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| Fendel, Ralf. |
| The paper develops an empirical no-arbitrage Gaussian affine term structure model to explain the dynamics of the German term structure of interest rates. In contrast to most affine term structure models two risk factors are linked to observable macroeconomics factors: output and inflation. The results indicate that the dynamics of the German term structure of interest rates can be sufficiently explained by expected variations in those macroeconomic factors plus an additional unobservable factor. Furthermore, we are able to extract a monetary policy reaction function within this no-arbitrage model that closely resembles empirical reaction functions that are based on the dynamics of the short rate only. |
| Tipo: Journal Article |
Palavras-chave: Affine term structure models; Monetary policy rules; Kalman filter; Financial Economics; E43; E58; G12. |
| Ano: 2008 |
URL: http://purl.umn.edu/50005 |
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| Corsetti, Giancarlo; MacKowiak, Bartosz. |
| We study the interaction of fiscal and monetary policies during a currency crisis in an economy with government nominal liabilities. We show that the stock and maturity of these liabilities are key determinants of the magnitude, timing and predictability of a devaluation. Among notable features of our model, monetary authorities defend the currency parity conditional on the level of the interest rate, rather than on the stock of international reserves; budget deficits need not be high before a currency crisis; postdevaluation inflation may exhibit little persistence, and money demand need not fall after the crisis. |
| Tipo: Working or Discussion Paper |
Palavras-chave: Currency crisis; Speculative attacks; Fiscal policy; Financial Economics; F31; F33; E58. |
| Ano: 2000 |
URL: http://purl.umn.edu/28516 |
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| Reszat, Beate. |
| Recent debates about the state of Japan's financial system focus on the weakness of Japanese banks. But, in the complex financial relations of an advanced economy bank finance cannot be seen separate from other forms of financial intermediation. Despite the reform efforts under the Big Bang program, financial markets in Japan show severe signs of malfunctioning, distortion and backwardness. The paper gives an overview of the current state of markets for money, bonds, equities and derivatives arguing that for reform to become successful measures to develop an entirely different market culture were needed. It calls for a redefinition of the role of interest groups in the financial intermediation process - including the role of government. |
| Tipo: Working or Discussion Paper |
Palavras-chave: Financial Economics; E58; E62; G10; N25. |
| Ano: 2003 |
URL: http://purl.umn.edu/26335 |
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| Drazen, Allan. |
| Is there a fundamental conflict between insulating monetary policy from popular pressures, seen as essential to sound monetary policy, and making policy responsive to the popular will, seen as fundamental to democracy? We argue that strongly independent monetary policy is not inconsistent with democratic control of policymaking, once one realizes that a key feature of democratic policymaking is the decision to remove some decisions from “day-to-day” political pressures. This is the essence of "constitutionalism," central to the functioning of democracy, by which certain decisions are made difficult to reverse. It is further argued that a conflict between popular sovereignty and policymaker independence is not unique to monetary policy, but actually... |
| Tipo: Journal Article |
Palavras-chave: Central bank independence; Constitutional democracy; Democratic control; Financial Economics; E52; E58; H62. |
| Ano: 2002 |
URL: http://purl.umn.edu/44297 |
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