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Macro expectations, aggregate uncertainty, and expected term premia
Dick, Christian D.; Schmeling, Maik; Schrimpf, Andreas - 2010
Based on individual expectations from the Survey of Professional Forecasters, we construct a real-time proxy for expected term premium changes on long-term bonds. We empirically investigate the relation of these bond term premium expectations with expectations about key macroeconomic variables...
Persistent link: https://www.econbiz.de/10008660631
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Financial Market Risk Perceptions and the Macroeconomy
Pflueger, Carolin E. - 2019
-to-market ratio of low-volatility stocks minus the book-to-market ratio of high-volatility stocks. PVSt is high when perceived risk …
Persistent link: https://www.econbiz.de/10012902628
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The Announcement of Monetary Policy Intentions
Ferrero, Giuseppe - 2010
Whether a central bank should share with the public its views about the future evolution of short term interest rates is an unresolved issue. Disclosing this information might allow a more precise control of market expectations and a more effective achievement of the ultimate goals of the...
Persistent link: https://www.econbiz.de/10013149808
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What is the Real Story for Interest Rate Volatility?
Hornstein, Andreas - 2012
What is the source of interest rate volatility? Why do low interest rates precede business cycle booms? Most observers …
Persistent link: https://www.econbiz.de/10013101898
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Monetary policy and asset price overshooting: a rationale for the Wall/Main Street disconnect
Caballero, Ricardo J.; Simsek, Alp - 2022
We analyze optimal monetary policy and its implications for asset prices, when aggregate demand has inertia and responds to asset prices with a lag. If there is a negative output gap, the central bank optimally overshoots aggregate asset prices (asset prices are initially pushed above their...
Persistent link: https://www.econbiz.de/10013093040
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Do Long Term Interest Rates Drive GDP and Inflation in Small Open Economies? Evidence from Poland
Wesolowski, Grzegorz - 2016
significantly inflation volatility in Poland. I derive this result from an estimated DSGE model of a small open economy. GDP … volatility would have been much higher if the endogenous part of the term premium had been switched off in the model, while the … inflation volatility has not been affected by the presence of the term premium. At the same time, the term premium shock had …
Persistent link: https://www.econbiz.de/10012987476
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Why crises happen : nonstationary macroeconomics
Davidson, James E. H.; Meenagh, David; Minford, Patrick; … - 2010
A Real Business Cycle model of the UK is developed to account for the behaviour of UK nonstationary macro data. The model is tested by the method of indirect inference, bootstrapping the errors to generate 95% confidence limits for a VECM representation of the data; we find the model can explain...
Persistent link: https://www.econbiz.de/10008758527
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(Un)Expected Monetary Policy Shocks and Term Premia
Kliem, Martin - 2017
We analyze an estimated stochastic general equilibrium model that replicates key macroeconomic and financial stylized facts during the Great Moderation of 1983-2007. Our model predicts a sizeable and volatile nominal term premium - comparable to recent reduced-form empirical estimates - with...
Persistent link: https://www.econbiz.de/10012944241
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Overnight Indexed Swap-Implied Interest Rate Expectations
Lloyd, Simon - 2020
Overnight indexed swap (OIS) rates are regularly used to measure interest rate expectations. But how suitable are they? What tenors can we rely on? Assessing their performance in the US, UK, Eurozone and Japan, I find they provide broadly reliable measures of rate expectations out to around the...
Persistent link: https://www.econbiz.de/10012826710
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Interest rate skewness and biased beliefs
Bauer, Michael D.; Chernov, Mikhail - 2021 - First draft: January 2021, this draft: June 16, 2021
Conditional yield skewness is an important summary statistic of the state of the economy. It exhibits pronounced variation over the business cycle and with the stance of monetary policy, and a tight relationship with the slope of the yield curve. Most importantly, variation in yield skewness has...
Persistent link: https://www.econbiz.de/10012547050