Showing 1 - 10 of 13,958
The empirical DSGE (dynamic stochastic general equilibrium) literature pays surprisingly little attention to the behavior of the monetary authority. Alternative policy rule specifications abound, but their relative merit is rarely discussed. We contribute to filling this gap by comparing the fit...
Persistent link: https://www.econbiz.de/10014178233
The empirical DSGE (dynamic stochastic general equilibrium) literature pays surprisingly little attention to the behavior of the monetary authority. Alternative policy rule specifications abound, but their relative merit is rarely discussed. We contribute to filling this gap by comparing the fit...
Persistent link: https://www.econbiz.de/10009266719
We study international inter-bank spreads within a no‐arbitrage dynamic term structure model and attempt to disentangle time‐varying risk premia in the inter-bank market for major currencies. Our results suggest that, at the peak of financial crisis, the inter-bank spread was clearly driven...
Persistent link: https://www.econbiz.de/10012823323
The paper highlights pro and cons of introducing retail central bank digital currencies (CBDC) in Latin America to expect their potential use for retail payments, during and after their potential implementation into national financial inclusion strategies.Informing these efforts we explore...
Persistent link: https://www.econbiz.de/10013302723
The authors use a dynamic factor model estimated via Bayesian methods to disentangle the relative importance of the common component in the Office of Federal Housing Enterprise Oversight's house price movements from state- or region-specific shocks, estimated on quarterly state-level data from...
Persistent link: https://www.econbiz.de/10014048550
In this paper, we propose a Bayesian VAR model to examine the short term effects of monetary policy shocks on the Italian economy. Firstly, our BVAR model uses the Cholesky decomposition to identify four kinds of macroeconomic shocks, namely, supply, demand, interest rate and monetary shocks....
Persistent link: https://www.econbiz.de/10014193619
This paper develops a new way to quantify the effect of uncertainty and other higher-order moments. First, we estimate a nonlinear model using Bayesian methods with data on uncertainty, in addition to common macro time series. This key step allows us to decompose the exogenous and endogenous...
Persistent link: https://www.econbiz.de/10014121321
The changing and unpredictable nature of the money demand function has led many Central Banks authorities around the world to shift from exchange rate and monetary policy targeting to inflation targeting framework. The gradual shift to inflation targeting has reawakened interest in the Taylor's...
Persistent link: https://www.econbiz.de/10013003341
In this paper, we study the dynamics and drivers of sovereign bond yields in euro area countries using a factor model with time-varying loading coeffi cients and stochastic volatility, which allows for capturing changes in the pricing mechanism of bond yields. Our key contribution is exploring...
Persistent link: https://www.econbiz.de/10012963728
Our analysis suggests; they do not! To arrive at this conclusion we construct a real-time data set of interest rate projections from central banks in three small open economies; New Zealand, Norway, and Sweden, and analyze if revisions to these projections (i.e., forward guidance) can be...
Persistent link: https://www.econbiz.de/10012965225