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Yield Curve Predictability, Regimes, and Macroeconomic Information: A Data-Driven Approach
Audrino, Francesco; Filipova, Kameliya - School of Economics and Political Science, Universität … - 2009
We propose an empirical approach to determine the various economic sources driving the US yield curve. We allow the conditional dynamics of the yield at different maturities to change in reaction to past information coming from several relevant predictor variables. We consider both endogenous,...
Persistent link: https://www.econbiz.de/10004991599
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Credit constraints and persistence of unemployment.
Dromel, Nicolas L.; Kolakez, Elie; Lehmann, Etienne - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2009
In this paper, we argue that credit market imperfections impact not only the level of unemployment, but also its persistence. For this purpose, we first develop a theoretical model based on the equilibrium matching framework of Mortensen and Pissarides (1999) and Pissarides (2000) where we...
Persistent link: https://www.econbiz.de/10004991601
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Stabilizing fiscal policies with capital market imperfections.
Dromel, Nicolas L. - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2009
We analyze how investment subsidies can affect aggregate volatility and growth in economies subject to capital market imperfections. Within a model featuring both frictions on the credit market and unequal access to investment opportunities among individuals, we provide specific fiscal...
Persistent link: https://www.econbiz.de/10004991604
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Effects of Japanese Macroeconomic Announcements on the Dollar/Yen Exchange Rate: High-Resolution Picture
Hashimoto, Yuko; Ito, Takatoshi - National Bureau of Economic Research (NBER) - 2009
Market impacts of Japanese macroeconomic announcements within minutes on the dollar/yen foreign exchange are analyzed. High-frequency data collected from the actual trading platform, EBS, are used. First, impacts on returns are analyzed. Macroeconomic statistics releases that consistently had...
Persistent link: https://www.econbiz.de/10004991943
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Understanding Inflation-Indexed Bond Markets
Campbell, John Y.; Shiller, Robert J.; Viceira, Luis M. - National Bureau of Economic Research (NBER) - 2009
This paper explores the history of inflation-indexed bond markets in the US and the UK. It documents a massive decline … financial crisis of 2008. Breakeven inflation rates, calculated from inflation- indexed and nominal government bond yields … inflation-indexed yields and high short-term volatility of inflation-indexed bond returns do not invalidate the basic case for …
Persistent link: https://www.econbiz.de/10004992014
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On the role of money growth targeting under inflation targeting regime.
DAI, Meixing - Bureau d'Économie Théorique et Appliquée (BETA), … - 2009
The mainstream inflation-targeting literature makes the strong assumption that the central bank can exactly target the … policy strategy. This assumption is equivalent to admitting the perfect credibility of inflation target announced by the … liquidity as the economic agents demand. Neither of these assumptions corresponds to the reality. In effect, the inflation …
Persistent link: https://www.econbiz.de/10004992134
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Measuring monetary policy expectations from financial market instruments
Joyce, Michael; Relleen, Jonathan; Sorensen, Steffen - Bank of England - 2008
inflation target, to March 2007. We also investigate several model-based methods of estimating forward term premia, in order to …
Persistent link: https://www.econbiz.de/10004992448
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Forward Discount Puzzle and Liquidity Effects: Some Evidence from Exchange Rates among US, Canada, and Japan
Fukuta, Yuichi; Saito, Makoto - Graduate School of Economics, Hitotsubashi University - 2001
This paper empirically examines whether the interaction between foreign exchange markets and monetary markets can help to resolve the forward discount puzzle. Following the monetary models of Lucas [1990] and Fuerst [1992], we define as liquidity effects (the negative impact of monetary...
Persistent link: https://www.econbiz.de/10004992540
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Model Misspecification, Learning and the Exchange Rate Disconnect Puzzle
LEWIS, V.; MARKIEWICZ, A. - Faculteit Economie en Bedrijfskunde, Universiteit Gent - 2009
Rational expectations models fail to explain the disconnect between the ex-change rate and macroeconomic fundamentals. In line with survey evidence on the behaviour of foreign exchange traders, we introduce model misspecification and learning into a standard monetary model. Agents use simple...
Persistent link: https://www.econbiz.de/10004993554
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La crisi 2007-?: Fatti, ragioni e possibili conseguenze
Presbitero, Andrea Filippo - Money and Finance Research group (Mo.Fi.R.) - 2009
Come Š stato possibile che la crisi di un settore marginale della finanza statunitense si sia propagata cosi' rapidamente non solo alle altre economie avanzate, ma anche alle economie emergenti e in via di sviluppo, e abbia determinato conseguenze tanto gravi da indurre molti paesi a ripensare...
Persistent link: https://www.econbiz.de/10004993606