Similar Search Results

Uncovered interest parity with foreign exchange interventions under exchange rate peg and inflation targeting: The case of Ukraine

Grui, Anton - 2020

In this study, I modify the uncovered interest parity condition to account for foreign exchange interventions in the context of a small open economy. This is done in a framework of a semistructural New Keynesian model. I examine the case of Ukraine, which de facto transitioned to inflation...

Persistent link: https://www.econbiz.de/10012429367

Disentangling supply-side and demand-side effects of uncertainty shocks on U.S. financial markets: Identification using prices of gold and oil

Bettendorf, Timo - 2025

This paper investigates the effects of uncertainty shocks on selected U.S. financial asset prices by decomposing a … traditional uncertainty shock into its supply-side and demand-side components. Following the approach by Piffer and Podstawski … (2018), we identify uncertainty shocks using the price of gold and enhance this strategy by introducing the price of oil as …

Persistent link: https://www.econbiz.de/10015414370

Confidence and financial crisis in a post-Keynesian stock flow consistent model

Le Heron, Edwin - In: Intervention. European Journal of Economics and … 08 (2011) 2, pp. 361-387

The paper aims at showing that one of the main channels by which the US 2007 financial crisis became a real and global economic crisis is the 'confidence channel', i.e. that the financial crisis affected firms, banks and households' expectations and confidence, thus leading to what they were...

Persistent link: https://www.econbiz.de/10014363131

Survey measures of inflation expectations in Poland: are they relevant from the macroeconomic perspective?

Lyziak, Tomasz - In: Baltic Journal of Economics 16 (2016) 1, pp. 33-52

This paper estimates different versions of the stylized New Keynesian model of the Polish economy, in which alternative measures of inflation expectations are used, that is, model-consistent (rational) expectations and survey-based expectations of consumers, enterprises and financial sector...

Persistent link: https://www.econbiz.de/10011868503

Shadow-rate VARs

Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - 2023

VARs are a popular tool for forecasting and structural analysis, but ill-suited to handle occasionally binding constraints, like the effective lower bound on nominal interest rates. We extend the VAR framework by modeling interest rates as censored observations of a latent shadow-rate process,...

Persistent link: https://www.econbiz.de/10014320848

GARCH analyses of risk and uncertainty in the theories of the interest rate of Keynes and Kalecki

Gabrisch, Hubert - 2021

This study attempts to identify uncertainty in the long-term rate of interest based on the controversial interest rate … macroeconomic variables without interest uncertainty are thus seriously incomplete. …

Persistent link: https://www.econbiz.de/10012616338

Studying international spillovers in a New Keynesian continuous time framework with financial markets

Hayo, Bernd; Niehof, Britta - 2013

In light of the recent financial and real economic crisis, it seems clear that macroeconomists need to better account for the influence of financial markets. This paper explores the consequences of treating the interaction between different financial markets, monetary policy, and the real...

Persistent link: https://www.econbiz.de/10010333497

Spillover effects in government bond spreads: Evidence from a GVAR model

Niehof, Britta - 2014

This paper analyses the main drivers of sovereign bond spreads in a globalised world. Specifically, we account for international spillovers of bond spreads by adding an additional driver, namely, financial markets, and allowing interactions across countries and markets. We contribute to the VAR...

Persistent link: https://www.econbiz.de/10010464639

Inércia de juros e regras de Taylor: Explorando as funções de resposta a impulso em um modelo de equilíbrio geral com parâmetros estilizados para o Brazil

Carneiro, Dionisio Dias; Duarte, Pedro Garcia - 2001

The fit of empirical Taylor Rules to Brazilian data improves if we consider the hypothesis of interest rate inertia. Inertia seems to be part of monetary policy of several countries and reflects the action of Central Banks of not adjusting once-for-all to changing conditions. This article...

Persistent link: https://www.econbiz.de/10011935064

Would the Bundesbank have prevented the Great Inflation in the United States?

Benati, Luca - 2009

Policy counterfactuals based on estimated structural VARs routinely suggest that bringing Alan Greenspan back in the 1970s’ United States would not have prevented the Great Inflation. We show that a standard policy counterfactual suggests that the Bundesbank–which is near-universally...

Persistent link: https://www.econbiz.de/10011605180