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leads to a significantly smaller increase in long-term bond yields if policy uncertainty is high at the time of the shock … are robust to the measurement of monetary policy uncertainty and the definition of the monetary policy shock. We argue … policy uncertainty leads to opposite effects with term premia increasing even more after a policy shock. …
Persistent link: https://www.econbiz.de/10011661992
We estimate a no-arbitrage model of the term structure of international interbank spreads, and attempt to disentangle credit and liquidity risk premium in the interbank market. We study the consistency of the spreads' movements across major currencies and assess the effectiveness of monetary...
Persistent link: https://www.econbiz.de/10012984958
Based on a stylised financial system along with a systemic perspective thereof, we consider the structure of an aggregated banking system that is vulnerable to liquidity risks. Within this setup, a consistent mathematical modelling framework for term interest rate systems is derived that enables...
Persistent link: https://www.econbiz.de/10013321542
We build a model for bond yields based on a small-scale representation of an economy with secular declines in inflation …, the real rate and output growth. Long-run restrictions identify nominal shocks that influence long-run inflation but do … results show that, before the anchoring of inflation around the mid-1990s, nominal shocks lifted the output gap and inflation …
Persistent link: https://www.econbiz.de/10012488074
Simple models of monetary policy often imply optimal policy behavior that is considerably more aggressive than what is commonly observed. This paper argues that such counterfactual implications are due to model restrictions and a failure to account for multiplicative parameter uncertainty,...
Persistent link: https://www.econbiz.de/10011584195
economic uncertainty, term premia, inflation expectations, and bond yields in Brazil. We find strong evidence that inflation …
Persistent link: https://www.econbiz.de/10012860102
This paper shows that funding liquidity risk is priced in the cross-section of excess returns on agency mortgage-backed securities (MBS). We derive a measure of funding liquidity risk from dollar-roll implied financing rates (IFRs), which reflect security-level costs of financing positions in...
Persistent link: https://www.econbiz.de/10011500433
shock. We find that flexible inflation targeting regime using interest rate rules (IRRs) with floating exchange rates is …-DSGE model, we show that inflation targeting regime using exchange rate rules (ERRs) reduces welfare losses significantly …
Persistent link: https://www.econbiz.de/10012827002
stochastic inflation trend and volatilitywith a short-term nominal yield that can be persistently stuck at its lower bound. The … a tighter identification of inflation components. Estimationperformed on U.S. real and nominal treasuries reveals that … the ELB period coincides with lower inflation trend and elevated inflation volatility. These adverse inflation outcomes …
Persistent link: https://www.econbiz.de/10012855010
Persistent link: https://www.econbiz.de/10013546156