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Resolving the Spanning Puzzle in Macro-Finance Term Structure Models

Bauer, Michael D.; Rudebusch, Glenn D. - CESifo - 2015

Previous macro-finance term structure models (MTSMs) imply that macroeconomic state variables are spanned by (i.e., perfectly correlated with) model-implied bond yields. However, this theoretical implication appears inconsistent with regressions showing that much macroeconomic variation is...

Persistent link: https://www.econbiz.de/10011155372

Monetary Policy and Swedish Unemployment Fluctuations

Alexius, Annika; Holmlund, Bertil - CESifo - 2007

such as unemployment. Previous studies indicate that monetary policy affects the output gap only at business cycle … frequencies, but the effects on unemployment may well be more persistent in countries with highly regulated labor markets. We … study the Swedish experience of unemployment and monetary policy. Using a structural VAR we find that around 30 percent of …

Persistent link: https://www.econbiz.de/10005766226

Back to Keynes?

Ploeg, Frederick Van der - CESifo - 2005

. Furthermore, they fail to allow for quantity rationing and to model unemployment as a catastrophic event. The macroeconomics based …

Persistent link: https://www.econbiz.de/10005181517

Hyperbolic Discounting and Positive Optimal Inflation

Graham, Liam; Snower, Dennis - CESifo - 2011

The Friedman rule states that steady-state welfare is maximized when there is deflation at the real rate of interest. Recent work by Khan et al (2003) uses a richer model but still finds deflation optimal. In an otherwise standard new Keynesian model we show that, if households have hyperbolic...

Persistent link: https://www.econbiz.de/10009024848

Global Financial Transmission of Monetary Policy Shocks

Ehrmann, Michael; Fratzscher, Marcel - CESifo - 2006

The paper shows that US monetary policy has been an important determinant of global equity markets. Analysing 50 equity markets worldwide, we find that returns fall on average around 3.8% in response to a 100 basis point tightening of US monetary policy, ranging from a zero response in some to a...

Persistent link: https://www.econbiz.de/10005181586

A Leading Indicator for the Dutch Economy – Methodological and Empirical Revision of the CPB System

Kranendonk, Henk C.; Bonenkamp, Jan; Verbruggen, Johan P. - CESifo - 2004

Since 1990 the Netherlands Bureau for Economic Policy Analysis (CPB) uses a leading indicator in preparing short-term forecasts for the Dutch economy. This paper describes some recent methodological innovations as well as the current structure and empirical results of the revised CPB leading...

Persistent link: https://www.econbiz.de/10005416521

The Consumption-Based Determinants of the Term Structure of Discount Rates

Gollier, Christian - CESifo - 2005

The efficient rate of return of a zero-coupon bond with maturity t is determined by our expectations about the mean (+), variance (-) and skewness (+) of the growth of aggregate consumption between 0 and t. The shape of the yield curve is thus determined by how these moments vary with t. We...

Persistent link: https://www.econbiz.de/10005094448

An Extended Macro-Finance Model with Financial Factors

Dewachter, Hans; Iania, Leonardo - CESifo - 2010

This paper extends the benchmark Macro-Finance model by introducing, next to the standard macroeconomic factors, additional liquidity-related and return forecasting factors. Liquidity factors are obtained from a decomposition of the TED spread while the return-forecasting (risk premium) factor...

Persistent link: https://www.econbiz.de/10008572472

Informal Benchmarks as a Source of Regulatory Threat in Unregulated Utility Sectors

Söderberg, Magnus - CESifo - 2010

This paper investigates to what extent unregulated local monopolies attempt not to evoke the introduction of a formal price regulation by conforming to customers’ and authorities’ expectations. It is argued that utilities can meet expectations by setting prices that imitate neighbours’...

Persistent link: https://www.econbiz.de/10008534016

On the Determinants of Labour Market Institutions: Rent-Sharing vs. Social Insurance

Agell, Jonas - CESifo - 2000

What determines the structure of labour market institutions? This paper argues that common explanations based on rent sharing are incomplete; unions, job protection, and egalitarian pay structures may have as much to do with social insurance of otherwise uninsurable risks as with rent sharing and...

Persistent link: https://www.econbiz.de/10005181371