The paper develops a growth model in an overlapping generations framework of a financially repressed small open economy, and analyzes the effects of financial liberalization. The following observations are made: An increase (decrease) of interest rate (reserve requirements) reduces (increases)...

Predicting the federal funds rate and beating the federal funds futures market: mission impossible? Not so. We employ a Markov transition process and show that this model outperforms the federal funds futures market in predicting the target federal funds rate. Thus, by using purely historical...

This paper assesses the contribution of monetary policy to bond returns volatility, assuming that the monetary authority controls the short-term nominal interest rate. We model exogenously the joint process for the aggregate endowment and the nominal interest rate, and we determine endogenously...

The study tests the standard hypotheses concerning the behavior of indi-ces describing the term structure of interest rates on the Russian GKO–OFZ market, identifies and analyzes the changes in the term structure of interest rates that occurred in the period between two crises (1998–2008)...

This paper reviews Haavelmo’s basic macroeconomic model, and argues that even though it was minted in the 1950s it remains highly relevant today. Key features that contribute to its relevance are that it integrates balance sheet transactions with flow activities such as production,...

Haavelmo’s “A study in the theory of investment” from 1960 is a tour de force in macroeconomic theorising. His later offerings in this area are less known outside Norway. In this paper, we present his models of business cycles (crises) and inflation dynamics. The business cycle model...

The basic asset pricing equation is adapted to include the effects of unemployment, consumers’ expectations, the price level and money supply on money market rates and government bond yields. Expected consumption growth is modelled using European unemployment figures and Eurostat Consumer...

We propose a model that delivers endogenous variations in term spreads driven primarily by banks’ portfolio decision and their appetite to bear the risk of maturity transformation. We first show that fluctuations of the future profitability of banks’ portfolios affect their ability to cover...

This paper uses reprojection to develop a benchmark to assess ECB monetary policy since January 1999, the start of EMU. We first estimate an essentially affine term structure model for the German SWAP yield curve between 1987:04-1998:12. The German monetary policy is then reprojected onto the...

The pass-through from the money market rate to several bank lending rates and the government bond rate is investigated for 12 European countries over the period 1980-2000, by applying a SVAR based on the Cholesky decomposition. Simulations of a one percent point rise in the money market rate,...