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Welfare Implications of Asset Pricing Facts : Should Central Banks Fill Gaps or Remove Volatility?

Lopez, Pierlauro - 2021

the central bank should prioritize removing consumption volatility (a targeting of risk premia) over filling the gap …

Persistent link: https://www.econbiz.de/10013213978

Endogenous volatility, endogenous growth, and large welfare gains from stabilization policies

Wang, Pengfei (contributor); Wen, Yi (contributor) - 2007 - Rev.

Persistent link: https://www.econbiz.de/10003740040

Endogenous volatility, endogenous growth, and large welfare gains from stabilization policies

Wang, Peng-fei; Wen, Yi - 2006

Persistent link: https://www.econbiz.de/10003438265

Endogenous Volatility, Endogenous Growth, and Large Welfare Gains from Stabilization Policies

Wang, Pengfei - 2007

This paper shows that (i) fluctuations driven by self-fulfilling expectations can negatively affect long-run growth and (ii) the welfare gain from further stabilizing the U.S. economy can be several orders larger than that calculated by Lucas (1987) because policies designed to reduce...

Persistent link: https://www.econbiz.de/10012729186

Volatility, Growth, and Large Welfare Gains from Stabilization Policies

Wang, Pengfei; Wen, Yi - 2006

rate by amplifying the volatility of the economy; and 3) the welfare gain of stabilization policy can be enormous (e.g., as …

Persistent link: https://www.econbiz.de/10014027095

What is the Real Story for Interest Rate Volatility?

Hornstein, Andreas - 2012

What is the source of interest rate volatility? Why do low interest rates precede business cycle booms? Most observers …

Persistent link: https://www.econbiz.de/10013101898

The Declining Asset Return Predictability and Macroeconomic Volatility

Hsu, Alex - 2017

We document strong U.S. stock and bond return predictability from several macroeconomic volatility series before 1982 … incorporating monetary policy and shocks with time-varying volatility. The predictability decline is consistent with changes in both … volatility, more persistent shocks with reduced volatility explain the lower predictability …

Persistent link: https://www.econbiz.de/10012968288

Euro interest rate swap yields : a GARCH analysis

Akram, Tanweer; Mamun, Khawaja Abdullah al - 2023

in EUR swap yields and their volatility. The results of the estimated models of EUR swap yields of different maturity …

Persistent link: https://www.econbiz.de/10014438498

Monetary policy, asset prices, and liquidity in over-the-counter markets

Geromichalos, Athanasios; Herrenbrueck, Lucas - 2012 - This Version: September 2012

We revisit a traditional topic in monetary economics: the relationship between asset prices and monetary policy. We study a model in which money helps facilitate trade in decentralized markets, as in Lagos andWright (2005), and real assets are traded in an over-the-counter (OTC) market, as in...

Persistent link: https://www.econbiz.de/10009681232

Theory and Empirics of an Affine Term Structure Model Applied to European Data

Jakas, Vicente - 2011

The basic asset pricing equation is adapted to include the effects of unemployment, consumers' expectations, the price level and money supply on money market rates and government bond yields. Expected consumption growth is modelled using European unemployment figures and Eurostat Consumer...

Persistent link: https://www.econbiz.de/10013133488