The lessons of the financial and macroeconomic crisis of 2007-2008 made the development of a new macroeconomic forecasting model necessary in the MNB. The model represents a small open economy. It is based on the DSGE philosophy but it deviates from it at several points. The new features of the...

We estimate the New Keynesian Phillips Curve for the USA from 1997 to 2019 using expected inflation from financial instruments. We use a spliced series comprised of the TIPS spread and inflation swaps. Empirical tests find higher coefficients on backward-looking inflation than forward-looking,...

We construct a slope factor from changes in federal funds futures of different horizons. Slope predicts stock returns at the weekly frequency: faster monetary policy easing positively predicts excess returns. Investors can achieve increases in weekly Sharpe ratios of 20% conditioning on the...

In recent years the issue of the role of asset prices in monetary setting has become increasingly topical since booms and busts in asset market are associated with the fluctuations in overall economic activity through its impacts on aggregate spending. In this study, we use Smooth Transition...

We analyze an estimated stochastic general equilibrium model that replicates key macroeconomic and fi nancial stylized facts during the Great Moderation of 1983-2007. Our model predicts a sizeable and volatile nominal term premium - comparable to recent reduced-form empirical estimates - with...

We analyze an estimated stochastic general equilibrium model that replicates key macroeconomic and financial stylized facts during the Great Moderation of 1983-2007. Our model predicts a sizeable and volatile nominal term premium - comparable to recent reduced-form empirical estimates - with...

We construct a slope factor from changes in federal funds futures of different horizons. Slope predicts stock returns at the weekly frequency: faster monetary policy easing positively predicts excess returns. Investors can achieve increases in weekly Sharpe ratios of 20% conditioning on the...

In 2020, the world economy was faced with a large-scale crisis caused by the coronavirus pandemic, a worsening situation in the global oil market, increasing global uncertainty, and capital outflows from emerging markets. The crisis phenomena were experienced, to a varying degree, by every...

This paper evaluates the properties of nominal interest rates as indicators of inflation expectations. Are they unbiased? How precise are they? To arrive at robust results, a range of different methods are applied on several S and UK data sets. The results show that the interest rate level is a...

This paper makes a step towards understanding the term-structure forecasts of bond risk premia. Two economically interpretable variables, the level of nominal forward rates, and one-year-ahead expected inflation extracted from the forwards (IE factor) are enough to summarize virtually all of...