This paper builds and solves a stock flow consistent model in the tradition of Godley and Lavoie (2007). The goal of this paper is to develop a benchmark model that is both thorough and flexible enough to be applied to modern industrialized economies to aid monetary and fiscal policy decisions....

This paper develops a New-Keynesian Dynamic Stochastic General Equilibrium (NKDSGE) model for forecasting the growth rate of output, inflation, and the nominal short-term interest rate (91 days Treasury Bill rate) for the South African economy. The model is estimated via maximum likelihood...

We study the impact that macroeconomic news has on equity prices. While the literature has already widely documented the effects of macroeconomic announcements on asset prices, as well as their asymmetric impact during good and bad times, we focus on the reaction to news when the description of...

We study the impact of different central bank communication practices on the trading behavior and profitability of fast and slow traders in the foreign exchange market. We focus, in particular, on how the Bank of Japan's practice of introducing some randomness to the time at which it releases...

While the literature has already widely documented the effects of macroeconomic news announcements on asset prices, as well as their asymmetric impact during good and bad times, we focus on the reaction to news based on the description of the state of the economy as painted by the Federal Open...

An affine yield curve model is estimated on daily Swiss data 2002-2009. The market price of risk is modelled in terms of proxies for uncertainty, which are estimated from interest rate options. The estimated model generates innovations in the 3-month rate that are similar to external evidence of...

In this paper, we evaluate two types of Swedish policy interest-rate ex-pectations: survey expectations and expectations inferred from market pricing. The data are drawn from the most prominent survey of finan-cial-market economists and from Swedish financial markets and the data are carefully...

As a response to the COVID-19 shock, the Uruguayan government expanded an existing public credit guarantee and introduced deductions in local currency reserve requirements. Policies of the same nature were also implemented by several governments throughout the world. This paper contributes to...

After outlining some of the monetary developments associated with Quantitative Easing (QE), we measure the impact of the UK's initial 2009-10 QE Programme on bonds and other assets. First, we use a macro-finance yield curve both to create a counterfactual path for bond yields and to estimate the...

Which are the new frontiers in central banking? Which things have changed in the aftermath of the financial, economic and sovereign debt crisis? These are questions raised frequently by central bankers, academics and interested observers alike. There are quite a few areas to cover in answering...