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The zero-coupon yield curve is a common input for most financial purposes. The authors consider three popular yield curve datasets, and explore the extent to which the decision as to what dataset to use for an application may have implications on the results. The paper illustrates why such...
Persistent link: https://www.econbiz.de/10011901875
alternate equilibrium where traditional Taylor rules give rise to self-fulfilling aggregate volatility and excess risk … generate endogenous volatility in a self-fulfilling manner, propelling the entire economy into crises (booms) characterized by …
Persistent link: https://www.econbiz.de/10014354223
What is the source of interest rate volatility? Why do low interest rates precede business cycle booms? Most observers …
Persistent link: https://www.econbiz.de/10013101898
We estimate a Heterogeneous-Agent New Keynesian model with sticky household expectations that matches existing microeconomic evidence on marginal propensities to consume and macroeconomic evidence on the impulse response to a monetary policy shock. Our estimated model uncovers a central role for...
Persistent link: https://www.econbiz.de/10012154622
-to-market ratio of low-volatility stocks minus the book-to-market ratio of high-volatility stocks. PVSt is high when perceived risk …
Persistent link: https://www.econbiz.de/10012902628
We propose a theory of indebted demand, capturing the idea that large debt burdens by households and governments lower … aggregate demand, and thus natural interest rates. At the core of the theory is the simple yet under-appreciated observation …
Persistent link: https://www.econbiz.de/10012199991
We analyze optimal monetary policy and its implications for asset prices, when aggregate demand has inertia and responds to asset prices with a lag. If there is a negative output gap, the central bank optimally overshoots aggregate asset prices (asset prices are initially pushed above their...
Persistent link: https://www.econbiz.de/10013093040
We conduct a Monte Carlo experiment using an ad-hoc New Keynesian model and a tractable agent-based model to generate artificial credit cycle episodes. We show that fluctuations in the implicit measures of the natural rate of interest obtained using a conventional trivariate Kalman filter on...
Persistent link: https://www.econbiz.de/10012805934
This paper investigates the behavior of the term structure of interest rates over the business cycle. In contrast to prior studies that measure the business cycle by the simple growth in aggregate economic activity, we consider an alternative measure: the deviation of aggregate economic activity...
Persistent link: https://www.econbiz.de/10014060750
We developed a factor regression model, nicknamed “GUPTY”, to study the business cycles, and their relation to the monetary policy. It covers several major macro-economic quantities, including unemployment rate, GDP, and weekly payrolls in the U.S. after WWII. The model postulates that these...
Persistent link: https://www.econbiz.de/10012866359