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In this paper, we propose a DSGE model with the term structure of interest rates drawing on the framework introduced by Andrés et al. (2004) and Marzo et al. (2008). In particular, we reproduce segmentation in financial markets by introducing bonds of different maturities and bond adjustment...
Persistent link: https://www.econbiz.de/10013105632
In this paper, we propose a DSGE model with the term structure of interest rates drawing on the framework introduced by Andrés et al. (2004) and Marzo et al. (2008). In particular, we reproduce segmentation in financial markets by introducing bonds of different maturities and bond adjustment...
Persistent link: https://www.econbiz.de/10011731368
We analyze an estimated stochastic general equilibrium model that replicates key macroeconomic and fi nancial stylized facts during the Great Moderation of 1983-2007. Our model predicts a sizeable and volatile nominal term premium - comparable to recent reduced-form empirical estimates - with...
Persistent link: https://www.econbiz.de/10011694843
We analyze an estimated stochastic general equilibrium model that replicates key macroeconomic and financial stylized facts during the Great Moderation of 1983-2007. Our model predicts a sizeable and volatile nominal term premium - comparable to recent reduced-form empirical estimates - with...
Persistent link: https://www.econbiz.de/10011740263
The term structure of interest rates is crucial for the transmission of monetary policy to financial markets and the macroeconomy. Disentangling the impact of monetary policy on the components of interest rates, expected short rates and term premia, is essential to under- standing this channel....
Persistent link: https://www.econbiz.de/10012133185
sector. Shock decompositions suggest a positive contribution of ECB QE to annual euro area output growth and inflation in …
Persistent link: https://www.econbiz.de/10011804879
Persistent link: https://www.econbiz.de/10014423818
Using two estimated models for the euro area and the United States, this paper investigates whether the observed difference in the amplitude of the interest rate cycle since 1999 in both areas is due to differences in the estimated monetary policy reaction function, differences in the structure...
Persistent link: https://www.econbiz.de/10013137291
Consumer credit spreads significantly impact consumption and asset dynamics, affecting indebted households' spending behavior and the income sensitivity of consumption. Analyzing Danish data, we find that elevated credit spreads reduce consumption of indebted households. Our results suggest that...
Persistent link: https://www.econbiz.de/10014480275
This paper examines the role of the precautionary demand for liquidity and the interest on reserves as two potential determinants of the deposits channel that can help explain the role of monetary policy, particularly at the near zero-bound. At high levels of precautionary liquidity hoarding the...
Persistent link: https://www.econbiz.de/10011810801