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Interest rate uncertainty and macroeconomics in Turkey

Güney, Pelin Öge - 2022

Persistent link: https://www.econbiz.de/10013363860

GARCH analyses of risk and uncertainty in the theories of the interest rate of Keynes and Kalecki

Gabrisch, Hubert - 2021

This study attempts to identify uncertainty in the long-term rate of interest based on the controversial interest rate …-form GARCH-in-mean model assigned to six globally leading financial markets. The obtained results support Keynes's theory - the … macroeconomic variables without interest uncertainty are thus seriously incomplete. …

Persistent link: https://www.econbiz.de/10012424659

Risks in macroeconomic fundamentals and excess bond returns predictability

De Rezende, Rafael B. - 2015 - February 2015

I provide evidence that risks in macroeconomic fundamentals contain valuable information about bond risk premia. I … extract factors from a set of quantile-based risk measures estimated for US macroeconomic variables and document that they … expectations of real economic activity, uncertainty about real GDP growth, and downside and upside risks in housing starts and the …

Persistent link: https://www.econbiz.de/10010478516

Forward guidance matters : disentangling monetary policy shocks

Ferreira, Leonardo Nogueira - 2020

Central banks have usually employed short-term rates as the main instrument of monetary policy. In the last decades, however, forward guidance has also become a central tool for monetary policy. In an innovative way this paper combines two sources of extraneous information - high frequency...

Persistent link: https://www.econbiz.de/10012295693

The macroeconomic effects of forward communication

Brubakk, Leif; Ellen, Saskia ter; Robstad, Ørjan; Xu, Hong - 2019

This paper provides an empirical assessment of the power of forward guidance at different horizons, shedding new light on the strength of the "forward guidance puzzle". Our identification strategy allows us to disentangle the change in future interest rates stemming from deviations from the...

Persistent link: https://www.econbiz.de/10012214409

Uncertainty shocks, monetary policy and long-term interest rates

Amisano, Gianni; Tristani, Oreste - 2019

, or "uncertainty shocks", are an important model ingredient. First, they account for countercyclical movements in risk … changes in both risk-premia and expected future real rates, uncertainty shocks account for about 1/2 of the variance of long …

Persistent link: https://www.econbiz.de/10012009116

Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound

Wu, Jing Cynthia - 2015

This paper employs an approximation that makes a nonlinear term structure model extremely tractable for analysis of an economy operating near the zero lower bound for interest rates. We show that such a model offers an excellent description of the data compared to the benchmark model and can be...

Persistent link: https://www.econbiz.de/10013035103

Quantitative easing and long-term yields in small open economies

Díez de los Ríos, Antonio; Shamloo, Maral - 2017

We compare the Federal Reserve's asset purchase programs with those implemented by the Bank of England and the Swedish Riksbank, and the Swiss National Bank’s reserve expansion program. We decompose government bond yields into (i) an expectations component, (ii) a global term premium and (iii)...

Persistent link: https://www.econbiz.de/10011684923

The power of helicopter money revisited : a new Keynesian perspective

Carter, Thomas J.; Mendes, Rhys R. - 2020

We analyze money financing of fiscal transfers (helicopter money) in two simple New Keynesian models: a "textbook" model in which all money is non-interest-bearing (e.g., all money is currency), and a more realistic model with interest-bearing reserves. In the textbook model with only...

Persistent link: https://www.econbiz.de/10012159954

A Survey on Time-Varying Parameter Taylor Rule : A Model Modified with Interest Rate Pass-Through

Yüksel, Ebru - 2015

modification is made in the monetary transmission mechanism of Taylor-type monetary policy models to account for the changing risk … transmission process in a general equilibrium model to account for the varying perceptions of risk by individuals. We include an … application for Turkey and estimate the time-variable parameters of the model by employing a structural extended Kalman filter …

Persistent link: https://www.econbiz.de/10013027509

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