We estimate forward-looking interest rate reaction functions in the spirit of Taylor (1993) for four major central banks augmented by implicit volatilities of stock market indices to proxy financial market stress. Our results suggest that the Bank of England, the Federal Reserve Bank and the...

We compare the Federal Reserve's asset purchase programs with those implemented by the Bank of England and the Swedish Riksbank, and the Swiss National Bank's reserve expansion program. We decompose government bond yields into (i) an expectations component, (ii) a global term premium and (iii) a...

This study discusses various types of market-based instruments and tries to find which financial instrument is the best in predicting monetary policy expectations for different time horizons in Turkey. Consistent with the existing literature on this subject, we adopt an approach that comes from...

In Africa, a number of countries like South Africa have adopted inflation targeting. In Nigeria, different monetary policy regimes have been adopted over the years with rather unsatisfactory success. This study examines inflation targeting in Nigeria and South Africa, using fully modified least...

This paper studies the equilibrium term structure of nominal and real interest rates and the time-varying bond risk premia implied by a stochastic endogenous growth model with imperfect price adjustment and monetary policy shocks. The production and price-setting decisions of firms drive...

This thesis first presents India’s economy and financial system’s recent history and current issues. Then, with an emphasis on the recent turmoil period, it studies the question of financial integration in various markets: equity markets are dealt with in the 1st chapter, CDS spreads are...

We study the term structure of interest rates and monetary policy in Japan empirically, using a macro-finance model. In particular, we investigate whether or not Japan's low long-term interest rates can be explained with economic rationality by taking into account some key features of the...

Equilibrium nominal interest rates are useful indicators for both monetary policy authorities and market players. However, there are few studies which estimate Japan's equilibrium rate because of its persistent low interest rate. We overcome this challenge by using survey forecasts of interest...

This paper estimates an affine term structure model (ATSM) and a shadow rate model (SRM) using Japanese, US, and UK data until March 2013. These models produce very different results, which are attributable to the ATSM's neglect of the zero lower bound (ZLB). The 10-year term premium estimated...

We estimate forward-looking interest rate reaction functions in the spirit of Taylor (1993) for four major central banks augmented by implicit volatilities of stock market indices to proxy financial market stress. Our results suggest that the Bank of England, the Federal Reserve Bank and the...