This paper estimates standard and extended Taylor rules for core countries in the euro area, namely France, Germany and Italy, as well as for the ECB. Forward, backward and forecast-based rules are estimated for a variety of samples since the late 1970s. We are particularly interested in the...

In this paper we set up a New-Keynesian model that features an interbank market. The introduction of an interbank market is important to analyze liquidity problems among heterogenous agents within the financial sector. First, because this allows for a situation where increased liquidity supply...

The purpose of the present paper is to provide a simple model which explains how households (or non-experts) form their inflation forecasts. The paper contributes to the existing literature and the understanding of how inflation expectations are formed in two ways. Firstly, we present an...

It is well documented that bond excess returns are time-varying and that they can be explained by predetermined risk factors. This paper builds a theoretical model to forecast excess returns on treasury bonds in the context of China's unique monetary system. Empirical evidence shows that bond...

Market efficiency hypothesis suggests a zero level for the intraday interest rate. However, a liquidity crisis introduces frictions related to news, which can cause an upward jump of the intraday rate. This paper documents that these dynamics can be partially predicted during turbulent times. A...

In this paper we set up a New-Keynesian model that features an interbank market. The introduction of an interbank market is important to analyze liquidity problems among heterogenous agents within the financial sector. First, because this allows for a situation where increased liquidity supply...

Using a recursive modeling approach and data from the Euro area, the following paper analyzes the counter-cyclicity, stock price volatility is believed to demonstrate with respect to the state of the economy. It further tests whether such interdependence is exploitable for volatility...

This paper examines the causal relationship between money supply and stock prices. The analysis indicates a long-run relationship between stock prices and money supply. The analysis further indicates unidirectional causality from Money Supply to KSE 100 Index both in the short run and in the...

This paper investigates the impact of macroeconomic news on the dynamics of interest rates and stock returns during "low" and "high" volatility periods. These periods are determined by estimating asset dynamics using a SWARCH process. Our results suggest that securities volatility is higher...

This study examines the impacts of interest rate on banks' return in 14 international markets. This research covers seven financial ratios as dependent variables as well as the return of the bank. Moreover, size of the banks is a control variable. The sample of data is from 2001 until the end of...