Correlations Between Real Interest Rates In A Dynamic International Model
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| Author | : Ms.Jahanara Zaman |
| Publisher | : International Monetary Fund |
| Total Pages | : 44 |
| Release | : 1998-12-01 |
| Genre | : Business & Economics |
| ISBN | : 1451859007 |
This paper examines the extent to which a dynamic international general equilibrium model can account for observed movements in real interest rates and interest rate differentials. Using data for Group of Seven, the study finds that measured real interest rates are countercyclical in a single country and that the contemporaneous cross-correlations between international real interest differentials and output growth spreads are negative. Predictions of the baseline model are, however, inconsistent with the data. Extending the benchmark model to include habit persistence in consumption improves the match between theory and data.
| Author | : J. Begum |
| Publisher | : |
| Total Pages | : |
| Release | : 1998 |
| Genre | : |
| ISBN | : |
| Author | : Robert Miguel W. K. Kollman |
| Publisher | : International Monetary Fund |
| Total Pages | : 52 |
| Release | : 1997-01-01 |
| Genre | : Business & Economics |
| ISBN | : 1451928521 |
This paper studies dynamic-optimizing model of a semi-small open economy with sticky nominal prices and wages. The model exhibits exchange rate overshooting in response to money supply shocks. The predicted variability of nominal and real exchange rates is roughly consistent with that of G-7 effective exchange rates during the post-Bretton Woods era. The model predicts that a positive domestic money supply shock lowers the domestic nominal interest rate, that it raises output and that it leads to a nominal and real depreciation of the country’s currency. Increases in domestic labor productivity and in the world interest rate too are predicted to induce a nominal and real exchange rate depreciation.
| Author | : Mr.Giovanni Dell'Ariccia |
| Publisher | : International Monetary Fund |
| Total Pages | : 47 |
| Release | : 1998-06-01 |
| Genre | : Business & Economics |
| ISBN | : 1451951310 |
This paper presents theory and evidence on the dynamic relationship between aggregate bank lending and interest rate changes. Theoretically, it proposes and solves a stochastic matching model where credit expansion and contraction are time consuming. It shows that the response of bank lending to changes in money market rates is likely to be asymmetric and depends crucially on two structural parameters: the speed at which new loans become available, and the speed at which banks recall existing loans. Empirically, it provides evidence that bank lending in Mexico and the United States responds asymmetrically to positive and negative shocks in money market rates.
| Author | : Mr. Zhongxia Jin |
| Publisher | : International Monetary Fund |
| Total Pages | : 29 |
| Release | : 2003-04-01 |
| Genre | : Business & Economics |
| ISBN | : 1451895453 |
Based on China''s experience between 1980 and 2002, a cointegrated vector autoregression model was established to explore the relationships among real interest rates, real exchange rates and balance of payments in China. Taking into account institutional changes, the empirical study shows that significant and usually non-monotonic interactions exist between these three variables. The paper discusses theoretical and policy implications of the empirical result.
| Author | : International Monetary Fund. Research Dept. |
| Publisher | : International Monetary Fund |
| Total Pages | : 116 |
| Release | : 1999-03-15 |
| Genre | : Business & Economics |
| ISBN | : 1451974558 |
This economic journal contains theoretical and empirical analyses of varous macroeconomic issues. The studies are prepapred by IMF research staff or consultants. Subjects covered inclulde balance of payments and exchange rates, monetary systems and policies, public finances, international trade, economic growth, and some sectoral analyses. The last issue of the year contains an index to the volume. Approximately 200 pages in each issue.
| Author | : Mr.Martin D. Evans |
| Publisher | : International Monetary Fund |
| Total Pages | : 63 |
| Release | : 2012-03-01 |
| Genre | : Business & Economics |
| ISBN | : 1463949553 |
Dark matter accounts for 83 percent of the matter in the universe and plays a central role in cosmology modeling. This paper argues that an analogous form of dark matter plays a similarly important role in international macroeconomics. Exchange-rate dark matter is invisible, but its existence can be inferred from observations on real exchange rates and interest rates. I first show that dark matter is the dominant driver of short- and medium-term changes in real exchange rates for the G-7 countries; accounting for more than 90 percent of the variance at the five-year horizon. I then develop a model in which risk shocks account for dark matter's role as a driver of exchange-rate dynamics and other macro variables.
| Author | : Olivier de Bandt |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 416 |
| Release | : 2010-10-14 |
| Genre | : Business & Economics |
| ISBN | : 3642153402 |
During the recession in the years 2008-2009, the most severe for mature economies in the post-war period, housing markets were often mentioned as having a special responsibility. The objective of this book is to shed light on the cyclical behaviour of the housing markets, its fundamental determinants in terms of supply and demand characteristics, and its relationship with the overall business cycle. The co-movements of house prices across countries are also considered, as well as the channel of transmission of house price changes to the rest of the economy. Particular attention is paid to the effects on private consumption, through possible wealth effects. The book is a compilation of original papers produced by economists and researchers from the four main national central banks in the euro area, also with the participation of leading academics.
| Author | : Abdylmenaf Bexheti |
| Publisher | : Springer Nature |
| Total Pages | : 845 |
| Release | : 2024-01-03 |
| Genre | : Business & Economics |
| ISBN | : 3031425111 |
This book presents carefully selected chapters from the proceedings of the 6th International Scientific Conference on Business and Economics (ISCBE),Tetovo, North Macedonia, which took place in May 2023. The chapters address a wide range of areas relevant to contemporary business and economics issues such as economic shocks, high inflation, energy crisis, COVID-19, growth prospects, economic forecast, labor market, gender inequalities, migration, entrepreneurship, and family businesses, firm development and innovations, technological transformation, etc. Researchers learn about the latest studies that discuss emerging challenges and perspectives of business and economics in the perspective of post-crisis economic recovery, consolidation, and stability.
| Author | : Michael McAleer |
| Publisher | : MDPI |
| Total Pages | : 536 |
| Release | : 2019-07-23 |
| Genre | : Business & Economics |
| ISBN | : 3038974439 |
Risk measures play a vital role in many subfields of economics and finance. It has been proposed that risk measures could be analysed in relation to the performance of variables extracted from empirical real-world data. For example, risk measures may help inform effective monetary and fiscal policies and, therefore, the further development of pricing models for financial assets such as equities, bonds, currencies, and derivative securities.A Special Issue of “Risk Measures with Applications in Finance and Economics” will be devoted to advancements in the mathematical and statistical development of risk measures with applications in finance and economics. This Special Issue will bring together the theory, practice and real-world applications of risk measures. This book is a collection of papers published in the Special Issue of “Risk Measures with Applications in Finance and Economics” for Sustainability in 2018.
