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Real and nominal equilibrium yield curves : wage rigidities and permanent shocks
Hsu, Alex; Li, Erica X. N.; Palomino, Francisco - 2016
.S. economy, implying significantly positive real term and inflation risk bond premia. In contrast to previous literature, both …-rule responses to inflation (output) increase (decrease) both premia, while policy surprises generate negligible risk premia …
Persistent link: https://www.econbiz.de/10011500232
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Real and Nominal Equilibrium Yield Curves : Wage Rigidities and Permanent Shocks
Hsu, Alex - 2016
.S. economy, implying significantly positive real term and inflation risk bond premia. In contrast to previous literature, both …-rule responses to inflation (output) increase (decrease) both premia, while policy surprises generate negligible risk premia …
Persistent link: https://www.econbiz.de/10013210388
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This Changes Everything : Climate Shocks and Sovereign Bonds
Cevik, Serhan - 2020
Climate change is already a systemic risk to the global economy. While there is a large body of literature documenting potential economic consequences, there is scarce research on the link between climate change and sovereign risk. This paper therefore investigates the impact of climate change...
Persistent link: https://www.econbiz.de/10012828232
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What Do Treasury Bond Risks Say about Supply and Demand Shocks?
Pflueger, Carolin E. - 2022
This paper analyzes how the risks of nominal and inflation-indexed Treasury bonds vary with the presence of supply and … and 2001.Q2-2019.Q4. For the 1980s calibration, volatile supply shocks raise inflation and the Fed responds by raising … predictability through habit formation preferences. Partially backward-looking inflation expectations by price-setters are important …
Persistent link: https://www.econbiz.de/10013403693
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Deciphering Monetary Policy Shocks
Gnan, Phillipp; Schleritzko, Maximilian; Schmeling, Maik; … - 2022
We decipher monetary policy shocks by directly connecting them to the stance a central bank expresses in its communication about different topics. To measure topic-specific central bank stances, we apply textual analysis techniques to press conference statements of the European Central Bank...
Persistent link: https://www.econbiz.de/10013292532
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Inflation expectations spillovers between the United States and euro area
Netšunajev, Aleksei; Winkelmann, Lars - 2014
We quantify spillovers of inflation expectations between the United States (US) and Euro Area (EA) based on break …-even inflation (BEI) rates. In contrast to previous studies, we model US and EA BEI rates jointly in a structural vector … autoregressive (SVAR) model. The SVAR approach allows to identify US and EA specific inflation expectations shocks. By modeling the …
Persistent link: https://www.econbiz.de/10010255370
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A note on temporary supply shocks with aggregate demand inertia
Caballero, Ricardo J.; Simsek, Alp - 2022
aggregate demand gains momentum. If inflation also has inertia, the central bank still overheats the economy during the low …
Persistent link: https://www.econbiz.de/10012886884
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A Note on Temporary Supply Shocks with Aggregate Demand Inertia
Caballero, Ricardo J.; Simsek, Alp - 2022
aggregate demand gains momentum. If inflation also has inertia, the central bank still overheats the economy during the low …
Persistent link: https://www.econbiz.de/10013282457
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A Note on Temporary Supply Shocks with Aggregate Demand Inertia
Caballero, Ricardo J.; Simsek, Alp - 2022
aggregate demand gains momentum. If inflation also has inertia, the central bank still overheats the economy during the low …
Persistent link: https://www.econbiz.de/10013282458
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House prices, disposable income, and permanent and temporary shocks
Fraser, Patricia; Hoesli, Martin; McAlevey, Lynn George - 2009
Using quarterly data over 1973:4-2008:2, two-variable systems of house prices and income are specified for three major house-owning economies: New Zealand (N.Z.), the U.K. and the U.S. After considering differences in price−income relationships over sub-periods, the analysis compares responses...
Persistent link: https://www.econbiz.de/10003971258