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Government deficits, wealth effects and the price level in an optimizing model
Annicchiarico, Barbara - 2003
This paper investigates the in inflationary effects of fscal policy in an optimizing general equilibrium monetary model with capital accumulation, exible prices and wealth effects. The model is calibrated to Euro Area quarterly data. Simulation results show that government defcits, high debt...
Persistent link: https://www.econbiz.de/10009635879
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Zero lower bound
Coenen, Günter - 2003
This paper presents the results of a quantitative study of the implications of the zero lower bound on nominal interest rates which was undertaken in the context of the review of the ECBu0092s monetary policy strategy in Spring 2003. Focusing on the euro area, the paper provides an assessment of...
Persistent link: https://www.econbiz.de/10009635906
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Bond market inflation expectations and longer-term trends in broad monetary growth and inflation in industrial countries, 1880 - 2001
Dewald, William G. - 2003
u0093Bond Market Inflation Expectation and Longer-term Trends in Broad Monetary Growth and Inflation in Industrial …-country averages. Inflationary expectations as estimated by bond rates less real growth trends indicated little inflation expectation …
Persistent link: https://www.econbiz.de/10009635923
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Option-implied asymmetries in bond market expectations around monetary policy actions of the ECB
Vähämaa, Sami - 2004
This paper uses data on German government bond futures options to examine the behaviour of market expectations around … monetary policy actions of the European Central Bank (ECB). In particular, this paper focuses on the asymmetries in bond market … expectations, as measured by the skewness of option-implied probability distributions of future bond yields. The results show that …
Persistent link: https://www.econbiz.de/10009636538
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Interpreting implied risk-neutral densities
Hördahl, Peter; Vestin, David - 2003
premia in bond prices. Moreover, the estimated premia vary over time in a quantitatively significant way, which implies that …
Persistent link: https://www.econbiz.de/10009635905
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The high-yield segment of the corporate bond market
Bondt, Gabe de; Marqués, David - 2004
This study empirically examines the development of the high-yield segment of the corporate bond market in the United … found to be higher in Europe than in the United States as also macroeconomic factors are considered. The high-yield bond …
Persistent link: https://www.econbiz.de/10009636536
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Information acquisition and decision making in committees
Gerling, Kerstin; Grüner, Hans Peter; Kiel, Alexandra; … - 2003
This is a survey on the recent game theoretic literature on committee decision making. We consider theoretical work on the role of (i) strategic voting, (ii) costly information acquisition, (iii) conflicting interests, and (iv) communication in committees. Moreover, we review recent experimental...
Persistent link: https://www.econbiz.de/10009635876
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Implementing optimal control in cointegrated I(1) structural VAR models
Monti, Francesca V. - 2003
This paper examines the feasibility of implementing Linear Quadratic Gaussian (LQG) Control in structural cointegrated VAR models and sheds some light on the two major problems generated by such implementation. The first aspect to be taken into account is the effect of the presence of unit roots...
Persistent link: https://www.econbiz.de/10009635883
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Monetary and fiscal interactions in open economies
Lombardo, Giovanni; Sutherland, Alan - 2003
A two-country sticky-price model is used to analyse the interactions between fiscal and monetary policy. The role of an u0091activistu0092 fiscal policy as a stabilisation tool is considered and a measure of the welfare gains from international fiscal policy cooperation is derived. It is found...
Persistent link: https://www.econbiz.de/10009635884