While economists are interested in the reaction of the interest rate to changes in the inflation rate, central bankers are usually more interested in the reverse causal relationship, i.e., the response of inflation (and output) to a change in the official interest rate as administrated by the...

Monetary policy represents one of the most important policies of each country's policy mix. Understanding how monetary policy works and affects real economy is essential in understanding how changes in the settings of monetary instruments such as interest rate increase or decrease will affect...

This study evaluates long-run relationships and short-run linkages between the private (unsecuritized) and the public (securitized) real estate markets of Australia, Netherlands, United Kingdom and the United States. Results indicate the existence of long-run relationships between the public and...

The former U. S. Federal Reserve Board of Governors Alan Greenspan stated recently that the LIBOR-OIS spread, understood as the difference between the LIBOR rate and the term overnight indexed swap, is „a barometer of fears of bank insolvency”. In the following article we use the LIBOR-OIS...

Economic theory provides clear suggestions in fixed versus flexible exchange rates dilemma in fighting high inflation pressures. However, relative diversity in exchange rate regimes in the European transition economies revealed uncertain and spurious conclusions about the exchange rate regime...

Bayesian approaches to the estimation of DSGE models are becoming increasingly popular. Prior knowledge is normally formalized either directly on deep parameters' values (‘microprior’) or indirectly, on macroeconomic indicators, e.g. moments of observable variables (‘macroprior’). We...

We construct a realized volatility measure, using prices of daily West Texas Intermediate (WTI) crude oil futures and illustrate the robustness of this oil price volatility–macroeconomy relationship under a multivariate co-integrated vector autoregressive (VAR) model. Empirical results suggest...

E02, E24, E60, J38, J58, J68 </AbstractSection> Copyright Bouis et al.; licensee Springer. 2012