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This paper surveys the decline in real interest rates in advanced and emerging economies over the past several decades, linking that process to a range of global factors that have operated with different force in different periods. The paper argues that estimates of long-run equilibrium real...
Persistent link: https://www.econbiz.de/10014447270
The present study attempts to analyze the price formation mechanism in the world soybean oil market in a competitive framework. The determinants of world soybean oil price are identified by estimating the equations for exports/imports and the border prices of the major exporting and importing...
Persistent link: https://www.econbiz.de/10013080290
In this paper we develop new dynamic factor models to forecast multiple yield curves. Our methodology is based on a thorough empirical study of daily tenor-dependent term structures over the time period 2005-2017 which reveals important cross-tenor dependencies of yields. The suggested...
Persistent link: https://www.econbiz.de/10012850478
This paper makes the first attempt to estimate the time-varying natural rate jointly with the output gap and trend potential output growth for the world as a whole using a simple unobserved components model broadly following the methodology developed by Laubach and Williams (2003). We find that...
Persistent link: https://www.econbiz.de/10012953777
We estimate a multivariate unobserved components-stochastic volatility model to explain the dynamics of a panel of six exchange rates against the US Dollar. The empirical model is based on the assumption that both countries' monetary policy strategies may be well described by Taylor rules with a...
Persistent link: https://www.econbiz.de/10011326550
Persistent link: https://www.econbiz.de/10008748287
Over the past 15 years, long-term interest rates have declined to levels not seen since the 1970s. This paper explores possible shifts in global savings and investment that have led to this fall in the world real interest rate. There are several key findings. First, the authors identify the...
Persistent link: https://www.econbiz.de/10003463047
We introduce the concept of a financial stability real interest rate using a macroeconomic banking model with an occasionally binding financing constraint, as in Gertler and Kiyotaki (2010). The financial stability interest rate, r**, is the threshold interest rate that triggers the constraint...
Persistent link: https://www.econbiz.de/10012309222
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