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Uncertainty shocks, monetary policy and long-term interest rates
Amisano, Gianni; Tristani, Oreste - 2019
We study the relationship between monetary policy and long-term rates in a structural, general equilibrium model estimated on both macro and yields data from the United States. Regime shifts in the conditional variance of productivity shocks, or "uncertainty shocks", are an important model...
Persistent link: https://www.econbiz.de/10012142123
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Gauging the effectiveness of quantitative forward guidance: evidence from three inflation targeters
Andersson, Magnus; Hofmann, Boris - 2009
of an own interest rate path enhances a central bank’s ability to steer market expectations. Two main results emerge … guidance involved publication of an own interest rate path or not. Second, for New Zealand, we find weak evidence that a … publication of a path could potentially enhance a central bank’s leverage on the medium term structure of interest rates. …
Persistent link: https://www.econbiz.de/10011605144
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Gauging the Effectiveness of Quantitative Forward Guidance : Evidence from Three Inflation Targeters
Andersson, Magnus; Hofmann, Boris - 2021
of an own interest rate path enhances a central bank’s ability to steer market expectations. Two main results emerge … guidance involved publication of an own interest rate path or not. Second, for New Zealand, we find weak evidence that a … publication of a path could potentially enhance a central bank’s leverage on the medium term structure of interest rates …
Persistent link: https://www.econbiz.de/10013316309
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Liquidity and real equilibrium interest rates: a framework of analysis
Stracca, Livio - 2005
This paper proposes a general equilibrium model with heterogeneous households and a financial market where each financial instrument provides liquidity services in addition to enabling a transfer of purchasing power over time. Importantly, liquidity services may be asymmetric according to...
Persistent link: https://www.econbiz.de/10011604588
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Uncertainty Shocks, Monetary Policy and Long-Term Interest Rates
Amisano, Gianni - 2019
We study the relationship between monetary policy and long-term rates in a structural, general equilibrium model estimated on both macro and yields data from the United States. Regime shifts in the conditional variance of productivity shocks, or "uncertainty shocks", are an important model...
Persistent link: https://www.econbiz.de/10012870708
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On the optimal control of interbank contagion in the euro area banking system
Fukker, Gábor; Kok Sørensen, Christoffer - 2021
In this paper we present a methodology of model-based calibration of additional capital needed in an interconnected financial system to minimize potential contagion losses. Building on ideas from combinatorial optimization tailored to controlling contagion in case of complete information about...
Persistent link: https://www.econbiz.de/10012605250
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On the Optimal Control of Interbank Contagion in the Euro Area Banking System
Fukker, Gábor; Kok Sørensen, Christoffer - 2021
In this paper we present a methodology of model-based calibration of additional capital needed in an interconnected financial system to minimize potential contagion losses. Building on ideas from combinatorial optimization tailored to controlling contagion in case of complete information about...
Persistent link: https://www.econbiz.de/10013226863
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Economic consequences of high public debt: Evidence from three large scale DSGE models
Burriel, Pablo; Checherita-Westphal, Cristina; … - 2020
The paper reviews the economic risks associated with regimes of high public debt through DSGE model simulations. The large public debt build-up following the 2009 global financial and economic crisis acted as a shock absorber for output, while in the recent and more severe COVID19-crisis, an...
Persistent link: https://www.econbiz.de/10012422112
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The natural real interest rate and the output gap in the euro area: a joint estimation
Garnier, Julien; Wilhelmsen, Bjørn-Roger - 2005
The notion of a natural real rate of interest, due to Wicksell (1936), is widely used in current central bank research …. The idea is that there exists a level at which the real interest rate would be compatible with output being at its … the natural real interest rate and the output gap in the euro area over the past 40 years. Our results suggest that the …
Persistent link: https://www.econbiz.de/10011604592
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The impact of high and growing government debt on economic growth: an empirical investigation for the euro area
Checherita-Westphal, Cristina; Rother, Philipp - 2010
-term nominal and real interest rates. From a policy perspective, the results provide additional arguments for debt reduction to …
Persistent link: https://www.econbiz.de/10011605283