Showing 1 - 7 of 7
We construct a measure of the short-term world interest rate using principal component analysis. Drawing on real interest rate data for 18 OECD countries for the period 1985 - 2008, persistent deviations from the world interest rate that cannot be explained by movements in the real exchange rate...
Persistent link: https://www.econbiz.de/10010285855
Based on empirical VAR models, we investigate the role of (option-implied) stock and bond market volatilities and monetary policy in the determination of the US 10-year term premium. Our preliminary findings are that an unexpected loosening of monetary policy - through a cut in the federal funds...
Persistent link: https://www.econbiz.de/10012965322
Persistent link: https://www.econbiz.de/10003921281
We construct a measure of the short-term world interest rate using principal component analysis. Drawing on real interest rate data for 18 OECD countries for the period 1985 - 2008, persistent deviations from the world interest rate that cannot be explained by movements in the real exchange rate...
Persistent link: https://www.econbiz.de/10008695840
Persistent link: https://www.econbiz.de/10011613347
Persistent link: https://www.econbiz.de/10014304364
Persistent link: https://www.econbiz.de/10011289967