2011
Since the end of the fixed rates in 1973 and after the EMS sterling dismissal in 1992, the value of the pound has undergone large cyclical fluctuations on average. Of particular interest to policy makers is the understanding of whether such movements are consistent with the lack or not of a...
Persistent link: https://www.econbiz.de/10011605450
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Determinants of long-term interest rates in the Scandinavian countries
Hol, Suzan - 2006
The financial markets in a small open economy like the Scandinavian countries are influenced by international economic developments, especially in their major trading partners. This paper investigates to which degree nominal long-term interest rates in Norway, Sweden and Denmark are determined...
Persistent link: https://www.econbiz.de/10011968239
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British interest rate convergence between the US and Europe: A recursive cointegration analysis
Weber, Enzo - 2006
. Economically, the analysis is based on dependences in the money and capital markets, namely the uncovered interest parity (UIP) and … calculations carried out in a cointegration framework. As the ecidence for the single parities remains unconvincing, UIP and EHT …
Persistent link: https://www.econbiz.de/10010263618
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Cross-country co-movement in long-term interest rates: A DSGE approach
Chin, Michael; Filippeli, Thomai; Theodoridis, Konstantinos - 2015
and UK data remarkably well, and produces term premium estimates that are comparable to estimates from the affine term …
Persistent link: https://www.econbiz.de/10011380979
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Long-Term Interest Rates and Public Debt Maturity
Sakalauskaite, Ieva; Beetsma, Roel; Giuliodori, Massimo - 2013
For a sample of sixteen OECD countries over the period 1980-2007 we show that, for given debt-GDP ratio, an increase in the maturity of the public debt by one year lowers its long-term interest rate by around 20-30 basis points. This effect is stronger for countries with higher average inflation...
Persistent link: https://www.econbiz.de/10010323031
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Understanding international long-term interest rate comovement
Chin, Michael; De Graeve, Ferre; Filippeli, Thomai; … - 2018
Long-term interest rates of small open economies correlate strongly with the US long-term rate. Can central banks in those countries decouple from the US? An estimated DSGE model for the UK (vis-`a-vis the US) establishes three structural empirical results. (1) Comovement arises due to nominal...
Persistent link: https://www.econbiz.de/10012429972
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Discovering the true Schumpeter: New insights into the finance and growth nexus
Bofinger, Peter; Geißendörfer, Lisa; Haas, Thomas; … - 2022
Joseph A. Schumpeter is one of the most famous economists of the 20th century and the 'patron saint' of the finance and growth literature. We have discovered that the prevailing literature has, however, misinterpreted Schumpeter, which leads to puzzling empirical results and difficulties in...
Persistent link: https://www.econbiz.de/10013207024
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Unconventional monetary policy and the anchoring of inflation expectations
Ciccarelli, Matteo; García, Juan Angel; … - 2017
The effects of the unconventional monetary policy (UMP) measures undertaken by the U.S. Federal Reserve (and other major central banks) remain a crucial topic for research. This paper investigates their effects on the anchoring of long-term inflation expectations, a key dimension of UMP that has...
Persistent link: https://www.econbiz.de/10011606040