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Sticky Prices Versus Monetary Frictions:An Estimation of Policy Trade-offs
Bayesian Estimation Long-run Inflation Target Monetary Models Welfare Costs of Inflation
2015/9/18
We develop a two-sector monetary model with a centralized and decentralized market. Activities in the centralizedmarket resemble those in a standard New Keynesian economy with price rigidities. In the...
Futures prices as risk-adjusted forecasts of monetary policy
Federal funds futures Monetary policy
2015/7/23
Many researchers have used federal funds futures rates as measures of financial markets’
expectations of future monetary policy. However, to the extent that federal funds futures
reflect...
This paper studies monetary-policy shocks,
deŽ ned from federal funds target movements
relative to daily interest-rate data. These shocks are nearly ideal measures of unexpected movements in mo...
In the U.S. and Europe, prices change at least once a year. Yet nominal macro shocks seem to have real effects lasting well beyond a year. ‘‘Sticky information’’ models, as posited by Mankiw and Reis ...
武汉理工大学货币银行学英文课件Chapter5 Bonds,Bond Prices and the Determination of Interest Rates
武汉理工大学 货币银行学 英文 课件 Chapter5 Bonds,Bond Prices and the Determination of Interest Rates
2015/6/4
武汉理工大学货币银行学英文课件Chapter5 Bonds,Bond Prices and the Determination of Interest Rates。
Oil Prices, Monetary Policy, and Counterfactual Experiments
interest rates Monetary policy oil prices
2011/8/21
Recessions are associated with both rising oil prices and increases in the federal funds rate. Are recessions caused by the spikes in oil prices or by the sharp tightening of monetary policy? This pap...
Modeling share prices of banks and bankrupts
share price modeling CPI prediction the USA bankruptcy
2010/10/19
Share prices of financial companies from the S&P 500 list have been modeled by a linear function of consumer price indices in the USA. The Johansen and Engle-Granger tests for cointegration both demo...
Asymptotic behavior of prices of path dependent options
path dependent option Markov property Levy process Asian option partial barrier option asymptotic behavior
2010/11/3
In this paper, we give a numerical method for pricing long maturity,path dependent options by using the Markov property for each underlying asset. This enables us to approximate a path dependent optio...
Gain/loss asymmetry in time series of individual stock prices and its relationship to the leverage effect
gain/loss asymmetry leverage effect EGARCH retarded volatility model
2010/11/3
Previous research has shown that for stock indices, the most likely time until a return of a
particular size has been observed is longer for gains than for losses. We establish that this so-called ga...
Recovering a time-homogeneous stock price process from perpetual option prices
time-homogeneous stock price perpetual option prices
2010/10/29
It is well-known how to determine the price of perpetual American options if the underlying stock price is a time-homogeneous diffusion.In the present paper we consider the inverse problem, i.e. given...
Upper and lower bounds on dynamic risk indifference prices in incomplete markets
Backward stochastic differential equations Dynamic convex risk measures Incomplete markets Indifference pricing
2010/11/2
In the context of an incomplete market with a Brownian filtration and a fixed finite time horizon T , this paper proves that for general dynamic convex risk measures, the buyer’s (pbuyer t ) and selle...
Forecasting Crashes: Trading Volume, Past Returns and Conditional Skewness in Stock Prices
Crashes Trading volume Skewness
2014/3/18
We develop a series of cross-sectional regression specifications to forecast skewness in the daily returns of individual stocks. Negative skewness is most pronounced in stocks that have experien...