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This paper has three objectives. First, it aims at revealing the logic of interest rate setting pursued by monetary authorities of 12 new EU members. Using estimation of an augmented Taylor rule, we find that this setting was not always consistent with the official monetary policy. Second, we...
Persistent link: https://www.econbiz.de/10014202611
We construct a slope factor from changes in federal funds futures of different horizons. Slope predicts stock returns at the weekly frequency: faster monetary policy easing positively predicts excess returns. Investors can achieve increases in weekly Sharpe ratios of 20% conditioning on the...
Persistent link: https://www.econbiz.de/10012965931
the study suggest that investors and portfolio managers should consider economic issues while developing long …
Persistent link: https://www.econbiz.de/10015163511
We use a TVP-VAR model to investigate possible changes in the time series properties of key Norwegian macroeconomic variables since the 1980s. The sample period is characterised by deregulation, globalization, sizable petroleum revenues, a switch from exchange rate to inflation targeting and...
Persistent link: https://www.econbiz.de/10012998261
Forecasting banking system liquidity is crucial for the effective monetary policy implementation. This study investigates the effectiveness of various econometric and machine learning models in predicting the autonomous factors of banking system liquidity. The research compares widely used...
Persistent link: https://www.econbiz.de/10015198517
Zentralbank das Risiko für die verbleibenden privaten Anleihegläubiger erhöhen. Dies mag zunächst mit der Beobachtung unvereinbar …
Persistent link: https://www.econbiz.de/10011994801
The asset purchase program of the Euro area, active between 2015 and 2018, constitutes an interesting special case of Quantitative Easing (QE) because the ECB's (Public Sector Purchase Program) PSPP program involved the purchase of the bonds of peripheral Euro area governments, which were...
Persistent link: https://www.econbiz.de/10012031124
The overnight money market rate is a key monetary policy tool. In recent years, central banks worldwide have developed new monetary policy strategies aimed at keeping its deviations from the policy rate small and short-lived. This paper describes the main instruments used for this purpose by the...
Persistent link: https://www.econbiz.de/10012308499
We derive a new method of modelling the Taylor Rule in a system setting which expressly accounts for its combination of I(0) and I(1) series. Using a long sample of US data, our model provides modest support for an inertial Taylor-type rule. However, estimation across rolling windows indicates...
Persistent link: https://www.econbiz.de/10013114895
expansive Geldpolitik der Europäischen Zentralbank mitbegründet wurden. …
Persistent link: https://www.econbiz.de/10012018069