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Time variation in asset price responses to macro announcements

Grisse, Christian; Goldberg, Linda S. - Schweizerische Nationalbank (SNB) - 2013

, including the level of policy rates at the time of the release, and risk conditions: government bond yields increase in response … to "good news", but less so when risk is elevated. Risk conditions matter since they can capture the effects of … objectives of central banks, and the effect of news announcements on the risk premium. …

Persistent link: https://www.econbiz.de/10010895105

Indeterminacy of equilibrium allocations in monetary open economies

SALTO, Matteo - Center for Operations Research and Econometrics (CORE), … - 1998

In an open economy, outside money in positive supply does not eliminate the real indeterminacy which arises under uncertainty and incomplete asset markets. If money supply is subject to shocks or is not perfectly credible in all countries, the level of a fixed exchange rate matters. Analogous...

Persistent link: https://www.econbiz.de/10005042879

Exchange rate returns and external adjustment: evidence from Switzerland

Grisse, Christian; Nitschka, Thomas - Schweizerische Nationalbank (SNB) - 2014

This paper studies the ability of external imbalances to indicate subsequent exchange rate returns. We propose a simple twist of the Gourinchas and Rey (2007) approximation to the intertemporal budget constraint which is valid for countries that are net creditors (or net debtors) consistently...

Persistent link: https://www.econbiz.de/10011098076