Showing 1 - 10 of 70
Persistent link: https://www.econbiz.de/10011645313
This study develops a model to predict and explain short-term fluctuations in the Brazilian local currency interest rate term structure. The model relies on the potential relationship between these movements and key macroeconomic factors. The methodology consists of two stages. First, the...
Persistent link: https://www.econbiz.de/10015409958
Using different econometric models, Diebold and Li (J Econom 130:337-364, 2006) addressed the practical problem of forecasting the yield curve by predicting the factors level, slope and curvature in the Nelson-Siegel framework. This paper has two main aims: on the one hand, to investigate the...
Persistent link: https://www.econbiz.de/10011311742
Two stylized backstop systems with endogenous technological learning formulations (ETL) are introduced in MERGE: one for the electric and the other for the non-electric markets. Then the model is applied to analyze the impacts of ETL on carbon-mitigation policy, contrasting the resulting impacts...
Persistent link: https://www.econbiz.de/10010312520
This paper examines the conditions for credit volume or borrower rationing in a competitive credit market in which the project characteristics are private information of the borrowers. There can only be credit volume rationing if the higher-risk credit applicants have a higher return in the...
Persistent link: https://www.econbiz.de/10010319299
Recursively identified vector autoregressive (VAR) models often lead to a counterintuitive response of prices (and output) shortly after a monetary policy shock. To overcome this problem, we propose to estimate the VAR parameters under the restriction that economic theory is not violated, while...
Persistent link: https://www.econbiz.de/10013494039
Persistent link: https://www.econbiz.de/10014383623
Persistent link: https://www.econbiz.de/10009730604
Persistent link: https://www.econbiz.de/10011305185
Persistent link: https://www.econbiz.de/10011611272