Similar Search Results

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/10013201693

Inflation risk premia, yield volatility and macro factors

Berardi, Andrea; Plazzi, Alberto - 2018

-negligible variance risk premium …

Persistent link: https://www.econbiz.de/10011877284

Interest rates under falling stars

Bauer, Michael D.; Rudebusch, Glenn D. - 2017

the term premium in long-term interest rates, and captures a substantial share of interest rate variability at low …

Persistent link: https://www.econbiz.de/10011688099

Testing the Fisher hypothesis in the presence of structural breaks and adaptive inflationary expectations : evidence from Nigeria

Uyaebo, Stephen O. U.; Bello, Yakubu A.; Omotosho, … - In: CBN journal of applied statistics 7 (2016) 1, pp. 333-358

This paper tested for the validity of the Fisher hypothesis in Nigeria during the period 1970 - 2014. The Gregory and Hansen Co-integration test confirmed the existence of a long-run relationship between nominal interest rates and inflation, albeit with a structural break in October 2005. In...

Persistent link: https://www.econbiz.de/10011529383

Tips from TIPS : The Informational Content of Treasury Inflation-Protected Security Prices

D'Amico, Stefania - 2016

Treasury Inflation-Protected Securities (TIPS) are frequently thought of as risk-free real bonds. Using no-arbitrage term structure models, we show that TIPS yields exceeded risk-free real yields by as much as 100 basis points when TIPS were first issued and up to 300 basis points during the...

Persistent link: https://www.econbiz.de/10013006559

Nominal Interest Rates as Indicators of Inflation Expectations

Söderlind, Paul - 2013

This paper evaluates the properties of nominal interest rates as indicators of inflation expectations. Are they unbiased? How precise are they? To arrive at robust results, a range of different methods are applied on several S and UK data sets. The results show that the interest rate level is a...

Persistent link: https://www.econbiz.de/10013095891

Inflation Expectations in the Czech Interbank Market

Fukac, Martin - 2005

Monthly data on the inflation expectations of financial analysts in the Czech Republic exhibit a tendency for permanent bias and ineffectiveness which violates the rational expectations hypothesis assumed in macroeconomic models. This paper asks whether the surveyed data include any...

Persistent link: https://www.econbiz.de/10014060647

Interest rate rules, rigidities and inflation risks in a macro-finance model

Horváth, Roman; Kaszab, Lorant; Mars, Ales - 2021

Long-term bond yields contain a risk-premium, an important part of which is compensation for inflation risks. The … term premium (so-called Greenspan conundrum) which was typically thought to be exogenous for monetary policy. We show using … a New Keynesian macro-finance model that the term premium is endogenous and is greatly influenced by the specification …

Persistent link: https://www.econbiz.de/10012584286

Tips from Tips : The Informational Content of Treasury Inflation-Protected Security Prices

D'Amico, Stefania; Kim, Don H.; Wei, Min - 2021

Persistent link: https://www.econbiz.de/10014351828

Non-linearities and persistence in US long-run interest rates

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2020

This note examines the stochastic behaviour of US monthly 10-year government bond yields. Specifically, it estimates a fractional integration model suitable to capture both persistence and non-linearities, these being two important properties of interest rates. Two series are analysed, one from...

Persistent link: https://www.econbiz.de/10012383724