Suchergebnisse

This paper estimates the size and dynamics of inflation risk premia in the euro area, based on a joint model of macroeconomic and term structure dynamics. Information from both nominal and index-linked yields is used in the empirical analysis. Our results indicate that term premia in the euro area yield curve reflect pre-dominantly real risks, i.e. risks which affect the returns on both nominal and index-linked bonds. On average, inflation risk premia were negligible during the EMU period but, occasionally, subject to statistically significant fluctuations in 2004-2006. Movements in the raw break-even rate appear to have mostly reflected such variations in inflation risk premia, while long-term inflation expectations have remained remarkably anchored from 1999 to date.

Using panel data models, we analyze the flypaper effects-whether intergovernmental fiscal transfers or states' own income determine expenditure commitments - on ecological fiscal spending in India. The econometric results show that the unconditional fiscal transfers, rather than the states' own income, determine ecological expenditure in the forestry sector at subnational levels in India. The results hold when the models are controlled for ecological outcomes and demographic variables.

AbstractIn this paper I examine the time‐varying expected term premium argument for the failure of the expectations hypothesis of the term structure of U.S. interest rates. Using an unobserved components model to estimate expected term premia from March 1951 to January 1991, I find considerable variation in estimated premia and significant persistence in their volatility over time.

This paper develops univariate (ARIMA and ARCH/GARCH) and multivariate models (VAR, VECM and Bayesian VAR) to forecast short- and long-term rates, viz., call money rate, 15–91 days Treasury Bill rates and interest rates on Government securities with (residual) maturities of one year, five years and 10 years. Multivariate models consider factors such as liquidity, repo rate, yield spread, inflation rate, foreign interest rates and forward premium. The paper finds that multivariate models generally outperform univariate ones over longer forecast horizons. Overall, the paper concludes that the forecasting performance of Bayesian VAR models is satisfactory for most interest rates and their superiority in performance is marked at longer forecast horizons.