Similar Search Results

Estimation of historical inflation expectations

Binder, Carola Conces - In: Explorations in economic history : EEH 61 (2016), pp. 1-31

Persistent link: https://www.econbiz.de/10011637932

Testing for UIP : nonlinearities, monetary announcements and interest rate expectations

Anderl, Christina; Caporale, Guglielmo Maria - 2021

This paper re-examines the UIP relation by estimating first a benchmark linear Cointegrated VAR including the nominal exchange rate and the interest rate differential as well as central bank announcements, and then a Cointegrated Smooth Transition VAR (CVSTAR) model incorporating nonlinearities...

Persistent link: https://www.econbiz.de/10012508617

Monetary policy surprises and their transmission through term premia and expected interest rates

Kaminska, Iryna; Mumtaz, Haroon; Šustek, Roman - 2020

for macroeconomic outcomes? Using an affine term structure model, we shed new light on these questions. Estimation is … subject to restrictions addressing an estimation bias in expected interest rates obtained by previous studies. Highfrequency …

Persistent link: https://www.econbiz.de/10012316011

The dynamic impact of macroeconomic news on long-term inflation expectations

Hachula, Michael; Nautz, Dieter - In: Economics letters 165 (2018), pp. 39-43

Persistent link: https://www.econbiz.de/10011973823

Explaining disagreement on interest rates in a taylor‐rule setting

Dräger, Lena; Lamla, Michael - In: The Scandinavian journal of economics 119 (2017) 4, pp. 987-1009

Persistent link: https://www.econbiz.de/10011805617

The Hidden Heterogeneity of Inflation and Interest Rate Expectations : The Role of Preferences

Dräger, Lena; Lamla, Michael J.; Pfajfar, Damjan - 2022

through different channels. While household expectations are on average inversely related to preferences, households with the …

Persistent link: https://www.econbiz.de/10013293855

Empirical DSGE model evaluation with interest rate expectations measures and preferences over safe assets

De Walque, Gregory; Lejeune, Thomas; Rannenberg, Ansgar - 2023

We estimate a DSGE model with Preferences Over Safe Assets (POSA) on Euro Area macroeconomic data and interest rate expectations measures. The model with POSA has much better empirical fit than the otherwise identical model without, especially once interest rate expectations are added to the...

Persistent link: https://www.econbiz.de/10013549721

Testing for UIP-type relationships : nonlinearities, monetary announcements and interest rate expectations

Anderl, Christina; Caporale, Guglielmo Maria - In: Open economies review 33 (2022) 4, pp. 705-749

Persistent link: https://www.econbiz.de/10013455611

Repo rates as reference interest rates : testing the expectations hypothesis of the term structure of interest rates

Nenadovic, Sanja - In: Economic analysis : EA 55 (2022) 2, pp. 8-19

Persistent link: https://www.econbiz.de/10013531041

The effects of shocks to interest rate expectations in the euro area : estimates at the country level

Mandler, Martin; Scharnagl, Michael - In: Journal of forecasting 42 (2023) 3, pp. 643-656

Persistent link: https://www.econbiz.de/10014292222