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NBER Working Papers and Publications
|August 2009||Monetary Policy Shifts and the Term Structure|
with Andrew Ang, Jean Boivin, Sen Dong: w15270
We estimate the effect of shifts in monetary policy using the term structure of interest rates. In our no-arbitrage model, the short rate follows a version of the Taylor (1993) rule where the coefficients on the output gap and inflation vary over time. The monetary policy loading on the output gap has averaged around 0.4 and has not changed very much over time. The overall response of the yield curve to output gap components is relatively small. In contrast, the inflation loading has changed substantially over the last 50 years and ranges from close to zero in 2003 to a high of 2.4 in 1983. Long-term bonds are sensitive to inflation policy shifts with increases in inflation loadings leading to higher short rates and widening yield spreads.
Published: Andrew Ang & Jean Boivin & Sen Dong & Rudy Loo-Kung, 2011. "Monetary Policy Shifts and the Term Structure," Review of Economic Studies, Oxford University Press, vol. 78(2), pages 429-457. citation courtesy of
|July 2005||Relative Price Volatility Under Sudden Stops: The Relevance of Balance Sheet Effects|
with Guillermo A. Calvo, Alejandro Izquierdo: w11492
Sudden Stops are associated with increased volatility in relative prices. We introduce a model based on information acquisition to rationalize this increased volatility. An empirical analysis of the conditional variance of the wholesale price to consumer price ratio using panel ARCH techniques confirms the relevance of Sudden Stops and potential balance-sheet effects as key determinants of relative-price volatility, where balance-sheet effects are captured by the interaction of a proxy for potential changes in the real exchange rate (linked to the degree of external leverage of the absorption of tradable goods) and a measure of domestic liability dollarization.
Published: Calvo, Guillermo A., Alejandro Izquierdo and Rudy Loo-Kung. "Relative Price Volatility Under Sudden Stops: The Relevance Of Balance Sheet Effects," Journal of International Economics, 2006, v69(1,Jun), 231-254. citation courtesy of