This paper studies the Brazilian term structure of interest rates and characterises how the term premia have changed over time. We employ a Kalman filter approach, which is extended to take into account regime switches and overlapping forecasts errors. Empirical evidence suggests that term...

This paper considers the effects of monetary and fiscal policies in an optimizing model with capital accumulation and finite lives. An increase in monetary growth is no longer superneutral in a money-capital economy, but leads to a reduction in the real interest rate and increases in the capital...

Sweden’s 2005 Article IV Consultation reports that strong productivity gains, wage moderation, and falling nonenergy import prices contributed to reducing inflation, and creating room for aggressive monetary easing. Export growth has been led by a strong recovery in the telecommunications...

We extend the literature on budget deficits and interest rates in three ways: we examine both advanced and emerging economies and for the first time a large emerging market panel; explore interactions to explain some of the heterogeneity in the literature; and apply system GMM. There is overall a...

This paper reconsiders the effects of fiscal policy on long-term interest rates employing a Factor Augmented Panel (FAP) to control for the presence of common unobservable factors. We construct a real-time dataset of macroeconomic and fiscal variables for a panel of OECD countries for the period...

Remarks at the National Association for Business Economics Annual Meeting, New York City.

This paper examines the effects of selected macroeconomic variables on the stock market index in South Africa. The exponential GARCH (Nelson, 1991) model is applied. It finds that South Africa’s stock market index is positively influenced by the growth rate of real GDP, the ratio of the money...

Beyond its original mission to "furnish an elastic currency" as lender of last resort and manager of the payments system, the Federal Reserve has always been responsible (along with the Treasury) for regulating and supervising member banks. After World War II, Congress directed the Fed to pursue...

Remarks at New York University's Stern School of Business, New York City.

Remarks at Queens Chamber of Commerce and Queens Economic Development Corporation, Flushing, New York City.