The risks of low interest rates
نویسندگان
چکیده
منابع مشابه
Macro Risks and the Term Structure of Interest Rates∗
We use non-Gaussian features in U.S. macroeconomic data to identify aggregate supply and demand shocks while imposing minimal economic assumptions. Recessions in the 1970s and 1980s were driven primarily by supply shocks, later recessions were driven primarily by demand shocks, and the Great Recession exhibited large negative shocks to both demand and supply. We estimate “macro risk factors” th...
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Real interest and inflation rates have been very low in many industrialized countries since the Great Recession. In this paper, a mechanism of low and floating real interest and inflation rates is examined based on the concept a “Nash equilibrium of a Pareto inefficient path” and the law of motion for trend inflation. I show that, because the link between the marginal product of capital and the...
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How do low real interest rates constrain monetary policy? Is the zero lower bound optimal if the real interest rate is suffi ciently low? What is the role of forward guidance? A model is constructed that can incorporate sticky price frictions, collateral constraints, and conventional monetary distortions. The model has neo-Fisherian properties. Forward guidance in a liquidity trap works through...
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Parameter uncertainty has recently been proposed as a viable candidate to reconsile various asset pricing puzzles that have arisen in the asset pricing literature. Focusing on the risk-free rate puzzle, I show through a simulation study that Bayesian learning about parameter uncertainty has a limited role in explaining the low historical short-term interest rates.
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We review the arguments in the finance and open macroeconomics literature relevant for the Central Bank to set the level of the interest rate in an open economy. The two relevant risks are the currency and country risks. The country risk (Brazil Risk) is measured with different financials instruments and the (unobservable) currency risk is estimated via the Kalman Filter. We show that—besides t...
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ژورنال
عنوان ژورنال: Ensayos sobre Política Económica
سال: 2011
ISSN: 0120-4483
DOI: 10.32468/espe.6401