scholarly journals The Role of the Growth of Risk-Averse Wealth in the Decline of the Safe Real Interest Rate

2016 ◽  
Author(s):  
Robert Hall
Keyword(s):  
Interest Rate ◽  
Real Interest Rate ◽  
Risk Averse

scholarly journals On real interest rate persistence: the role of breaks

2014 ◽  
Vol 46 (10) ◽  
pp. 1058-1066 ◽  
Author(s):  
Alfred A. Haug
Keyword(s):  
Interest Rate ◽  
Real Interest Rate

scholarly journals Self-Fulfilling Debt Crises: A Quantitative Analysis

2019 ◽  
Vol 109 (12) ◽  
pp. 4343-4377 ◽  
Author(s):  
Luigi Bocola ◽  
Alessandro Dovis
Keyword(s):  
Quantitative Analysis ◽  
Interest Rate ◽  
Debt Maturity ◽  
Bond Markets ◽  
Risk Averse ◽  
Sovereign Bond ◽  
Maturity Structure ◽  
The Government ◽  
Sovereign Bond Markets

This paper investigates the role of self-fulfilling expectations in sovereign bond markets. We consider a model of sovereign borrowing featuring endogenous debt maturity, risk-averse lenders, and self-fulfilling crises à la Cole and Kehoe (2000). In this environment, interest rate spreads are driven by both fundamental and nonfundamental risk. These two sources of risk have contrasting implications for the maturity structure of debt chosen by the government. Therefore, they can be indirectly inferred by tracking the evolution of debt maturity. We fit the model to Italian data and find that nonfundamental risk played a limited role during the 2008–2012 crisis. (JEL E43, E44, F34, G01, G15, H63)

scholarly journals Monetary Policy and the Redistribution Channel

2019 ◽  
Vol 109 (6) ◽  
pp. 2333-2367 ◽  
Author(s):  
Adrien Auclert
Keyword(s):  
Monetary Policy ◽  
Interest Rate ◽  
Real Interest Rate ◽  
Transmission Mechanism ◽  
Sufficient Statistics ◽  
Unexpected Inflation

This paper evaluates the role of redistribution in the transmission mechanism of monetary policy to consumption. Three channels affect aggregate spending when winners and losers have different marginal propensities to consume: an earnings heterogeneity channel from unequal income gains, a Fisher channel from unexpected inflation, and an interest rate exposure channel from real interest rate changes. Sufficient statistics from Italian and US data suggest that all three channels are likely to amplify the effects of monetary policy. (JEL E21, E31, E43, E52)

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