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Showing results 1 to 10 of approximately 10.
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Journal Article
International linkages in the term structure of interest rates
Working Paper
A note on the expectations hypothesis at the founding of the Fed
One of the most influential tests of the expectations hypothesis is Mankiw and Miron (1986), who found that the spread between the long-term and short-term rates provided predictive power for the short-term rate before the Fed's founding but not after. They suggested that the failure of the expectations hypothesis after the Fed's founding was due to the Fed's practice of smoothing short-term interest rates. We show that their finding that the expectations hypothesis fares better prior to the Fed's founding is due to the fact that the test they employ tends to generate results that are more ...
Journal Article
How Effective Is Central Bank Forward Guidance?
This paper investigates the effectiveness of forward guidance for the central banks of New Zealand, Norway, Sweden, and the United States. The authors test whether forward guidance improved market participants? ability to forecast future short-term and long-term rates relative to several benchmarks. They find some evidence that forward guidance improved market participants? ability to forecast short-term rates over relatively short forecast horizons for New Zealand, Norway, and Sweden but not the United States. However, the effects are typically small and frequently not statistically ...
Journal Article
The P-star model in five small economies
Working Paper
How effective is central bank forward guidance?
This paper investigates the effectiveness of forward guidance for the central banks of four countries: New Zealand, Norway, Sweden, and the United States. We test whether forward guidance improved market participants? ability to forecast future short-term and long-term rates. We find that forward guidance improved market participants? ability to forecast short-term rates over relatively short forecast horizons, but only for Norway and Sweden. Importantly, there is no evidence that forward guidance has increased the efficacy of monetary policy for New Zealand, the country with the longest ...
Working Paper
Comparing Multi-State Kalman Filter and ARIMA forecasts: an application to the money multiplier
This paper derives one-month ahead forecasts of the money (M I) multiplier using the Multi-State Kalman Filter and Box-Jenkins ARIMA methods. A comparison of the forecasts far the period 1980-82 reveals that the Multi-State Kalman Filter procedure was generally superior to the ARIMA procedure In terms of most summary statistics. The superiority is traced to the turbulent period of 1980-81. This paper also compares aggregate and component forecasts of the multiplier. The aggregate Multi-State Kalman Filter was the most accurate in predicting the one-month ahead money multiplier.
Journal Article
International bond markets and the introduction of the Euro
Working Paper
Stock prices, inflation and real activity: a test of the Fama hypothesis, 1920-84
Also called: Inflation and stock prices: a long term view
Journal Article
Persistent macroeconomic imbalances in the Euro area: causes and consequences
In this paper, the authors document a growing divergence between current account imbalances in northern and southern euro area countries from 1992 to 2007. The imbalance occurred without a concomitant rise in productivity and growth in the southern (deficit) countries. The authors argue that systematic monitoring of external imbalances and implementation of better coordinated policies to prevent the emergence of unsustainably large imbalances in the euro area is advisable because (i) country heterogeneity and the absence of optimal currency area characteristics may lead to the emergence of ...