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Interest Rates under Falling Stars
Macro-finance theory implies that trend inflation and the equilibrium real interest rate are fundamental determinants of the yield curve. However, empirical models of the term structure of interest rates generally assume that these fundamentals are constant. We show that accounting for time variation in these underlying long-run trends is crucial for understanding the dynamics of Treasury yields and predicting excess bond returns. We introduce a new arbitrage-free model that captures the key role that long-run trends play in determining interest rates. The model also provides new, more plausible estimates of the term premium and accurate out-of-sample yield forecasts.
Journal Article
The state and civil society : regulating interest groups, parties, and public benefit organizations in contemporary democracies
\"State regulation of civil society is expanding yet widely contested, often portrayed as illegitimate intrusion. Despite ongoing debates about the nature of state-voluntary relations in various disciplines, we know surprisingly little about why long-lived democracies adopt more or less constraining legal approaches in this sphere, in which state intervention is generally considered contentious. Drawing on insights from political science, sociology, comparative law as well as public administration research, this book addresses this important question, conceptually, theoretically, and empirically. It addresses the conceptual and methodological challenges related to developing systematic, comparative insights into the nature of complex legal environments affecting voluntary membership organizations, when simultaneously covering a wide range of democracies and the regulation applicable to different types of voluntary organizations. Proposing the analytical tools to tackle those challenges, it studies in-depth the intertwining and overlapping legal environments of political parties, interest groups, and public benefit organizations across 19 long-lived democracies. After presenting an innovative interdisciplinary theoretical framework theorizing democratic states' legal disposition towards, or their disinclination against, regulating voluntary membership organizations in a constraining or permissive fashion, this framework is empirically tested. Applying Qualitative Comparative Analysis (QCA), the comparative analysis identifies three main 'paths' accounting for the relative constraints in the legal environments democracies have created for organized civil society, defined by different configurations of political systems' democratic history, their legal family, and voluntary sector traditions\"-- Provided by publisher.
Book
Monetary Policy Expectations at the Zero Lower Bound
We show that conventional dynamic term structure models (DTSMs) estimated on recent U.S. data severely violate the zero lower bound (ZLB) on nominal interest rates and deliver poor forecasts of future short rates. In contrast, shadow-rate DTSMs account for the ZLB by construction, capture the resulting distributional asymmetry of future short rates, and achieve good forecast performance. These models provide more accurate estimates of the most likely path for future monetary policy—including the timing of policy liftoff from the ZLB and the pace of subsequent policy tightening. We also demonstrate the benefits of including macroeconomic factors in a shadow-rate DTSM when yields are constrained near the ZLB.
Journal Article
The unofficial Divergent aptitude test : discover your true faction!
Ever wonder what faction you'd be placed in if you were a part of the bestselling Divergent series? Filled with hundreds of personality questions, this book guides you through different scenarios to help you demonstrate your virtues, uncover your strengths, and discover your true faction.
BOOK
Should I stay or should I go? A latent threshold approach to large-scale mixture innovation models
We propose a straightforward algorithm to estimate large Bayesian time-varying parameter vector autoregressions with mixture innovation components for each coefficient in the system. The computational burden becomes manageable by approximating the mixture indicators driving the time-variation in the coefficients with a latent threshold process that depends on the absolute size of the shocks. Two applications illustrate the merits of our approach. First, we forecast the US term structure of interest rates and demonstrate forecast gains relative to benchmark models. Second, we apply our approach to US macroeconomic data and find significant evidence for time-varying effects of a monetary policy tightening.
Journal Article
Courting the people : public interest litigation and political society in post-emergency India
\"\"Studies the politics of Public Interest Litigation (PIL) in contemporary India\"--Provided by publisher\".
Book
The Power of Forward Guidance Revisited
In recent years, central banks have increasingly turned to forward guidance as a central tool of monetary policy. Standard monetary models imply that far future forward guidance has huge effects on current outcomes, and these effects grow with the horizon of the forward guidance. We present a model in which the power of forward guidance is highly sensitive to the assumption of complete markets. When agents face uninsurable income risk and borrowing constraints, a precautionary savings effect tempers their responses to changes in future interest rates. As a consequence, forward guidance has substantially less power to stimulate the economy.
Journal Article
Risk-taking channel of monetary policy
One of the most robust stylized facts in macroeconomics is the forecasting power of the term spread for future real activity. We propose a possible causal mechanism for the forecasting power of the term spread, deriving from the balance sheet management of financial intermediaries and the \"risk-taking channel of monetary policy.\" Monetary tightening leads to the flattening of the term spread, reducing net interest margin and credit supply. We provide empirical support for the risk-taking channel.
Journal Article