The basic asset pricing equation is adapted to include the effects of unemployment, consumers' expectations, the price level and money supply on money market rates and government bond yields. Expected consumption growth is modelled using European unemployment figures and Eurostat Consumer...

Using a large contract-level, high frequency database of bank loan commitments from June 2007 to May 2009, we fi nd that fi rms' takedown behavior regarding credit lines is very di erent depending on the fi rms' creditworthiness. Usage patterns of rms with poor credit quality are more closely...

Monetary analysis requires the introduction of monetary variables into the determination of the equilibrium values of real variables such as production, income, distribution, and accumulation. Contrary to Keynes’s research program of a „monetary theory of production”, neither the older...

The objective of this paper is to evaluate whether the Fisher Hypothesis holds in the context of Sri Lankan financial markets. Using the Rupee denominated three-month Treasury bill rates from 1978 to 2007 on annual basis, from 1983:1 to 2003:1 on quarterly basis and from 1982:1 to 2006:12 on...

Fisher Hypothesis implies a one-to-one long-term relationship between nominal interest rate and inflation. Though this one-to-one relationship does not hold in most of the financial markets, there exists strong evidence for a partial relationship between the two variables. This study inquires...

This paper examines whether financial aggregates provide information useful for predicting real output growth and inflation, extending the inquiry conducted in Tallman and Chandra (1996). First, we investigate whether perfect knowledge of the future values of financial aggregates helps improve...

In this paper, we propose a new method to forecast macroeconomic variables that combines two existing approaches to mixed-frequency data in DSGE models. The first existing approach estimates the DSGE model in a quarterly frequency and uses higher frequency auxiliary data only for forecasting...

Models recently studied by Farmer (2012, 2013, 2015) predict that, due to labor-market frictions and "animal spirits", stock-market fluctuations should Granger cause fluctuations of the unemployment rate. We performed several Granger-causality tests on more than half a century of data of German...

This paper has two parts. The first part will explore and document discrete time affine term structure models in a similar setup as seen in the celebrated papers from Backus, Foresi, Telmer (1998 and 1996) and Backus, Telmer and Wu (1999). However, the paper will concentrate on the multifactor...

We develop a neo-Kaleckian growth model that emphasizes the importance of consumption behavior. In our model, workers first make consumption decisions based on their gross income, and then treat debt servicing commitments as a substitute for saving. Workers' borrowing is induced by their desire...