Abstract not found

Abstract not found

This paper employs an approximation that makes a nonlinear term structure model extremely tractable for analysis of an economy operating near the zero lower bound for interest rates. We show that such a model offers an excellent description of the data and can be used to summarize the macroeconomic effects of unconventional monetary policy at the zero lower bound. Our estimates imply that the efforts by the Federal Reserve to stimulate the economy since July 2009 succeeded in making the unemployment rate in December 2013 0.13 % lower than it otherwise would have been.

NOTE: Staff working papers in the Finance and Economics Discussion Series (FEDS) are preliminary materials circulated to stimulate discussion and critical comment. The analysis and conclusions set forth are those of the authors and do not indicate concurrence by other members of the research staff or the Board of Governors. References in publications to the Finance and Economics Discussion Series (other than acknowledgement) should be cleared with the author(s) to protect the tentative character of these papers.

Abstract not found

Thispaperinvestigates therelationshipbetween exchangeratedynamicsandmacroeconomic fundamentals in a multi-country framework. Using a no-arbitrage macro-finance model, the exchange rate is a nonlinear function of macroeconomic fundamentals, which are assumed to be determined by global and country-idiosyncratic factors. The empirical study focuses on an open economy including four countries, i.e. Germany, the UK, Japan and the US (the home country). The model is able to characterize the joint dynamics of exchange rates, with 57%, 66 % and 33 % of the variations in the observed changes of USD/DEM (EUR), USD/GBP and USD/JPY being explained. All three dollar foreign exchange risk premia implied by this arbitrage-free multi-country model satisfy the Fama conditions (1984), they are highly correlated with each other and they are counter-cyclical with respect to the US economy. Moreover, global and country-idiosyncratic macroeconomic factors do exist and play very different roles in driving exchange rate dynamics and foreign risk premia.

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Abstract This paper examines the relation between variations in perceived in ‡ation uncertainty and bond premia. Using the subjective probability distributions available in the Survey of Professional Forecasters we construct a quarterly time series of average individual uncertainty about in ‡ation forecasts since 1968. We show that this ex-ante measure of in ‡ation uncertainty di¤ers importantly from measures of disagreement regarding in ‡ation forecasts and other proxies, such as model-based ex-post measures of macroeconomic risk. In ‡ation uncertainty is an important driver of bond premia, but the relation varies across in ‡ation regimes. It is most important in the high-in ‡ation regime early in the sample and the lowin ‡ation regime over the last 15 years. Once the role of in ‡ation uncertainty is accounted for, disagreement regarding in ‡ation forecasts appears a much less important driver of bond premia.

Cyclical adjustment in fiscal rules: some evidence on real-time bias for EU-15 countries

This paper presents preliminary findings and is being distributed to economists and other interested readers solely to stimulate discussion and elicit comments. The views expressed in this paper are those of the authors and are not necessarily reflective of views at the Federal Reserve Bank of New York or the Federal Reserve System. Any errors or omissions are the responsibility of the authors. Pricing TIPS and Treasuries with Linear Regressions