Blar i Norges Banks vitenarkiv på forfatter "Sihvonen, Markus"
-
Bonds, currencies and expectational errors
Granziera, Eleonora; Sihvonen, Markus (Working Paper;3/2020, Working paper, 2020)We propose a model in which sticky expectations concerning shortterm interest rates generate joint predictability patterns in bond and currency markets. Using our calibrated model, we quantify the effect of this channel ...