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Is Implied Taylor Rule Interest Rate Applicable as a Carry Trade Strategy?
Ogruk-Maz, Gokcen - 2017
This paper evaluates the performance of carry trade strategies with implied Taylor rule interest rate differentials and compares the performance statistics of them over the naive carry trade strategy with actual interest rates. Carry trade, a currency speculation strategy, between high-interest...
Persistent link: https://www.econbiz.de/10012944234
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Three essays on international finance
Borisenko, Dmitrij - 2019
target rates from the OIS prices to predict the outcome of monetary policy meetings around the world. In the US, a randomly …-Prämie-Anomalie, der Geldpolitik und Wechselkursdynamik, sowie der Messung der geldpolitischen Erwartungen aus den Vermögenspreisen. Im … Pozdeev) dokumentieren wir einen Trend in den Wechselkurse vor Anpassungen der Geldpolitik in den Industrieländern. Die …
Persistent link: https://www.econbiz.de/10011992377
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Estimating interest rate setting behavior in Korea : an ordered probit model approach
Kim, Hyeongwoo - 2014
Persistent link: https://www.econbiz.de/10010361880
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A generalized interest rates model with scaling
Wang, Guizhou; Hausken, Kjell - In: International journal of economics and financial issues … 12 (2022) 5, pp. 143-150
Persistent link: https://www.econbiz.de/10013435383
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Estimated interest rate rules : do they determine determinacy properties?
Jensen, Henrik - In: The B.E. journal of macroeconomics 11 (2011) 1, pp. 1-20
Persistent link: https://www.econbiz.de/10009577291
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Estimated Interest Rate Rules : Do They Determine Determinacy Properties?
Jensen, Henrik - 2011
No. I demonstrate that econometric estimations of nominal interest rate rules may tell little, if anything, about an economy's determinacy properties. In particular, correct inference about the interest-rate response to inflation provides no information about determinacy. Instead, it could...
Persistent link: https://www.econbiz.de/10013131936
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Interest rate rules, rigidities and inflation risks in a macro-finance model
Horváth, Roman; Kaszab, Lorant; Mars, Ales - 2021
Long-term bond yields contain a risk-premium, an important part of which is compensation for inflation risks. The substantial increase in the Fed funds rate in the mid-2000s did not raise long-term US Treasury yields due to the reduction in the term premium (so-called Greenspan conundrum) which...
Persistent link: https://www.econbiz.de/10012584286
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A survey on time-varying parameter Taylor rule : a model modified with interest rate pass-through
Yüksel, Ebru; Metin-Özcan, Kıvılcım; Hatipoglu, Ozan - In: Economic systems 37 (2013) 1, pp. 122-134
Persistent link: https://www.econbiz.de/10009737739
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Interest Rate Rules, Exchange Market Pressure, and Successful Exchange Rate Management
Klaassen, Franc - 2016
Central banks with an exchange rate objective set the interest rate in response to what they call ''pressure.'' Instead, existing interest rate rules rely on the exchange rate minus its target. To stay closer to actual policy, we introduce a rule that uses exchange market pressure (EMP), the...
Persistent link: https://www.econbiz.de/10012993375
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Multicountry time-varying Taylor rule : modeling unconventional monetary policies and bond premiums
Morita, Tohru - In: International advances in economic research 30 (2024) 2, pp. 135-158
Persistent link: https://www.econbiz.de/10014583856