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The present paper offers a fundamental critique of fiscal policy as it is understood in theory and exercised in …
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We address an important yet unanswered question: What would be the economic determinants of the implied volatility … during the zero lower bound periods? To answer this question, we examine time variations of the cap market implied volatility … and investigate economic determinants on slopes and curvatures of the implied volatility curves. We find that unexpected …
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satisfying regulatory criteria, a model following the Heath-Jarrow-Morton framework with Unspanned Stochastic Volatility is …
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Beginning in 2009, in many advanced economies, policy rates reached their zero lower bound (ZLB). Almost at the same time, oil prices started rising again. We analyze how the ZLB affects the propagation of oil shocks. As these shocks move inflation and output in opposite directions, their...
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