Showing 1 - 10 of 110
We use an integrated framework based on the CCAPM to jointly estimate ex-ante real interest rates, inflation risk premia and agents' inflation expectation errors in four countries - France, Spain, UK and US - under three different preference specifications.
Persistent link: https://www.econbiz.de/10005022298
We estimate real interest rates, bounds on inflation expectations and inflation risk premia in a CCAPM framework under four different preference specifications.
Persistent link: https://www.econbiz.de/10005155286
In this paper we consider that the relationship between nominal exchange rate and prices depends on the nature of the shocks impacting the economy. In order to identify the sources of nominal exchange rate and relative price fluctuations in Spain we impose long-run restrictions on the dynamics...
Persistent link: https://www.econbiz.de/10005155304
After reaching high levels in the 1970s and 1980s, inflation in Spain is significantly lower in the early 2000s. This paper estimates a switching-regime model for that variable. Our results point towards the existence of three regimes across which the average and the volatility of inflation are...
Persistent link: https://www.econbiz.de/10005688046
During the 1970s and early 1980s, Spain suffered high rates of inflation but inflation declined and by 1997 inflation had fallen to approximately 2 percent. To fight inflation, Spain implemented austere monetary programs, joined the EMS in 1989, enacted central bank autonomy in 1994, and...
Persistent link: https://www.econbiz.de/10005155248
Persistent link: https://www.econbiz.de/10005590703
Persistent link: https://www.econbiz.de/10005813725
Persistent link: https://www.econbiz.de/10005549464
We construct a model to analyse the two types of tender procedures used by the European Central Bank (ECB) in its open market operations. We assume that the ECB minimizes the expected value of a loss function that depends on the quadratic difference between the interbank rate and a target...
Persistent link: https://www.econbiz.de/10005504412
This paper applies recent cointegration techniques to analyse whether the forward market for the peseta/US dollar is efficient in both the one-month and the three-month segments of the market. Under the assumption of rationality, the premiums are small and they suggest a possible linear...
Persistent link: https://www.econbiz.de/10005497906