IMF Working Papers describe research in progress by the author s and are published to elicit comments and to encourage debate.
This difference is known as the on-the-run premium.
In this paper, yield spreads between pairs of Treasury Inflation-Protected Securities TIPS with identical maturities but of separate vintages are analyzed.
Adjusting for differences in coupon rates and values of embedded deflation options, the results show a small, positive premium on recently issued TIPS - averaging between one and four basis points - that persists even after new similar TIPS are issued and hence is different from the on-the-run phenomenon observed in the nominal Treasury market.
All errors are my own. The views expressed herein are solely those of the author and do not necessarily reflect the views of the Federal Reserve Bank of San Francisco or the Federal Reserve System.
To this end, I develop an estimator that uses high-frequency surprises as a proxy for the structural monetary policy shocks.
This is achieved by integrating the surprises into a vector autoregressive model as an exogenous variable. I show analytically that this approach identifies the true relative impulse responses. When allowing for time-varying model parameters, I find that, compared to output, the response of stock and house prices to monetary policy shocks was particularly low before the financial crisis.Curriculum Vitae Name: Christopher A.
Sims Home Address: Dodds Lane Princeton, NJ Member, Program Committee, Summer Meetings of the Econometric Society, , , Brookings Papers on Economic Activ-ity, The Role of Automatic Stabilizers in the U.S.
Business Cycle. DOI: /ECTA p. Alisdair McKay, Ricardo Reis. Most countries have automatic rules in their tax‐and‐transfer systems that are partly intended to stabilize economic fluctuations.
This paper measures their effect on the dynamics of the business cycle.
The third major change that has occurred in the world economy is the emergence of the "symbol" economy—capital movements, exchange rates and credit flows—as the flywheel of the world economy, in place of the "real" economy—the flow of goods and services. RESEARCH PAPERS AND REPLICATION MATERIALS [various links to be added] American Economic Review, March , "Money, Credit and Prices in a Real Business Cycle," with Charles I.
Plosser, American Economic Review, June , "On the Economics of Private Money," Journal of Monetary Economics. Real Business Cycle Models: Past, Present, and Future ∗ Sergio Rebelo† March Abstract In this paper I review the contribution of real business cycles models to our understanding of economic ﬂuctuations, and discuss open issues in IV, I.
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