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The paper describes the results of estimation of a factor-augmented vector autoregressive model that relates the markup on mortgage loans in national currency, granted to households by monetary financial institutions, and 1-month inter-bank rate that represents the cost of funds for financial...
Persistent link: https://www.econbiz.de/10015238662
Epstein-Zin/Weil preferences in which consumption growth and inflation follow a VAR process with logistic stochastic …
Persistent link: https://www.econbiz.de/10015219383
The European debt crisis that followed the global financial crisis, erupting first with Greece, then Ireland, Portugal, Italy and Spain, has threatened the very existence of the Euro zone. In this paper we examine the evolution of dynamic co-movements of sovereign bond yield spreads (BYS) in the...
Persistent link: https://www.econbiz.de/10015234805
In many research studies it is argued that it is possible to extract useful information about future economic growth from the performance of financial markets. However, this study goes further and shows that it is not only possible to use expectations derived from financial markets to forecast...
Persistent link: https://www.econbiz.de/10015215316
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/10015218476
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/10015219179
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/10015219191
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/10015219750
I study how monetary policy affects firms' external financing decisions. More precisely, I study the transmission mechanism of monetary policy to credit costs in a general equilibrium macroeconomic model where firms issue corporate bonds or obtain bank loans, and corporate bonds are not just...
Persistent link: https://www.econbiz.de/10015228280
The basic asset pricing equation is adapted to include the effects of unemployment, consumers’ expectations, the price level and money supply on money market rates and government bond yields. Expected consumption growth is modelled using European unemployment figures and Eurostat Consumer...
Persistent link: https://www.econbiz.de/10015230142