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Geromichalos, Athanasios; Wang, Yijing - 2024

In monetary theory, money is typically introduced as an object that can help agents bypass frictions, such as anonymity and limited commitment. Consequently, common wisdom suggests that if agents had access to more unsecured credit these frictions would become less severe and welfare would...

Persistent link: https://www.econbiz.de/10015213704

Estimating term structure changes using principal component analysis in Indian sovereign bond market

Nath, Golaka - 2012

This paper analyses the India sovereign yield to find out the principal factors affecting the term structure of interest rate changes. We apply Principal Component Analysis (PCA) on our data consisting of zero coupon interest rates derived from government bond trading using Nelson-Siegel...

Persistent link: https://www.econbiz.de/10015232351

Can we beat the Random Walk? The case of survey-based exchange rate forecasts in Chile

Pincheira, Pablo; Neumann, Federico - 2018

We examine the accuracy of survey-based expectations of the Chilean exchange rate relative to the US dollar. Our out-of-sample analysis reveals that survey-based forecasts outperform the Driftless Random Walk (DRW) in terms of Mean Squared Prediction Error at several forecasting horizons. This...

Persistent link: https://www.econbiz.de/10015262273

Deficits and Real Interest Rates: A Note Extending the Hoelscher Model

Cebula, Richard; Scott, Gerald - 1990

This study adopts a loanable funds model to investigate the impact of budget deficits in the U.S. on long term real interest rates. The study investigates both ex post real 10 year Treasury note yields and ex post real 20 year Treasury bond yields. The study period runs from 1955 through 1987,...

Persistent link: https://www.econbiz.de/10015241730

Nominal Term Structure and Term Premia. Evidence from Chile

Ceballos, Luis; Naudon, Alberto; Romero, Damian - 2014

the term premia is driven primarily by nominal uncertainty, i.e. the uncertainty for expected inflation and the US term …

Persistent link: https://www.econbiz.de/10015245535

Inflation expectations derived from a portfolio model

Covarrubias, Enrique; Hernández-del-Valle, Gerardo - 2016

This paper proposes a new methodology for extracting inflation expectations from financial markets. For this purpose, a … synthetic financial asset is built whose returns are matched with the inflation rate by construction. The methodology estimates … inflation expectations are obtained. This approach clarifies the mechanisms behind a negative risk premium: an inflation …

Persistent link: https://www.econbiz.de/10015250801

The Strategic Determination of the Supply of Liquid Assets

Geromichalos, Athanasios; Herrenbrueck, Lucas - 2016

We study how the strategic interaction of liquid-asset suppliers depends on the financial market conditions that determine asset liquidity. In our model, two asset suppliers try to profit from the liquidity services their assets confer. Asset liquidity is indirect in the sense that assets can be...

Persistent link: https://www.econbiz.de/10015251948

How the Liberation Day Announcement is Shaping the Global Trade Order: From Free Trade to Fair Trade Agreements

Ojo, Marianne - 2025

It may be assumed that all of the United States’ trading partners were impacted by the recent “Liberation Day” announcement – an announcement which constitutes “two distinct tariff actions” – as will be highlighted in this paper. However, despite previous concerns of being targeted...

Persistent link: https://www.econbiz.de/10015373662

Financial Deepening in Ghana; Does Macroeconomics Matter

Alnaa, Samuel Erasmus; Matey, Juabin - 2024

product (GDP), interest rates, and inflation rates for financial deepening (FD) in Ghana. GDP per capita and interest rates … exhibit statistically significant impacts on FD in Ghana, whereas inflation exerts an insignificant inverse effect. The …

Persistent link: https://www.econbiz.de/10015213482

Resolving Puzzles of Monetary Policy Transmission in Emerging Markets

HA, JONGRIM; Kim, Dohan; Kose, Ayhan M. - 2024

Conventional empirical models of monetary policy transmission in emerging market economies produce puzzling results: monetary tightening often leads to an increase in prices (the price puzzle) and depreciation of the currency (the FX puzzle). We show that incorporating forward-looking...

Persistent link: https://www.econbiz.de/10015214422