The Experts below are selected from a list of 449112 Experts worldwide ranked by ideXlab platform
Olivier Jeanne - One of the best experts on this subject based on the ideXlab platform.
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an Interest Rate defense of a fixed exchange Rate
Journal of International Economics, 2005Co-Authors: Robert P Flood, Olivier JeanneAbstract:Defending a government’s exchange-Rate commitment with active Interest Rate policy is not an option in first-generation models of speculative attacks. In those models, the Interest Rate is the passive reflection of currency-depreciation expectations. In this paper, we show how to adapt the first-generation framework to allow for an Interest Rate defense. It is shown that increasing domestic currency Interest Rate before the attack makes domestic assets more attractive according to an asset substitution effect, but weakens the domestic currency by increasing the government’s fiscal liabilities. As a result, an Interest Rate defense can be successful only conditional on sound fiscal policy.
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an Interest Rate defense of a fixed exchange Rate
Social Science Research Network, 2000Co-Authors: Olivier Jeanne, Robert P FloodAbstract:Defending a government's exchange-Rate commitment with active Interest Rate policy is not an option in the Krugman-Flood-Garber (KFG) model of speculative attacks. In that model, the Interest Rate is the passive reflection of currency-depreciation expectations. In this paper we show how to adapt the KFG model to allow for an Interest Rate defense. It is shown that increasing the domestic-currency Interest Rate makes domestic assets more attractive according to an asset substitution effect, but weakens the domestic currency by increasing the government's fiscal liabilities. As a result, raising the Interest Rate hastens the speculative attack when speculation is motivated by underlying fiscal fragility.
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an Interest Rate defence of a fixed exchange Rate
Research Papers in Economics, 2000Co-Authors: Robert P Flood, Olivier JeanneAbstract:Defending a government's exchange-Rate commitment with active Interest Rate policy is not an option in the Krugman-Flood-Garber (KFG) model of speculative attacks. In that model, the Interest Rate is the passive reflection of currency-depreciation expectations. In this paper we show how to adapt the KFG model to allow for an Interest Rate defence. It is shown that increasing domestic-currency Interest Rate makes domestic assets more attractive according to an asset substitution effect, but weakens the domestic currency by increasing the government's fiscal liabilities. As a result raising the Interest Rate hastens the speculative attack when speculation is motivated by underlying fiscal fragility.
Giorgio E Primiceri - One of the best experts on this subject based on the ideXlab platform.
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measuring the equilibrium real Interest Rate
Economic Perspectives, 2010Co-Authors: Alejandro Justiniano, Giorgio E PrimiceriAbstract:The equilibrium real Interest Rate represents the real Rate of return required to keep the economy’s output equal to potential output. This article discusses how to measure the equilibrium real Interest Rate, using an empirical structural model of the economy.
Robert P Flood - One of the best experts on this subject based on the ideXlab platform.
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an Interest Rate defense of a fixed exchange Rate
Journal of International Economics, 2005Co-Authors: Robert P Flood, Olivier JeanneAbstract:Defending a government’s exchange-Rate commitment with active Interest Rate policy is not an option in first-generation models of speculative attacks. In those models, the Interest Rate is the passive reflection of currency-depreciation expectations. In this paper, we show how to adapt the first-generation framework to allow for an Interest Rate defense. It is shown that increasing domestic currency Interest Rate before the attack makes domestic assets more attractive according to an asset substitution effect, but weakens the domestic currency by increasing the government’s fiscal liabilities. As a result, an Interest Rate defense can be successful only conditional on sound fiscal policy.
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an Interest Rate defense of a fixed exchange Rate
Social Science Research Network, 2000Co-Authors: Olivier Jeanne, Robert P FloodAbstract:Defending a government's exchange-Rate commitment with active Interest Rate policy is not an option in the Krugman-Flood-Garber (KFG) model of speculative attacks. In that model, the Interest Rate is the passive reflection of currency-depreciation expectations. In this paper we show how to adapt the KFG model to allow for an Interest Rate defense. It is shown that increasing the domestic-currency Interest Rate makes domestic assets more attractive according to an asset substitution effect, but weakens the domestic currency by increasing the government's fiscal liabilities. As a result, raising the Interest Rate hastens the speculative attack when speculation is motivated by underlying fiscal fragility.
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an Interest Rate defence of a fixed exchange Rate
Research Papers in Economics, 2000Co-Authors: Robert P Flood, Olivier JeanneAbstract:Defending a government's exchange-Rate commitment with active Interest Rate policy is not an option in the Krugman-Flood-Garber (KFG) model of speculative attacks. In that model, the Interest Rate is the passive reflection of currency-depreciation expectations. In this paper we show how to adapt the KFG model to allow for an Interest Rate defence. It is shown that increasing domestic-currency Interest Rate makes domestic assets more attractive according to an asset substitution effect, but weakens the domestic currency by increasing the government's fiscal liabilities. As a result raising the Interest Rate hastens the speculative attack when speculation is motivated by underlying fiscal fragility.
Mark D Unferth - One of the best experts on this subject based on the ideXlab platform.
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is there a world real Interest Rate
Journal of International Money and Finance, 1995Co-Authors: Joseph E Gagnon, Mark D UnferthAbstract:This study uses panel data techniques to estimate a common component to the ex post real Interest Rates of nine countries with liberal capital markets over the past 15 years. We show that the residuals from such a regression have almost no serial correlation, and that each country's real Interest Rate is highly correlated with the estimated world real interest Rate. The primary exception to these findings is the behavior of the U.S. real Interest Rate, which exhibits large and persistent deviations from the estimated world real Interest Rate.
Guillaume Vuillemey - One of the best experts on this subject based on the ideXlab platform.
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who bears Interest Rate risk
Review of Financial Studies, 2019Co-Authors: Peter Hoffmann, Sam Langfield, Federico Pierobon, Guillaume VuillemeyAbstract:We study the allocation of Interest Rate risk within the European banking sector using novel data. Banks’ exposure to Interest Rate risk is small on aggregate, but heterogeneous in the cross-section. Contrary to conventional wisdom, net worth is increasing in Interest Rates for approximately half of the institutions in our sample. Cross-sectional variation in banks’ exposures is driven by cross-country differences in loan-Rate fixation conventions for mortgages. Banks use derivatives to partially hedge on-balance-sheet exposures. Residual exposures imply that changes in Interest Rates have redistributive effects within the banking sector. Received October 31, 2017; editorial decision August 30, 2018 by Editor Philip Strahan. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.
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who bears Interest Rate risk
Research Papers in Economics, 2018Co-Authors: Peter Hoffmann, Sam Langfield, Federico Pierobon, Guillaume VuillemeyAbstract:We study the allocation of Interest Rate risk within the European banking sector using novel data. Banks’ exposure to Interest Rate risk is small on aggregate, but heterogeneous in the cross-section. In contrast to conventional wisdom, net worth is increasing in Interest Rates for approximately half of the institutions in our sample. Cross-sectional variation in banks’ exposures is driven by cross-country differences in loan-Rate fixation conventions for mortgages. Banks use derivatives to partially hedge on-balance sheet exposures. Residual exposures imply that changes in Interest Rates have redistributive effects within the banking sector. JEL Classification: G21, E43, E44
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who bears Interest Rate risk
Social Science Research Network, 2017Co-Authors: Peter Hoffmann, Sam Langfield, Federico Pierobon, Guillaume VuillemeyAbstract:We study the allocation of Interest Rate risk within the European banking sector using novel data. Banks’ exposure to Interest Rate risk is small on aggregate, but heterogeneous in the cross-section. In contrast to conventional wisdom, net worth is increasing in Interest Rates for approximately half of the institutions in our sample. Cross-sectional variation in banks’ exposures is driven by cross-country differences in loan-Rate fixation conventions for mortgages. Banks use derivatives to partially hedge on-balance sheet exposures. Residual exposures imply that changes in Interest Rates have redistributive effects within the banking sector.
