The Experts below are selected from a list of 321 Experts worldwide ranked by ideXlab platform
Richard J Cebula - One of the best experts on this subject based on the ideXlab platform.
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impact of federal income tax Rates and government borrowing on Nominal Interest Rate yields on tax free municipal bonds
Journal of Financial Economic Policy, 2018Co-Authors: Richard J Cebula, Usha NairreichertAbstract:This study investigates the impact of federal income tax Rates and budget deficits on the Nominal Interest Rate yield on high-grade municipal tax-free bonds (municipals) in the US. The 58-year study period covers the years 1959 through 2016 and thus is very recent.,The study develops a loanable funds model that allows for various financial market factors. Once developed, the model is estimated by autoregressive two-stage least squares, with a Newey-West heteroskedasticity correction.,The Nominal Interest Rate yield on municipals is a decreasing function of the maximum marginal federal personal income tax Rate and an increasing function of the federal budget deficit (expressed as a per cent of GDP). This yield is also an increasing function of Nominal Interest Rate yields on three- and ten-year treasury notes and expected inflation.,When introducing additional Interest Rates such as treasury bills as explanatory variables, multi-collinearity becomes a serious problem.,This study indicates that lower maximum federal personal income tax Rates and larger federal budget deficits, both act to raise borrowing costs for cities (of all sizes), counties and states across the country. Given the study period of 58 years, these relationships appear to be enduring ones that responsible policy-makers should not overlook.,Tax reform and debt management need to be conducted in a very circumspect fashion.,No recent study investigating the impact of the two key policy variables in this study has been published.
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on the Nominal Interest Rate yield response to net government borrowing in the u s glm estimates 1972 2012
2015Co-Authors: Richard J CebulaAbstract:This study provides current empirical evidence on the impact of net U.S. government borrowing (budget deficits) on the Nominal Interest Rate yield on ten-year Treasury notes. The model includes an ex ante real short-term real Interest Rate yield, an ex ante real long-term Interest Rate yield, the monetary base as a percent of GDP, expected future inflation, the percentage growth Rate of real GDP, net financial capital inflows, and other variables. This study uses annual data for the period 1972-2012. GLM (Generalized Linear Model) estimates imply, among other things, that the federal budget deficit, expressed as a percent of GDP, exercised a positive and statistically significant impact on the Nominal Interest Rate yield on ten-year Treasury notes over the study period.
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the Nominal Interest Rate yield response to net government borrowing glm estimates 1972 2012
MPRA Paper, 2014Co-Authors: Richard J CebulaAbstract:This study provides current empirical evidence on the impact of net U.S. government borrowing (budget deficits) on the Nominal Interest Rate yield on ten-year Treasury notes. The model includes an ex ante real short-term real Interest Rate yield, an ex ante real long-term Interest Rate yield, the monetary base as a percent of GDP, expected future inflation, the percentage growth Rate of real GDP, net financial capital inflows, and other variables. This study uses annual data for the period 1972-2012. GLM (Generalized Linear Model) estimates imply, among other things, that the federal budget deficit, expressed as a percent of GDP, exercised a positive and statistically significant impact on the Nominal Interest Rate yield on ten-year Treasury notes over the study period.
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current evidence on the impact of budget deficits on the Nominal Interest Rate yield on intermediate term debt issues of the u s treasury an analysis with robustness tests
MPRA Paper, 2014Co-Authors: Richard J CebulaAbstract:This study provides new empirical evidence on the impact of the budget deficit on the Nominal Interest Rate yield on intermediate-term debt issues of the U.S. Treasury, represented in this study by the Nominal Interest Rate yield on ten-year Treasury notes. The study is couched within an open-economy loanable funds model that includes an ex ante real short-term real Interest Rate yield, an ex ante real long-term Interest Rate yield, the monetary base as a percent of GDP, expected future inflation, the percentage growth Rate of real GDP, net financial capital inflows, and other variables. This study uses annual data and then uses quarterly data for the periods 1971-2008 and 1971-2012. The latter of these two study periods includes “quantitative easing” monetary policies by the Federal Reserve. Two-stage least squares estimations reveal that the federal budget deficit, expressed as a percent of GDP, has exercised a positive and statistically significant impact on the Nominal Interest Rate yield on ten-year Treasury notes, even after allowing for quantitative easing and other factors. Robustness tests are provided in an Appendix.
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preliminary evidence on the impact of budget deficits on the Nominal Interest Rate yield on ten year u s treasury notes after allowing for adoption of monetary policies involving quantitative easing evidenza preliminare sull impatto del deficit di bi
Economia Internazionale International Economics, 2014Co-Authors: Richard J CebulaAbstract:This study provides current, new empirical evidence on the impact of the U.S. federal budget deficit on the Nominal Interest Rate yield on Nominal ten-year U.S. Treasury notes. The study is couched within an open loanable funds model that includes an ex ante real short term real Interest Rate yield, an ex ante real long-term Interest Rate yield, the monetary base as a percent of GDP, expected future inflation, the percentage growth Rate of real GDP, and other variables. This study uses annual data for the periods 1973-2008 and 1973-2012; the latter of these two study periods includes “quantitative easing” monetary policies in the U.S. A number of autoregressive two-stage least squares estimations reveal that the federal budget deficit, expressed as a percent of GDP, has exercised a positive and statistically significant impact on the Nominal Interest Rate yield on ten-year Treasury notes, even after allowing for “quantifying easing” and other factors. - Questo studio fornisce una nuova evidenza empirica sull’impatto del deficit di bilancio federale degli USA sul tasso di interesse Nominale delle treasury notes USA a dieci anni. Lo studio e stato effettuato attraverso un modello con aperture di credito che considera il tasso di interesse reale a breve termine ed a lungo termine ex ante, la base monetaria quale percentuale del PIL, l’inflazione attesa, la percentuale di crescita del PIL reale ed altre variabili. Vengono utilizzati dati annuali per il periodo 1973-2008 e 1973- 2012. Quest’ultimo include politiche monetarie di quantitative easing adottate negli USA. Diverse stime autoregressive ai minimi quadrati su due livelli evidenziano che il deficit federale, in percentuale del PIL, ha un impatto positivo e statisticamente significativo sul tasso d’interesse Nominale dei titoli a dieci anni, pur considerando il quantifying easing ed altri fattori.
Carlos A Vegh - One of the best experts on this subject based on the ideXlab platform.
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Inflationary finance and currency substitution in a public finance framework
Journal of International Money and Finance, 1995Co-Authors: Carlos A VeghAbstract:This paper analyzes the impact of currency substitution on inflationary finance in a public finance framework. It is shown that if foreign money balances can be taxed (or subsidized), the optimal inflation tax is always zero. In the more realistic case in which foreign money cannot be taxed, the optimal inflation tax is positive whenever there are revenue needs. Moreover, the optimal inflation tax is an increasing function of government spending and the foreign Nominal Interest Rate. © 1995.
Anton Nakov - One of the best experts on this subject based on the ideXlab platform.
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optimal and simple monetary policy rules with zero floor on the Nominal Interest Rate
2012Co-Authors: Anton NakovAbstract:Recent treatments of the issue of a zero floor on Nominal Interest Rates have been subject to some important methodological limitations. These include the assumption of perfect foresight or the introduction of the zero lower bound as an initial condition or a constraint on the variance of the Interest Rate, rather than an occasionally binding non-negativity constraint. This paper addresses these issues offering a global solution to a standard dynamic stochastic sticky price model with an explicit occasionally binding non-negativity constraint on the Nominal Interest Rate. It turns out that the dynamics and sometimes the unconditional means of the Nominal Rate, inflation and the output gap are strongly affected by uncertainty in the presence of the zero lower bound. Commitment to the optimal rule reduces unconditional welfare losses to around one-tenth of those achievable under discretionary policy, while constant price level targeting delivers losses which are only 60% larger than under the optimal rule. Even though the unconditional performance of simple instrument rules is almost unaffected by the presence of the zero lower bound, conditional on a strong deflationary shock simple instrument rules perform substantially worse than the optimal policy.
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optimal and simple monetary policy rules with zero floor on the Nominal Interest Rate
International Journal of Central Banking, 2008Co-Authors: Anton NakovAbstract:Recent treatments of the issue of a zero floor on Nominal Interest Rates have been subject to some important methodological limitations. These include the assumption of perfect foresight or the introduction of the zero lower bound as an initial condition or a constraint on the variance of the Interest Rate, rather than an occasionally binding non-negativity constraint. This paper addresses these issues, offering a global solution to a standard dynamic stochastic sticky-price model with an explicit occasionally binding non-negativity constraint on the Nominal Interest Rate. It turns out that the dynamics and sometimes the unconditional means of the Nominal Rate, inflation, and the output gap are strongly affected by uncertainty in the presence of the zero lower bound. Commitment to the optimal rule reduces unconditional welfare losses to around one-tenth of those achievable under discretionary policy, while constant price-level targeting delivers losses that are only 60 percent larger than those under the optimal rule. Even though the unconditional performance of simple instrument rules is almost unaffected by the presence of the zero lower bound, conditional on a strong deflationary shock, simple instrument rules perform substantially worse than the optimal policy.
U.g. Haussmann - One of the best experts on this subject based on the ideXlab platform.
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Control of inflation: a singular stochastic control problem
Proceedings of the 36th IEEE Conference on Decision and Control, 1997Co-Authors: M.b. Chiarolla, U.g. HaussmannAbstract:A two-dimensional singular stochastic control problem with an infinite horizon, arising when the Central Bank tries to contain inflation by acting on the Nominal Interest Rate, is studied. It is shown that the problem admits a variational formulation which can be differentiated to lead to a stochastic differential game between the conservative and the expansionist tendencies of the Bank. This result also holds when a finite horizon is used in the model. For the infinite horizon case, substantial regularity of the free boundary associated to the differential game is obtained. Existence of an optimal policy is established and it is shown that the optimal process is a diffusion reflected at the boundary. Numerical results obtained by fitting the model to Canadian data of the past 15 years are given.
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Managing inflation: a control problem
Proceedings of 1995 34th IEEE Conference on Decision and Control, 1995Co-Authors: M.b. Chiarolla, U.g. HaussmannAbstract:The central bank's action on the Nominal Interest Rate r(t), aiming to contain the Rate of inflation /spl pi/(t), is modeled as a control problem in which the two dimensional state process (r,/spl pi/) is driven by a diffusion process and the action of the bank is represented by a bounded variation process k that enters the dynamics of r additively. A variational inequality for the value function is derived and the regularity of the corresponding free boundary is studied. This allows the construction of an optimal policy k/spl circ/; it is shown that the optimal state process is a diffusion reflected at the free boundary.
Timothy S Fuerst - One of the best experts on this subject based on the ideXlab platform.
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real indeterminacy in monetary models with Nominal Interest Rate distortions
Review of Economic Dynamics, 2001Co-Authors: Charles T Carlstrom, Timothy S FuerstAbstract:This paper demonstRates that in a standard flexible-price monetary model there exists real indeterminacy whenever the Nominal Interest Rate moves too closely with either current or forecasted inflation. However, an aggressive response to lagged inflation will ensure determinacy. These conclusions are robust to a wide range of calibrations, and a monetary environment that allows for endogenous velocity. The results are affected by the inclusion of investment spending in the transactions constraint. (Copyright: Elsevier)
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real indeterminacy in monetary models with Nominal Interest Rate distortions the problem with inflation targets
2001Co-Authors: Charles T Carlstrom, Timothy S FuerstAbstract:This paper demonstRates that in a standard monetary model with a cash-in-advance constraint on consumption there exists real indeterminacy whenever the Nominal Interest Rate moves too closely with the real Rate. A particular example of such a policy is an inflation Rate target. This is not a knife-edge result. The conclusion is robust to a wide range of calibrations and to a monetary environment that allows for endogenous velocity.