Australian monetary growth and short-term nominal interest rates: an interest parity efficient markets approach

1990 ◽  
Vol 22 (8) ◽  
pp. 1119-1126
Author(s):  
Allan P. Layton
Keyword(s):  
Interest Rates ◽  
Efficient Markets ◽  
Short Term ◽  
Nominal Interest Rates ◽  
Interest Parity

scholarly journals High-Frequency Estimates of the Natural Real Rate and Inflation Expectations

2021 ◽  
Vol 2021 (034) ◽  
pp. 1-32
Author(s):  
Alex Aronovich ◽  
◽  
Andrew Meldrum ◽  
Keyword(s):  
Interest Rates ◽  
High Frequency ◽  
Global Financial Crisis ◽  
Inflation Expectations ◽  
Study Analysis ◽  
Bond Yields ◽  
Short Term ◽  
Real Rate ◽  
Nominal Interest Rates ◽  
The Global Financial Crisis

We propose a new method of estimating the natural real rate and long-horizon inflation expectations, using nonlinear regressions of survey-based measures of short-term nominal interest rates and inflation expectations on U.S. Treasury yields. We find that the natural real rate was relatively stable during the 1990s and early 2000s, but declined steadily after the global financial crisis, before dropping more sharply to around 0 percent during the recent COVID-19 pandemic. Long-horizon inflation expectations declined steadily during the 1990s and have since been relatively stable at close to 2 percent. According to our method, the declines in both the natural real rate and long-horizon inflation expectations are clearly statistically significant. Our estimates are available at whatever frequency we observe bond yields, making them ideal for intraday event-study analysis--for example, we show that the natural real rate and long-horizon inflation expectations are not affected by temporary shocks to the stance of monetary policy.

Exchange Rates and Nominal Interest Rates

2019 ◽  
pp. 126-135
Author(s):  
Harold L. Cole
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Interest Rates ◽  
Real Exchange Rate ◽  
Exchange Rate Regimes ◽  
Real Exchange Rates ◽  
The Real ◽  
Nominal Interest Rates ◽  
Different Types ◽  
Interest Parity

This chapter discusses exchanges and the different types of exchange rate regimes. It describes how exchange rates impact on real exchange rates, and how movements in the real exchange rate are associated with boom-bust cycles. It also discusses interest parity.

scholarly journals Monetary Policy, Financial Stability, and the Zero Lower Bound

2016 ◽  
Vol 106 (5) ◽  
pp. 39-42 ◽  
Author(s):  
Stanley Fischer
Keyword(s):  
Monetary Policy ◽  
Lower Bound ◽  
Interest Rates ◽  
Financial Stability ◽  
Central Banking ◽  
Zero Lower Bound ◽  
Short Term ◽  
Long Run ◽  
Nominal Interest Rates ◽  
Equilibrium Real Interest Rate

Much has happened in the world of central banking in the past decade. In this paper, I focus on three issues associated with the zero lower bound (ZLB) on short-term nominal interest rates and the nexus between monetary policy and financial stability: 1) whether we are moving toward a permanently lower long-run equilibrium real interest rate; 2) what steps can be taken to mitigate the constraints imposed by the ZLB; and 3) whether and how financial stability considerations should be incorporated in the conduct of monetary policy. These important topics deserve the attention of both academic and government professionals.

scholarly journals Policy space in a financially integrated world: The Brazilian case in the 2000s

2019 ◽  
Vol 66 (1) ◽  
pp. 51-67
Author(s):  
Carmem Feijo ◽  
Marcos Lamonica
Keyword(s):  
Economic Growth ◽  
Interest Rates ◽  
Policy Space ◽  
Short Term ◽  
Average Growth Rate ◽  
Annual Average ◽  
Average Growth ◽  
Negative Results ◽  
Nominal Interest Rates ◽  
Made In

This paper makes the argument that policy space in Brazil has been narrowing since the trade and capital opening made in the 1990s. This is so because the opening of the Brazilian economy has implied that real and nominal interest rates have been kept high and the real exchange rate has shown a trend towards appreciation. The behavior of the main macroeconomic prices of the Brazilian economy brought, as a minimum, two negative results to economic growth. On one hand, the annual average growth rate was reduced because structural change had been moving towards less technologically productive sectors, which deepened deindustrialization. On the other hand, short-term economic growth had become more volatile, given that the evolution of the investment position of the country increased its potential degree of external fragility.

scholarly journals Nominal Interest Rate, Inflation Money and Market Link in Bangladesh: An Econometric Analysis

2020 ◽  
Vol 7 (1) ◽  
pp. 59-68
Author(s):  
Sanjida Akter Chowdhury ◽  
Md. Yousuf ◽  
Md. Nezum Uddin ◽  
Mohammed Jashim Uddin
Keyword(s):  
Interest Rate ◽  
Interest Rates ◽  
Time Series Data ◽  
Money Market ◽  
Nominal Interest Rate ◽  
Series Data ◽  
Short Term ◽  
Nominal Interest Rates ◽  
Fisher Hypothesis

This paper pursues to establish a connection among the nominal interest rate, the money market, and the inflation rate in Bangladesh using monthly time series data from June 2005 to March 2019. Because some data are stationary at the level and others are stationary at the 1st difference, the ARDL model is applicable for checking the link. There is a strong positive short-term and long-term relationship between inflation and nominal interest rates, suggesting that Bangladeshi data support the Fisher hypothesis for that time. For this study, the T bill, the call money rate is used as a measure of the money market. The research indicates that regulators should concentrate on call money rates in short-term and T-bill and call money rates in the long-term to control Bangladesh's nominal interest rate.

scholarly journals The Costs of Macroprudential Deleveraging in a Liquidity Trap

2020 ◽  
Vol 20 (89) ◽  
Author(s):  
Jiaqian Chen ◽  
Daria Finocchiaro ◽  
Jesper Lindé ◽  
Karl Walentin
Keyword(s):  
Monetary Policy ◽  
Lower Bound ◽  
Interest Rates ◽  
Transaction Costs ◽  
New Keynesian ◽  
Short Term ◽  
Liquidity Trap ◽  
Nominal Interest Rates ◽  
Model Features

We examine the effects of various borrower-based macroprudential tools in a New Keynesian environment where both real and nominal interest rates are low. Our model features long-term debt, housing transaction costs and a zero-lower bound constraint on policy rates. We find that the long-term costs, in terms of forgone consumption, of all the macroprudential tools we consider are moderate. Even so, the short-term costs differ dramatically between alternative tools. Specifically, a loan-to-value tightening is more than twice as contractionary compared to loan-to-income tightening when debt is high and monetary policy cannot accommodate.

scholarly journals The Great Escape? A Quantitative Evaluation of the Fed's Liquidity Facilities

2017 ◽  
Vol 107 (3) ◽  
pp. 824-857 ◽  
Author(s):  
Marco Del Negro ◽  
Gauti Eggertsson ◽  
Andrea Ferrero ◽  
Nobuhiro Kiyotaki
Keyword(s):  
Interest Rates ◽  
Short Term ◽  
The Great Depression ◽  
Nominal Interest Rates ◽  
The Government ◽  
The One ◽  
Liquidity Frictions ◽  
Liquidity Shock ◽  
Zero Bound ◽  
Us Financial Crisis

We introduce liquidity frictions into an otherwise standard DSGE model with nominal and real rigidities and ask: can a shock to the liquidity of private paper lead to a collapse in short-term nominal interest rates and a recession like the one associated with the 2008 US financial crisis? Once the nominal interest rate reaches the zero bound, what are the effects of interventions in which the government provides liquidity in exchange for illiquid private paper? We find that the effects of the liquidity shock can be large, and show some numerical examples in which the liquidity facilities of the Federal Reserve prevented a repeat of the Great Depression in the period 2008–2009. (JEL E13, E31, E43, E44, E52, E58, G01)

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