This paper documents the empirical relation between the interest rates that emerging economies face in international capital markets and their business cycles. It shows that the patterns observed in the data can be interpreted ...

There is strong empirical evidence that long-term interest rates contain a time-varying risk premium. Options may contain valuable information about this risk premium because their prices are sensitive to the underlying ...

This paper discusses the long-term determination of the exchange rate, given that it may remain depreciated or overvalued for some time. It defines the equilibrium exchange rate and the competitive exchange rate; the latter ...

The real equilibrium interest rate (r*) is a fundamental concept for monetary policy in inflation targeting economies, since it is the real interest rate consistent with constant inflation, absent any shocks. This study ...

This paper is aimed at developing a business-cycle model for a small open emerging economy (SOEE). The model is parameterized, calibrated, and simulated to rationalize two important stylized facts in a SOEE. The first one ...

Negative, oscillating, and near zero interest rates are changing financial modeling completely. To address this situation, we introduce novel, flexible, and estimable model of interest rate. This model is based on recent ...