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What was the market's view of U.K. monetary policy? Estimating inflation risk and expected inflation with indexed bonds
Remolona, Eli M.; Gong, Frank F.; Wickens, Michael (1998)
A measure of the credibility of monetary policy is the inflation risk premium in nominal yields. This will be time varying and can be estimated by combining the information in the nominal term structure with that in the real term structure. We estimate these risk premia using a generalized CIR affine-yield model, with one factor driving the real term structure of monthly observations on two-year, five-year and ten-year UK index-linked debt and two factors driving the term structure of the corresponding nominal yields. Our estimates show that the inflation risk premium contributes on average ...
Staff Reports , Paper 57

Journal Article
Banking systems and economic growth: lessons from Britain and Germany in the pre-World War I era
Fohlin, Caroline (1998-05)
Review , Issue May , Pages 37-48

Working Paper
An admissible monetary aggregate for the United Kingdom
Chrystal, K. Alec; Belongia, Michael T. (1989)
Working Papers , Paper 1989-007

Journal Article
The impact of capital requirements on U.K. bank behaviour
Ediz, Tolga; Michael, Ian; Perraudin, William (1998-10)
This paper was presented at the conference "Financial services at the crossroads: capital regulation in the twenty-first century" as part of session 1, "Impact of capital requirements on bank risk taking: empirical evidence." The conference, held at the Federal Reserve Bank of New York on February 26-27, 1998, was designed to encourage a consensus between the public and private sectors on an agenda for capital regulation in the new century.
Economic Policy Review , Volume 4 , Issue Oct , Pages 15-22

Working Paper
A comparison of discount rate models using international stock market data
Kasa, Kenneth (1994)
This paper compares the ability of four discount rate models to explain the cross-sectional and time-series variation of stock returns in the U.S., Japan, England, Germany, and Canada. The data consist of quarterly returns (in dollars) on Morgan Stanley's Capital International indices for the period 1972 through 1991. The following four models are considered: (1) A consumption CAPM model, linking the discount rate to the intertemporal marginal rate of substitution in consumption, (2) A production CAPM model, linking the discount rate to the intertemporal marginal rate of transformation in ...
Working Papers in Applied Economic Theory , Paper 94-15

Journal Article
The financial crisis of 1825 and the restructuring of the British financial system
Neal, Larry (1998-05)
Review , Issue May , Pages 53-76

Working Paper
Mean-variance vs. full-scale optimization: broad evidence for the U.K.
Binner, Jane M.; Hagströmer, Björn; Anderson, Richard G.; Elger, Thomas; Nilsson, Birger (2007)
In the Full-Scale Optimization approach the complete empirical financial return probability distribution is considered, and the utility maximising solution is found through numerical optimization. Earlier studies have shown that this approach is useful for investors following non-linear utility functions (such as bilinear and S-shaped utility) and choosing between highly non-normally distributed assets, such as hedge funds. We clarify the role of (mathematical) smoothness and differentiability of the utility function in the relative performance of FSO among a broad class of utility functions. ...
Working Papers , Paper 2007-016

Journal Article
Inflation goals and credibility
Judd, John P. (1995)
FRBSF Economic Letter

Working Paper
Monetary transmission channels in major foreign industrial countries: a comment
Hakkio, Craig S. (1992)
Research Working Paper , Paper 92-12

Journal Article
Evidence on stock market speculative bubbles: Japan, the United States, and Great Britain
Hardouvelis, Gikas A. (1988-07)
Quarterly Review , Volume 13 , Issue Sum , Pages 4-16

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