The Experts below are selected from a list of 327 Experts worldwide ranked by ideXlab platform
Volker Wieland - One of the best experts on this subject based on the ideXlab platform.
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instability imprecision and inconsistent use of equilibrium Real Interest Rate estimates
Journal of International Money and Finance, 2019Co-Authors: Volker Wieland, Robert C M BeyerAbstract:The current debate on monetary and fiscal policy is heavily influenced by estimates of the equilibrium Real Interest Rate. In particular, this concerns estimates derived from a simple aggregate demand and Phillips curve model with time-varying components as proposed by Laubach and Williams (2003). For example, Summers (2014a) refers to these estimates as important evidence for a secular stagnation and the need for fiscal stimulus. Yellen (2015, 2017) has made use of such estimates in order to explain and justify why the Federal Reserve has held Interest Rates so low for so long. First, we re-estimate the U.S. equilibrium Rate with the methodology of Laubach and Williams (2003). Then, we build on their approach and the modifications proposed in Mesonnier and Renne (2007) and Garnier and Wilhelmsen (2009) to provide new estimates for the United States, the euro area and Germany. Third, we subject these estimates to a battery of sensitivity tests. Due to the great uncertainty and sensitivity that accompany these equilibrium Rate estimates, the observed decline in the estimates is not a reliable indicator of a need for expansionary monetary and fiscal policy. Yet, if these estimates are employed to determine the appropriate monetary policy stance, such estimates are better used together with the consistent estimate of the level of potential output.
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Finding the Equilibrium Real Interest Rate in a Fog of Policy Deviations
Business Economics, 2016Co-Authors: John B. Taylor, Volker WielandAbstract:A large number of recent papers have endeavored to estimate the current level and trend in the equilibrium Real Interest Rate. A common finding in these studies is that the equilibrium Real Interest Rate has declined in recent years. We show that what appear to be trends in the equilibrium Interest Rate may instead be trends in other policy variables that affect the economy, and that methods used to adjust monetary policy rules to take account of shifts in the equilibrium Interest Rate alone are incomplete and misleading because they do not incorpoRate shifts—such as changes in potential GDP—that are associated with the shifts. Finally, we show that alternative simulation techniques can radically alter the results. We conclude that the estimates of time-varying Real equilibrium Interest Rates that have emerged from recent research are not yet useful for application to current monetary policy.
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finding the equilibrium Real Interest Rate in a fog of policy deviations
Business Economics, 2016Co-Authors: John B. Taylor, Volker WielandAbstract:Recently there has been an explosion of research on whether the equilibrium Real Interest Rate has declined, an issue with significant implications for monetary policy. A common finding is that the Rate has declined. In this paper we provide evidence that contradicts this finding. We show that the perceived decline may well be due to shifts in regulatory policy and monetary policy that have been omitted from the research. In developing the monetary policy implications, it is promising that much of the research approaches the policy problem through the framework of monetary policy rules, as uncertainty in the equilibrium Real Rate is not a reason to abandon rules in favor of discretion. But the results are still inconclusive and too uncertain to incorpoRate into policy rules in the ways that have been suggested.
Jyhlin Wu - One of the best experts on this subject based on the ideXlab platform.
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Real Interest Rate parity under regime shifts and implications for monetary policy
The Manchester School, 2000Co-Authors: Jyhlin Wu, Stilianos FountasAbstract:We use recently developed cointegration tests that determine endogenously the regime shift to test bilateral Real Interest Rate convergence (Real Interest Rate parity) in the G7 against the US in the 1974-1995 period. In contrast with previous studies that employed classical regression analysis and standard cointegration tests, our innovative approach provides strong evidence in favour of bilateral Real Interest Rate convergence between the US and several countries in our sample, in particular for short-term Real Interest Rates. Our results highlight the fact that for a number of countries in our sample (Canada and UK) monetary policy can act as a stabilization policy tool through its effect on domestic long-term Real Interest Rates while for others (France and Germany) long-term Real Interest Rate changes are influenced by the US monetary policy stance. Copyright 2000 by Blackwell Publishers Ltd and The Victoria University of Manchester
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testing for Real Interest Rate convergence in european countries
Scottish Journal of Political Economy, 1999Co-Authors: Stilianos Fountas, Jyhlin WuAbstract:The authors use cointegration tests that determine endogenously the regime shift to test for bilateral short-term and long-term Real Interest Rate convergence in the European Monetary System in the 1979-93 period. The results of these tests provide strong evidence in favor of bilateral Real Interest Rate convergence between Germany and several countries in the authors' sample, particularly for long-term Real Interest Rates. This result carries the important policy implication that, in several European countries, monetary policy has lost some of its effectiveness as a stabilization policy tool. Copyright 1999 by Scottish Economic Society.
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a re examination of Real Interest Rate parity
Canadian Journal of Economics, 1998Co-Authors: Jyhlin Wu, Showlin ChenAbstract:Empirical investigation based on consumer-price-index-based Real Interest Rates is used to conclude that Real Interest Rate parity is not supported. In this paper, the authors employ three panel-based unit-root tests, provided by Andrew Levin and Chien-Fu Lin (1992), Kyung So Im, Hashem M. Pesaran, and Yongcheol Shin (1995), and G. S. Maddala and Shaowen Wu (1996), to examine the stationarity of Real Interest differentials. Using monthly observations on Euro-market Rates, they support the mean-reverting property of Real Interest differentials and, hence, the Real Interest Rate parity. This finding is consistent with the observation that international integration of financial markets has increased dramatically since 1979.
Alexandros Kontonikas - One of the best experts on this subject based on the ideXlab platform.
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a new test of the Real Interest Rate parity hypothesis bounds approach and structural breaks
Review of International Economics, 2011Co-Authors: George Bagdatoglou, Alexandros KontonikasAbstract:We test the Real Interest Rate parity hypothesis using data for the G7 countries over the period 1970-2008. Our contribution is two-fold. First, we utilize the ARDL bounds approach of Pesaran et al. (2001) which allows us to overcome uncertainty about the order of integration of Real Interest Rates. Second, we test for structural breaks in the underlying relationship using the multiple structural breaks test of Bai and Perron (1998, 2003). Our results indicate significant parameter instability and suggest that, despite the advances in economic and financial integration, Real Interest Rate parity has not fully recovered from a breakdown in the 1980s.
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.
Richard J Cebula - One of the best experts on this subject based on the ideXlab platform.
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an empirical investigation into the impact of us federal government budget deficits on the Real Interest Rate yield on intermediate term treasury issues 1972 2012
Applied Economics, 2014Co-Authors: Richard J CebulaAbstract:The existence of large federal budget deficits in the U.S., especially in recent years, raises the specter of concern regarding their potential effects on Real Interest Rates (as well as economic growth and capital formation). This study provides current and new empirical evidence on the impact of the federal budget deficit on the Real Interest Rate yields on intermediate-term debt issues of the U.S. Treasury, represented herein by the ex post Real Interest Rate yields on three-year Treasury notes and seven-year Treasury notes, two Interest Rate measures that have received essentially no attention in the economics and finance literature in recent years. The study is couched within a loanable funds model that includes two ex post Real Interest Rate yields, the monetary base as a percent of GDP, the change in per capita Real GDP, net financial capital inflows as a percent of GDP, and the budget deficit as a percent of GDP. This study uses annual data for the study period 1972-2012, a time period that 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 ex post Real Interest Rate yields on both three-year and seven-year Treasury notes, even after allowing for quantitative easing and other factors. The study also considers the 1980-2012 time period and offers simple robustness testing.
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an exploratory analysis of the impact of budget deficits and other factors on the ex post Real Interest Rate yield on tax free municipal bonds in the united states
Applied Financial Economics, 2014Co-Authors: Richard J CebulaAbstract:Using over a half century of data, this empirical study adopts a simple loanable funds to investigate the impact of the federal budget deficits and other factors, chiefly financial market factors, on the ex post Real Interest Rate yield on high-grade municipal bonds in the United States. Two autoregressive two-stage least squares (AR/2SLS) estimates for the 1960 to 2011 study period and another for the 1971 to 2011 study period find that the ex post Real Interest Rate yield on high-grade municipal bonds is an increasing function of the ex post Real Interest Rate yield on Moody's Baa-Rated corpoRate bonds, the ex post Real Interest Rate yield on 3-year US Treasury notes, the Real value S&P 500 stock index and the federal budget deficit (relative to the GDP level). Based on these results, it is observed that factors elevating the federal budget deficit appear to raise the Real cost of borrowing to the cities (of all sizes), counties and states across the United States. Given the time period studied, 1960 through 2011, this relationship appears to be an enduring one, one that responsible policy-makers should not overlook. Over the long run, failure to address the federal budget issue could have profound negative impacts on the finances of US cities, counties and states and their economic activities.
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impact of federal government budget deficits on the longer term Real Interest Rate in the u s evidence using annual and quarterly data 1960 2013
Applied Economics Quarterly, 2014Co-Authors: Richard J CebulaAbstract:Using over a half century of data, this empirical study adopts a simple loanable funds to investigate the impact of the federal budget deficits in the U.S. on the ex post Real Interest Rate yield on ten year U.S. Treasury notes. Three estimates using annual data for three different time periods (1960–2013, 1971–2013, 1980–2013) are provided; in addition, as a de facto modest test of robustness, one additional estimate using quarterly data for the period 1960.1 through 2013.4 is also provided. In each of the four empirical analyses, an autoregressive 2SLS estimate finds that the ex post Real Interest Rate yield on ten year U.S. Treasury notes is an increasing function of the ex post Real Interest Rate yield on Moody’s Baa-Rated corpoRate bonds, the ex post Real Interest Rate yield on three year Treasury notes, and the ex post Real Interest Rate yield on high grade municipal bonds. This exploratory analysis also finds consistent evidence that federal budget deficit (relative to the GDP level) exercised a positive and statistically significant impact on the ex post Real Interest Rate yield on ten year Treasury notes, a finding compatible in principle with a number of earlier studies of shorter time periods.
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an exploratory empirical inquiry into the impact of federal budget deficits on the ex post Real Interest Rate yield on ten year treasury notes over the last half century
Journal of Economics and Finance, 2014Co-Authors: Richard J Cebula, Fiorentina Angjellaridajci, Maggie FoleyAbstract:Using over a half century of data, this exploratory empirical study adopts a simple loanable funds to investigate the impact of the federal budget deficits on the ex post Real Interest Rate yield on 10 year Treasury notes. For the period 1960–2012, an autoregressive 2SLS estimate finds that the ex post Real Interest Rate yield on 10 year U.S. Treasury notes is an increasing function of the ex post Real Interest Rate yield on Moody’s Baa-Rated corpoRate bonds, the ex post Real Interest Rate yield on 3 year Treasury notes, and the ex post Real Interest Rate yield on high grade municipal bonds. This exploratory analysis also finds that federal budget deficit (relative to the GDP level) exercised a positive and statistically significant impact on the ex post Real Interest Rate yield on 10 year Treasury notes, a finding consistent with a number of earlier studies of shorter time periods
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impact of federal government budget deficits on the longer term Real Interest Rate in the u s evidence using annual and quarterly data 1960 2013
MPRA Paper, 2014Co-Authors: Richard J CebulaAbstract:Using over a half century of data, this empirical study adopts a simple loanable funds model to investigate the impact of federal budget deficits in the U.S. on the ex post Real Interest Rate yield on ten year U.S. Treasury notes. Three estimates using annual data for three different time periods (1960-2013, 1971-2013, 1980-2013) are provided; in addition, as a de facto modest test of robustness, one additional estimate using quarterly data for the period 1960.1 through 2013.4 is also provided. In each of the four empirical analyses, an autoregressive 2SLS estimate finds that the ex post Real Interest Rate yield on ten year U.S. Treasury notes is an increasing function of the ex post Real Interest Rate yield on Moody’s Baa-Rated corpoRate bonds, the ex post Real Interest Rate yield on three year Treasury notes, and the ex post Real Interest Rate yield on high grade municipal bonds. This exploratory analysis also finds consistent evidence that federal budget deficit (relative to the GDP level) exercised a positive and statistically significant impact on the ex post Real Interest Rate yield on ten year Treasury notes
