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The Natural Rate of Interest and the Financial Cycle

Krustev, Georgi - 2018

I extend the model of Laubach and Williams (2003) by introducing an explicit role for the financial cycle in the joint estimation of the natural rates of interest, unemployment and output, and the sustainable growth rate of the US economy. By incorporating the financial cycle - arguably an...

Persistent link: https://www.econbiz.de/10012914883

Forecasting the yield curve in a data-rich environment: a no-arbitrage factor-augmented VAR approach

Mönch, Emanuel - 2005

This paper suggests a term structure model which parsimoniously exploits a broad macroeconomic information set. The model does not incorporate latent yield curve factors, but instead uses the common components of a large number of macroeconomic variables and the short rate as explanatory...

Persistent link: https://www.econbiz.de/10011604590

Capital Inflows and Euro Area Long-Term Interest Rates

Carvalho, Daniel - 2015

Capital flows into the euro area were particularly large in the mid-2000s and the share of foreign holdings of euro area securities increased substantially between the introduction of the euro and the outbreak of the global financial crisis. We show that the increase in foreign holdings of euro...

Persistent link: https://www.econbiz.de/10013020658

The Transmission of Euro Area Monetary Policy to Financially Euroised Countries

Moder, Isabella - 2021

all euro retail rates in euroised countries of central, eastern and south-eastern Europe (CESEE) are linked to the euro … area shadow rate. Compared to euro area monetary policy, the share of cointegration of the domestic monetary policy rate is …

Persistent link: https://www.econbiz.de/10013323906

Inflation Risk Premia in the US and the Euro Area

Hördahl, Peter - 2010

We use a joint model of macroeconomic and term structure dynamics to estimate inflation risk premia in the United States and the euro area. To sharpen our estimation, we include in the information set macro data and survey data on inflation and interest rate expectations at various future...

Persistent link: https://www.econbiz.de/10013135685

The Role of Credit Aggregates and Asset Prices in the Transmission Mechanism : A Comparison Between the Euro Area and the US

Kaufmann, Sylvia; Valderrama, María Teresa - 2021

We analyze the interaction between credit and asset prices in the transmission of shocks to the real economy. We estimate a Markov switching VAR for the euro area and the US, including additionally GDP, CPI and a short-term interest rate. We find evidence for two distinct states in both regions....

Persistent link: https://www.econbiz.de/10013316838

Bank Risk-Taking, Securitization, Supervision and Low Interest Rates : Evidence from the Euro Area and the U.S. Lending Standards

Maddaloni, Angela - 2010

Using a unique dataset of the Euro area and the U.S. bank lending standards, we find that low (monetary policy) short-term interest rates soften standards, for household and corporate loans. This softening – especially for mortgages – is amplified by securitization activity, weak supervision...

Persistent link: https://www.econbiz.de/10013138019

Structural Breaks, Cointegration and the Fisher Effect

Beyer, Andreas - 2009

of cointegration. We applied new break tests and tested for nonlinearity in the cointegrating relation with post-war data … for 15 countries. Our empirical results support cointegration, after accounting for breaks, and a linear Fisher relation … in the long run. This is in contrast to several recent studies that found no support for linear cointegration …

Persistent link: https://www.econbiz.de/10012765185

Interest Rate Volatility : A Consol Rate-Based Measure

Brousseau, Vincent - 2013

In this paper we propose a new methodology to estimate the volatility of interest rates in the euro area money market. In particular, our approach aims at avoiding the limitations of currently available measures, i.e. the dependency on arbitrary choices in terms of maturity and frequencies...

Persistent link: https://www.econbiz.de/10013088954

Futures contract rates as monetary policy forecasts

Ferrero, Giuseppe; Nobili, Andrea - 2008

The prices of futures contracts on short-term interest rates are commonly used by central banks to gauge market expectations concerning monetary policy decisions. Excess returns - the difference between futures rates and the realized rates - are positive, on average, and statistically...

Persistent link: https://www.econbiz.de/10011605025