features such as the positivity of nominal interest rates, heteroskedasticity in volatility, and correlations among underlying …

features such as the positivity of nominal interest rates, heteroskedasticity in volatility, and correlations among underlying …

control money market rates. An averaging provision reduces the use of standing facilities and interest rates volatility in all … in volatility and use of standing facilities disappear. The paper also compares two different liquidity supply policies …

We analyze the implications of financial openness to macroeconomic volatility in a small open economy. Major … macroeconomic aggregates show non-monotonic volatility patterns with respect to the degree of financial openness in the model … without domestic financial frictions. The introduction of domestic financial frictions makes the volatility patterns flatter …

We investigate the volatility of real interest rates in 10 countries. An equilibrium model with financial frictions … mimics the volatility of real rates and predicts a negative correlation of the conditional variance with the business cycle …. Our contribution investigates the level and conditional volatility of real interest rates among a wider group of …

in both country groups, and can partly be responsible for the volatility of labour share. I also show that imperfect …