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...

Part of the present inflation is caused by the breakdown of globalization, in particular supply chains, part is caused by the Corona Pandemic, in particular lockdowns, part is caused by the Ukrainian War, part is caused by European sanctions, and part - and not the smallest one - is caused by...

Lieferengpässe im Zuge der Covid-19-Pandemie und der Krieg Russlands gegen die Ukraine haben dazu beigetragen, dass die Inflationsraten wieder angestiegen sind. Wir argumentieren, dass sich dadurch sechs strukturelle Faktoren verstärkt haben, warum die Inflation und auch höhere Zinsen nicht...

This paper presents selected results from a model-based assessment of the impact of unconventional monetary policies. The model is estimated on euro area data and features two types of agents, a financial sector, several real and nominal frictions as well as rational expectations. In our model...

Distortionary income taxation in a standard New Keynesian model substantially increases the nominal term-premium on long-term bonds relative to a model with lumpsum taxes. Also the empirical level of the nominal term premium can be matched with lower risk-aversion coefficient in case of a model...

On 11-12 May 2011, SUERF and the Belgian Financial Forum, in association with the Brussels Finance Institute and the Centre for European Policy Studies (CEPS) organized the 29th SUERF Colloquium “New Paradigms in Money and Finance?” All the papers in the present SUERF Study are based on...

Das Umfeld niedriger Zinsen ist weniger auf die Geldpolitik, sondern mehr auf globale Trends in der Investitionsnachfrage und in der Sparneigung sowie einen krisenbedingten Rückgang der Investitionen zurückzuführen. Mittelfristig kann die Überwindung der Bilanzrezession zu höheren...

We analyze an estimated stochastic general equilibrium model that replicates key macroeconomic and financial stylized facts during the Great Moderation of 1983-2007. Our model predicts a sizeable and volatile nominal term premium - comparable to recent reduced-form empirical estimates - with...

We document a large return drift around monetary policy announcements by the Federal Open Market Committee. Stock returns start drifting up 25 days before expansionary monetary policy surprises, whereas they decrease before contractionary surprises. The cumulative return difference across...

We introduce costly firm-entry a la Bilbiie et al. (2012) into a New Keynesian model with Epstein-Zin preferences and show that it can jointly account for a high mean value of bond and equity premium without compromising the fit of the model to first and second moments of key macroeconomic...