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If commercial producers or financial investors use futures contracts to hedge against commodity price risk, the arbitrageurs who take the other side of the contracts may receive compensation for their assumption of nondiversifiable risk in the form of positive expected returns from their...
Persistent link: https://www.econbiz.de/10013081835
We propose a new framework for understanding the effectiveness of central bank announcements when firms have heterogeneous inflation expectations. Expectations are updated through social dynamics and, with heterogeneity, not all firms choose to operate, putting downward pressure on realized...
Persistent link: https://www.econbiz.de/10013053470
We develop new procedures for maximum likelihood estimation of affine term structure models with spanned or unspanned stochastic volatility. Our approach uses linear regression to reduce the dimension of the numerical optimization problem yet it produces the same estimator as maximizing the...
Persistent link: https://www.econbiz.de/10013053780
In a standard open-economy New Keynesian model, the effective lower bound causes anomalies: output and terms of trade respond to a supply shock in the opposite direction compared to normal times. We introduce a tractable two-country model to accommodate for unconventional monetary policy. In our...
Persistent link: https://www.econbiz.de/10012899193
The last decade brought substantial increased participation in commodity markets by index funds that maintain long positions in the near futures contracts. Policy makers and academic studies have reached sharply different conclusions about the effects of these funds on commodity futures prices....
Persistent link: https://www.econbiz.de/10013059085
The last decade brought substantial increased participation in commodity markets by index funds that maintain long positions in the near futures contracts. Policy makers and academic studies have reached sharply different conclusions about the effects of these funds on commodity futures prices....
Persistent link: https://www.econbiz.de/10013063058
Motivated by empirical evidence, we propose an open-economy New Keynesian model that allows financial intermediaries to hold foreign long-term bonds. We find financial integration amplifies the effects of an expansionary domestic monetary policy shock and turns an expansionary foreign monetary...
Persistent link: https://www.econbiz.de/10014358343
Persistent link: https://www.econbiz.de/10014439480
This paper develops new results for identification and estimation of Gaussian affine term structure models. We establish that three popular canonical representations are unidentified, and demonstrate how unidentified regions can complicate numerical optimization. A separate contribution of the...
Persistent link: https://www.econbiz.de/10013112042
This paper reviews alternative options for monetary policy when the short-term interest rate is at the zero lower bound and develops new empirical estimates of the effects of the maturity structure of publicly held debt on the term structure of interest rates. We use a model of risk-averse...
Persistent link: https://www.econbiz.de/10013127013