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

ongoing, inflation uncertainty seems to play a large role. Finally, while modern finance theory prices bonds and other assets …

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

Term Structure Forecasting: No-Arbitrage Restrictions vs Large Information Set

Favero, Carlo A.; Niu, Linlin; Sala, Luca - C.E.P.R. Discussion Papers - 2007

This paper addresses the issue of forecasting the term structure. We provide a unified state-space modelling framework that encompasses different existing discrete-time yield curve models. Within such framework we analyze the impact on forecasting performance of two crucial modelling choices,...

Persistent link: https://www.econbiz.de/10005497801

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 … expected real interest rate add to the inflation expectations is balanced by a tendency for expected real interest rates and …

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

The Equity Premium and the Business Cycle: the Role of Demand and Supply Shocks

Smith, Peter N; Sorensen, Steffen; Wickens, Michael R. - C.E.P.R. Discussion Papers - 2009

This paper explores the effects of the US business cycle on US stock market returns through an analysis of the equity risk premium. We propose a new methodology based on the SDF approach to asset pricing that allows us to uncover the different effects of aggregate demand and supply shocks. We...

Persistent link: https://www.econbiz.de/10005791523

Microeconomic Sources of Equity Risk

Wickens, Michael R. - C.E.P.R. Discussion Papers - 2003

return volatility. We argue that SDF theory implies that this relation is misconceived. …

Persistent link: https://www.econbiz.de/10005792185

Does austerity pay off?

Born, Benjamin; Müller, Gernot; Pfeifer, Johannes - C.E.P.R. Discussion Papers - 2015

We ask whether cuts of government consumption lower or raise the sovereign default premium. To address this question, we set up a new data set for 38 emerging and advanced economies which contains quarterly time-series observations for sovereign default premia, government consumption, and...

Persistent link: https://www.econbiz.de/10011168905

Real Interest Rates, Nominal Shocks, and Real Shocks

Driffill, John - C.E.P.R. Discussion Papers - 1997

This paper uses a structural time-series analysis to analyse the properties of ex-ante real interest rates of the five major OECD economies in relation to temporary and permanent shocks to real output. Following Blanchard and Quah (1989) we refer to these innovations as ‘nominal’ and...

Persistent link: https://www.econbiz.de/10005136609

Some Lessons from Six Years of Practical Inflation Targeting

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

of flexible inflation targeting (price stability and the highest sustainable employment), including keeping average … inflation over a longer period on target; (2) not adding household debt as a new (intermediate) target variable, in addition to … inflation and unemployment – not “leaning against the wind,” which is counterproductive, but leaving any problems with household …

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