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Uncertainty shocks, monetary policy and long-term interest rates
Amisano, Gianni; Tristani, Oreste - 2019
, or "uncertainty shocks", are an important model ingredient. First, they account for countercyclical movements in risk … changes in both risk-premia and expected future real rates, uncertainty shocks account for about 1/2 of the variance of long …
Persistent link: https://www.econbiz.de/10012009116
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Risk aversion in the Eurozone
Benchimol, Jonathan - In: Research in economics : an international review of economics 68 (2014) 1, pp. 39-56
Persistent link: https://www.econbiz.de/10010465746
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Risk and uncertainty : the role of financial frictions
Higgins, C. Richard - In: Economic modelling 119 (2023), pp. 1-23
Persistent link: https://www.econbiz.de/10014249482
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The yield curve in a small open economy
Kulish, Mariano; Rees, Daniel - In: Journal of international economics 85 (2011) 2, pp. 268-279
Persistent link: https://www.econbiz.de/10009413557
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Natural rate chimera and bond pricing reality
Brand, Claus; Goy, Gavin; Lemke, Wolfgang - 2021
We build a novel macro-finance model that combines a semi-structural macroeconomic module with arbitrage-free yield-curve dynamics. We estimate it for the United States and the euro area using a Bayesian approach and jointly infer the real equilibrium interest rate (r*), trend inflation (π*),...
Persistent link: https://www.econbiz.de/10012705391
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Natural rate chimera and bond pricing reality
Brand, Claus; Goy, Gavin; Lemke, Wolfang - 2020
Persistent link: https://www.econbiz.de/10012162399
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Natural rate chimera and bond pricing reality
Brand, Claus; Goy, Gavin; Lemke, Wolfgang - 2020
% to around zero, but estimates are subject to sizeable uncertainty. Including survey expectations can lift r* estimates …
Persistent link: https://www.econbiz.de/10012425011
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Global risk and the dollar
Georgiadis, Georgios; Müller, Gernot J.; Schumann, Ben - 2021
Persistent link: https://www.econbiz.de/10012543257
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Monetary policy shocks identified using the entire yield curve : an alternative approach
Jang, Woon Wook - In: Applied economics letters 29 (2022) 21, pp. 2020-2031
Persistent link: https://www.econbiz.de/10013552915
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Monetary policy and long-term interest rates
Amisano, Gianni; Tristani, Oreste - In: Quantitative economics : QE ; journal of the … 14 (2023) 2, pp. 689-716
, or "uncertainty shocks," are a crucial driver of bond risk premia. We highlight three main results. First, our term …. Second, uncertainty shocks also induce an increase in equity premia and exert downward pressure on consumption and inflation …
Persistent link: https://www.econbiz.de/10014308589