scholarly journals Stylized Facts on Nominal Term Structure and Business Cycles: An Empirical VAR Study

2001 ◽  
pp. 1.000-12.000 ◽  
Author(s):  
Tao Wu ◽  
Keyword(s):  
Business Cycles ◽  
Term Structure ◽  
Stylized Facts ◽  
Nominal Term

Term Premium Dynamics and the Taylor Rule

2017 ◽  
Vol 07 (04) ◽  
pp. 1750011 ◽  
Author(s):  
Michael Gallmeyer ◽  
Burton Hollifield ◽  
Francisco Palomino ◽  
Stanley Zin
Keyword(s):  
Monetary Policy ◽  
Term Structure ◽  
Taylor Rule ◽  
Exchange Economy ◽  
Bond Pricing ◽  
Time Varying ◽  
Inflation Dynamics ◽  
Term Premium ◽  
Nominal Term

We explore the bond-pricing implications of an exchange economy where preference shocks result in time-varying term premiums in real yields with a Taylor rule determining inflation dynamics and nominal term premiums. We calibrate the model by matching the term structure of the means and volatilities of nominal yields. Unlike a model with exogenous inflation, a Taylor rule matching empirical properties of inflation leads to nominal term premiums that are volatile at long maturities. Increasing monetary policy aggressiveness decreases the level and volatility of nominal yields.

Capital Reallocation

2018 ◽  
Vol 10 (1) ◽  
pp. 361-386 ◽  
Author(s):  
Andrea L. Eisfeldt ◽  
Yu Shi
Keyword(s):  
United States ◽  
Business Cycles ◽  
Financial Frictions ◽  
The United States ◽  
Future Research ◽  
Aggregate Productivity ◽  
Stylized Facts ◽  
Resource Misallocation ◽  
Capital Reallocation

Capital reallocation is procyclical, despite measured productive reallocative opportunities being acyclical or even countercyclical. This article reviews the advances in the literature studying the causes and consequences of capital reallocation (or lack thereof). We provide a comprehensive set of stylized facts about capital reallocation for the United States and an illustrative model of capital reallocation in equilibrium. We relate capital reallocation to the broader literatures on business cycles with financial frictions and on resource misallocation and aggregate productivity. Throughout, we provide directions for future research.

Business cycles in open economies: Stylized facts for Austria and Germany

1992 ◽  
Vol 128 (1) ◽  
pp. 67-87 ◽  
Author(s):  
Peter Brandner ◽  
Klaus Neusser
Keyword(s):  
Business Cycles ◽  
Open Economies ◽  
Stylized Facts

scholarly journals Nominal term structure and term premia: evidence from Chile

2016 ◽  
Vol 48 (29) ◽  
pp. 2721-2735
Author(s):  
Luis Ceballos ◽  
Alberto Naudon ◽  
Damián Romero
Keyword(s):  
Term Structure ◽  
Nominal Term ◽  
Term Premia

Contrasting financial and business cycles: Stylized facts and candidate explanations

2018 ◽  
Vol 38 ◽  
pp. 72-80 ◽  
Author(s):  
Paul Hiebert ◽  
Ivan Jaccard ◽  
Yves Schüler
Keyword(s):  
Business Cycles ◽  
Stylized Facts
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