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Monetary policy, inflation outlook, and recession probabilities
Ajello, Andrea; Benzoni, Luca; Schwinn, Makena; Timmer, … - 2022
yields' fluctuations and highlight the roles of a tight monetary policy stance and expectations of lower inflation in … negative inflation slope points to higher odds of a recession within a year. An aggressive removal of policy accommodation …
Persistent link: https://www.econbiz.de/10013279282
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Equity premium and monetary policy in a model with limited asset market participation
Horváth, Roman; Kaszab, Lorant - 2016
This short paper shows that a New Keynesian model with limited asset market participation can generate a high risk-premium on unlevered equity relative to short-term risk-free bonds and high variability of equity returns driven by monetary policy shocks with zero persistence.
Persistent link: https://www.econbiz.de/10011432126
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The (ir)relevance of the nominal lower bound for real yield curve analysis
Schupp, Fabian - 2020
, premium components are less reactive to inflation shocks, while real rate responses change their sign from positive to …
Persistent link: https://www.econbiz.de/10012222610
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The (ir)relevance of the nominal lower bound for real yield curve analysis
Schupp, Fabian - 2020
, premium components are less reactive to a typical 10 bp increase in inflation, while real rate responses change their sign …
Persistent link: https://www.econbiz.de/10012299079
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Why does the yield-curve slope predict recessions?
Benzoni, Luca; Chyruk, Olena; Kelley, David - 2018
inflation risk premium slope has been accompanied by a heightened risk of recession, while a lower real-rate risk premium slope …
Persistent link: https://www.econbiz.de/10011924714
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(Un)expected monetary policy shocks and term premia
Kliem, Martin; Meyer-Gohde, Alexander - In: Journal of applied econometrics 37 (2022) 3, pp. 477-499
Persistent link: https://www.econbiz.de/10013186692
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Collateral framework: liquidity premia and multiple equilibria
Lengwiler, Yvan; Orphanides, Athanasios - 2021
Central banks normally accept debt of their own governments as collateral in liquidity operations without reservations. This gives rise to a valuable liquidity premium that reduces the cost of government finance. The ECB is an interesting exception in this respect. It relies on external...
Persistent link: https://www.econbiz.de/10012511460
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Measuring market expectations
Baumeister, Christiane - 2021
evidence for monetary policy and inflation expectations with a special emphasis on market-specific characteristics that …
Persistent link: https://www.econbiz.de/10012622575
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Collateral framework : liquidity premia and multiple equilibria
Lengwiler, Yvan; Orphanides, Athanasios - 2021
Central banks normally accept debt of their own governments as collateral in liquidity operations without reservations. This gives rise to a valuable liquidity premium that reduces the cost of government finance. The ECB is an interesting exception in this respect. It relies on external...
Persistent link: https://www.econbiz.de/10012502045
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Collateral framework: liquidity premia and multiple equilibria
Lengwiler, Yvan; Orphanides, Athanasios - 2021
Central banks normally accept debt of their own governments as collateral in liquidity operations without reservations. This gives rise to a valuable liquidity premium that reduces the cost of government finance. The ECB is an interesting exception in this respect. It relies on external...
Persistent link: https://www.econbiz.de/10012502094