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Gürkaynak, Refet S.; Wright, Jonathan - C.E.P.R. Discussion Papers - 2010

This paper provides an overview of the analysis of the term structure of interest rates with a special emphasis on recent developments at the intersection of macroeconomics and finance. The topic is important to investors and also to policymakers, who wish to extract macroeconomic expectations...

Persistent link: https://www.econbiz.de/10008642882

Learning, Endogenous Indexation and Disinflation in the New-Keynesian Model

Wieland, Volker - C.E.P.R. Discussion Papers - 2008

disinflation under inflation targeting policies. The analysis is motivated by the disinflation performance of many inflation …-targeting countries, in particular the gradual Chilean disinflation with temporary annual targets. At the start of the disinflation … bank acts to bring inflation under control, price-setting firms revise their estimates of the degree of persistence. Such …

Persistent link: https://www.econbiz.de/10005114241

Bond Market Clienteles, the Yield Curve, and the Optimal Maturity Structure of Government Debt

Guibaud, Stéphane; Nosbusch, Yves; Vayanos, Dimitri - C.E.P.R. Discussion Papers - 2013

We propose a clientele-based model of the yield curve and optimal maturity structure of government debt. Clienteles are generations of agents at different lifecycle stages in an overlapping-generations economy. An optimal maturity structure exists in the absence of distortionary taxes and...

Persistent link: https://www.econbiz.de/10011083839

Some Lessons from Six Years of Practical Inflation Targeting

Svensson, Lars E O - C.E.P.R. Discussion Papers - 2013

My lessons from six years of practical policy-making include (1) being clear about and not deviating from the mandate of flexible inflation targeting (price stability and the highest sustainable employment), including keeping average inflation over a longer period on target; (2) not adding...

Persistent link: https://www.econbiz.de/10011083489

With a Bang, Not a Whimper: Pricking Germany's 'Stock Market Bubble' in 1927 and the Slide into Depression

Voth, Hans-Joachim - C.E.P.R. Discussion Papers - 2002

market. The German central bank under Hjalmar Schacht was therefore wrong to be concerned about stock prices, since no bubble …

Persistent link: https://www.econbiz.de/10005792124

Why Does the Yield Curve Predict Economic Activity? Dissecting the Evidence for Germany and the United States

Smets, Frank; Tsatsaronis, Kostas - C.E.P.R. Discussion Papers - 1997

This paper investigates why the slope of the yield curve predicts future economic activity in Germany and the United States. A structural VAR is used to identify aggregate supply, aggregate demand, monetary policy and inflation scare shocks and to analyse their effects on the real, nominal and...

Persistent link: https://www.econbiz.de/10005123911

The bond yield conundrum: alternative hypotheses and the state of the economy

Eijffinger, Sylvester C W; Mahieu, Ronald J; Raes, Louis - C.E.P.R. Discussion Papers - 2010

We study the bond yield conundrum in a macro-finance framework. Building upon a flexible and non-structural macro-finance model, we test the hypothesis that the bond yield conundrum is connected to various sources of uncertainty in the financial markets. Moreover we explicitly test for the role...

Persistent link: https://www.econbiz.de/10008682889

Forward Interest Rates as Indicators of Inflation Expectations

Söderlind, Paul - C.E.P.R. Discussion Papers - 1995

Forward interest rates have become popular indicators of inflation expectations. The usefulness of this indicator depends on the relative volatility and the correlation of inflation expectations and expected real interest rates. This paper studies US and UK data, using a range of different tools...

Persistent link: https://www.econbiz.de/10005067661

Banking and Sovereign Risk in the Euro Area

Gerlach, Stefan; Schulz, Alexander; Wolff, Guntram B. - C.E.P.R. Discussion Papers - 2010

We study the determinants of euro area sovereign bond spreads since the introduction of the euro. An aggregate risk factor is a main driver of spreads, both directly and indirectly by interacting with the size and structure of national banking sectors. When aggregate risk increases, countries...

Persistent link: https://www.econbiz.de/10008468513

Identifying Taylor rules in macro-finance models

Backus, David; Chernov, Mikhail; Zin, Stanley E. - C.E.P.R. Discussion Papers - 2013

Identification problems arise naturally in forward-looking models when agents observe more than economists. We illustrate the problem in several macro-finance models with Taylor rules. When the shock to the rule is observed by agents but not economists, identification of the rule's parameters...

Persistent link: https://www.econbiz.de/10011083775