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Taylor Rules and the Predictability of Interest Rates

Söderlind, Paul; Söderström, Ulf; Vredin, Anders - C.E.P.R. Discussion Papers - 2003

Recent research suggests that commonly estimated dynamic Taylor rules augmented with a lagged interest rate imply too much predictability of interest rate changes compared with yield curve evidence. We show that this is not sufficient proof against the Taylor rule: the result could be driven by...

Persistent link: https://www.econbiz.de/10005123552

The Impact of Hedge Funds on Asset Markets

Kruttli, Mathias; Patton, Andrew J; Ramadorai, Tarun - C.E.P.R. Discussion Papers - 2014

liquidity provision by hedge funds to noise traders to rationalize our findings, and empirically verify auxiliary predictions of …

Persistent link: https://www.econbiz.de/10011084210

The Dynamics of Financially Constrained Arbitrage

Gromb, Denis; Vayanos, Dimitri - C.E.P.R. Discussion Papers - 2015

, liquidity, and asset prices. Arbitrageurs exploit price discrepancies between assets traded in segmented markets, and in doing … so provide liquidity to investors. A collateral constraint limits their positions as a function of capital. We show that … markets, liquidity in each market generally becomes less volatile, but the reverse may hold for aggregate liquidity because of …

Persistent link: https://www.econbiz.de/10011184076

The Secondary Market for Hedge Funds and the Closed-Hedge Fund Premium

Ramadorai, Tarun - C.E.P.R. Discussion Papers - 2008

Employing data from a new secondary market for hedge funds, this paper documents the existence of a closed-hedge fund premium, analogous to the closed-end mutual fund premium which has been extensively studied in the literature. Over the past decade, the two premia comove with one another at...

Persistent link: https://www.econbiz.de/10005666409

Equilibrium and Welfare in Markets with Financially Constrained Arbitrageurs

Gromb, Denis; Vayanos, Dimitri - C.E.P.R. Discussion Papers - 2001

We propose a multi-period model in which competitive arbitrageurs exploit discrepancies between the prices of two identical risky assets, traded in segmented markets. Arbitrageurs need to collateralize separately their positions in each asset, and this implies a financial constraint limiting...

Persistent link: https://www.econbiz.de/10005666703

Predatory Trading

Brunnermeier, Markus K; Pedersen, Lasse Heje - C.E.P.R. Discussion Papers - 2004

overshooting and a reduced liquidation value for the distressed trader. Hence, the market is illiquid when liquidity is most needed …

Persistent link: https://www.econbiz.de/10005791996

Should the Euro Area be Run as a Closed Economy?

Favero, Carlo A.; Giavazzi, Francesco - C.E.P.R. Discussion Papers - 2008

The European Economic and Monetary Union (EMU) has created a new economic area, larger and closer with respect to the rest of the world. Area-specific shocks are thus more important in EMU than country-specific shocks used to be in the previous states, e.g. in Germany. It is thus not surprising...

Persistent link: https://www.econbiz.de/10005136545

Complexity and Monetary Policy

Orphanides, Athanasios; Wieland, Volker - C.E.P.R. Discussion Papers - 2012

The complexity resulting from intertwined uncertainties regarding model misspecification and mismeasurement of the state of the economy defines the monetary policy landscape. Using the euro area as laboratory this paper explores the design of robust policy guides aiming to maintain stability in...

Persistent link: https://www.econbiz.de/10011084255

The Federal Reserve’s Large-Scale Asset Purchase Programs: Rationale and Effects

D'Amico, Stefania; English, William; López-Salido, J David - C.E.P.R. Discussion Papers - 2012

We provide empirical estimates of the effect of large-scale asset purchase (LSAP)-style operations on longer-term U.S. Treasury yields within a framework that nests the alternative theoretical perspectives on LSAPs. As the principal channels through which LSAPs migh tmatter for longer-term...

Persistent link: https://www.econbiz.de/10011084363

Identification and Inference Using Event Studies

Gürkaynak, Refet S.; Wright, Jonathan - C.E.P.R. Discussion Papers - 2013

that help address questions such as the slope of bond demand functions and the efficacy of central bank liquidity programs …

Persistent link: https://www.econbiz.de/10011084634