Paul Söderlind

University of St. Gallen

Professor

Rosenbergstrasse 52

St. Gallen, 9000

Switzerland

http://https://sites.google.com/site/paulsoderlindecon/home

Centre for Economic Policy Research (CEPR)

London

United Kingdom

University of St. Gallen - School of Finance

Unterer Graben 21

St.Gallen, CH-9000

Switzerland

SCHOLARLY PAPERS

47

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517

Scholarly Papers (47)

The Time-Varying Systematic Risk of Carry Trade Strategies

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 26 Posted: 23 Apr 2009 Last Revised: 11 Jun 2013
Charlotte Christiansen, Angelo Ranaldo and Paul Söderlind
Aarhus University - CREATES, University of St. Gallen and University of St. Gallen
Downloads 1,280 (14,085)
Citation 17

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carry trade, factor model, FX volatility, liquidity, smooth transition regression, time-varying betas

The Time-Varying Systematic Risk of Carry Trade Strategies

Number of pages: 35 Posted: 14 Mar 2010
Charlotte Christiansen, Angelo Ranaldo and Paul Söderlind
Aarhus University - CREATES, University of St. Gallen and University of St. Gallen
Downloads 283 (103,714)
Citation 17

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carry trades, factor model, FX volatility, liquidity, smooth transition regression, time-varying betas

The Time-Varying Systematic Risk of Carry Trade Strategies

CEPR Discussion Paper No. DP7345
Number of pages: 33 Posted: 26 Aug 2009
Charlotte Christiansen, Angelo Ranaldo and Paul Söderlind
Aarhus University - CREATES, University of St. Gallen and University of St. Gallen
Downloads 4 (627,697)
Citation 17
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carry trade, factor model, smooth transition regression, time-varying betas

2.
Downloads 1,013 ( 20,519)
Citation 2

Individual Investor Activity and Performance

Swedish House of Finance Research Paper No. 14-08 (revised version)
Number of pages: 44 Posted: 01 Nov 2011 Last Revised: 01 Jun 2016
Stockholm School of Economics, University of Connecticut and University of St. Gallen
Downloads 522 (50,278)
Citation 2

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401(k), coordinated fund changes, defined contribution, financial advisors, mutual fund flows

Individual Investor Activity and Performance

University of St. Gallen, School of Finance Research Paper No. 2014/8, Forthcoming in Review of Financial Studies
Number of pages: 52 Posted: 07 May 2014 Last Revised: 16 Sep 2016
Stockholm School of Economics, University of Connecticut and University of St. Gallen
Downloads 240 (123,220)
Citation 2

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401(k), coordinated fund changes, defined contribution, financial advisors, mutual fund flows

Individual Investor Activity and Performance

Number of pages: 44 Posted: 12 Mar 2012 Last Revised: 03 Jun 2016
Stockholm School of Economics, University of Connecticut and University of St. Gallen
Downloads 151 (189,417)
Citation 2

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401(k), coordinated fund changes, defined contribution, financial advisors, mutual fund flows

Individual Investor Activity and Performance

Netspar Discussion Paper No. 10/2011-091 - revised version
Number of pages: 46 Posted: 25 Nov 2011 Last Revised: 05 Jan 2016
Stockholm School of Economics, University of Connecticut and University of St. Gallen
Downloads 91 (276,312)
Citation 2

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Coordinated fund changes, defined contribution, 401(k)

Individual Investor Activity and Performance

CEPR Discussion Paper No. DP8744
Number of pages: 43 Posted: 20 Jan 2012
Stockholm School of Economics, University of Connecticut and University of St. Gallen
Downloads 9 (594,357)
Citation 2
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401(k), Coordinated fund changes, Financial advisors, Fire sales

3.

Understanding FX Liquidity

Forthcoming in The Review of Financial Studies, University of St.Gallen, School of Finance Research Paper No. 2013/15
Number of pages: 49 Posted: 24 Sep 2013 Last Revised: 09 Jun 2015
Nina Karnaukh, Angelo Ranaldo and Paul Söderlind
Ohio State University; Fisher College of Business - Department of Finance, University of St. Gallen and University of St. Gallen
Downloads 910 (23,986)

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exchange rates, liquidity, transaction costs, commonality, low-frequency

4.
Downloads 740 ( 32,119)
Citation 20

Safe Haven Currencies

Review of Finance, Vol. 10, pp. 385-407, 2010 , University of St. Gallen Economics Discussion Paper No. 2007-22
Number of pages: 28 Posted: 16 Jul 2007 Last Revised: 15 Jun 2013
Angelo Ranaldo and Paul Söderlind
University of St. Gallen and University of St. Gallen
Downloads 731 (32,143)
Citation 20

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exchange rates, high-frequency data, crisis episodes, non-linear effects

Safe Haven Currencies

CEPR Discussion Paper No. DP7249
Number of pages: 31 Posted: 15 Apr 2009
Angelo Ranaldo and Paul Söderlind
University of St. Gallen and University of St. Gallen
Downloads 9 (594,357)
Citation 20
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crisis episodes, high-frequency data, non-linear effects

5.

New Techniques to Extract Market Expectations from Financial Instrument

Stockholm School of Economics, Working Paper No. 142
Number of pages: 47 Posted: 24 Mar 1997
Lars E. O. Svensson and Paul Söderlind
Stockholm School of Economics and University of St. Gallen
Downloads 578 (44,676)
Citation 56

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6.

Predicting Stock Price Movements: Regressions Versus Economists

Applied Economics Letters, Vol. 17, pp. 869-874, 2010, U. of St. Gallen Law & Economics Working Paper No. 2007-23
Number of pages: 11 Posted: 10 Jul 2007 Last Revised: 15 Jun 2013
Paul Söderlind
University of St. Gallen
Downloads 524 (50,627)
Citation 1

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Livingston survey, out-of-sample forecasts, overfitting, recency bias

7.

Solution and Estimation of RE Macromodels with Optimal Policy

European Economic Review, Vol. 43, pp. 813-823, 1999
Number of pages: 14 Posted: 03 Jun 2009 Last Revised: 11 Jun 2013
Paul Söderlind
University of St. Gallen
Downloads 464 (58,985)
Citation 89

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unstable roots, Schur decomposition, Kalman filter estimation

8.

Performance and Characteristics of Swedish Mutual Funds

Journal of Financial and Quantitative Analysis, Vol. 35, pp. 409-423, 2000
Number of pages: 21 Posted: 02 Jun 2009 Last Revised: 11 Jun 2013
Magnus Dahlquist, Stefan Engstrom and Paul Söderlind
Stockholm School of Economics, Stockholm School of Economics, Department of Finance and University of St. Gallen
Downloads 417 (67,108)
Citation 27

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flows, persistence, portfolio evaluation, survivorship bias, style analysis

9.

Save Haven Currencies

Review of Finance, Forthcoming
Number of pages: 28 Posted: 28 Feb 2008 Last Revised: 15 Jun 2013
Angelo Ranaldo and Paul Söderlind
University of St. Gallen and University of St. Gallen
Downloads 392 (72,241)

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foreign exchange rates, high-frequency data, crisis episodes, non-linear effects

10.

Prediction of Stock Returns

Quantile Journal, Vol. 1, pp. 27-38, 2006
Number of pages: 12 Posted: 25 Oct 2006
Paul Söderlind
University of St. Gallen
Downloads 362 (79,310)

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11.

Inflation Forecast Uncertainty

Stockholm School of Economics EFI Working Paper No. 384, European Economic Review, Vol. 47, pp.1037-1059, 2003
Number of pages: 37 Posted: 24 Nov 2001 Last Revised: 15 Jun 2013
Paolo Giordani and Paul Söderlind
Sveriges Riksbank - Research Division and University of St. Gallen
Downloads 329 (88,491)
Citation 39

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survey data, Survey of Professional Forecasters, GDP growth, VAR, T-GARCH

12.

An Extended Stein's Lemma for Asset Pricing

Applied Economics Letters, 16, 1005-1008, 2009
Number of pages: 6 Posted: 03 Jun 2009 Last Revised: 11 Jun 2013
Paul Söderlind
University of St. Gallen
Downloads 265 (111,762)
Citation 1

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Risk premium, stochastic discount factor, change of measure

13.

Solution of Macromodels with Hansen-Sargent Robust Policies: Some Extensions

Journal of Economic Dynamics and Control, Vol. 28, pp. 2367-2397, 2004, Stockholm School of Economics Working Paper No. 499
Number of pages: 38 Posted: 22 Jul 2002 Last Revised: 15 Jun 2013
Paolo Giordani and Paul Söderlind
Sveriges Riksbank - Research Division and University of St. Gallen
Downloads 247 (120,182)
Citation 20

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robustness, model uncertainty, Schur decomposition, discretion, simple rules

14.

Testing Competing Factor Pricing Models

University of St.Gallen, School of Finance Research Paper No. 2015/24
Number of pages: 14 Posted: 01 Dec 2015 Last Revised: 31 May 2016
Paul Söderlind
University of St. Gallen
Downloads 231 (128,545)

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GMM, pricing errors, Bonferroni test, bootstrap

15.
Downloads 200 (147,519)
Citation 1

Monetary Policy Effects on Financial Risk Premia

The Manchester School, Vol. 76, pp. 690-707, 2008, U. of St. Gallen Law & Economics Working Paper No. 2006-26
Number of pages: 22 Posted: 09 Nov 2006 Last Revised: 15 Jun 2013
Paul Söderlind
University of St. Gallen
Downloads 198 (148,716)
Citation 1

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inflation risk premium, equity risk premium, term premium, announcement effects

Monetary Policy Effects on Financial Risk Premia

Manchester School, Vol. 76, Issue 6, pp. 690-707, December 2008
Number of pages: 18 Posted: 16 Oct 2008
Paul Söderlind
University of St. Gallen
Downloads 2 (646,350)
Citation 1
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Inflation Risk Premia and Survey Evidence on Macroeconomic Uncertainty

University of St.Gallen, Department of Economics Discussion Paper No. 2008-11 , International Journal of Central Banking, forthcoming
Number of pages: 26 Posted: 18 Jun 2008 Last Revised: 15 Jun 2013
Paul Söderlind
University of St. Gallen
Downloads 179 (163,265)
Citation 2

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break-even inflation, liquidity premium, Survey of Professional Forecasters

Inflation Risk Premia and Survey Evidence on Macroeconomic Uncertainty

CEPR Discussion Paper No. DP7250
Number of pages: 23 Posted: 15 Apr 2009
Paul Söderlind
University of St. Gallen
Downloads 4 (627,697)
Citation 2
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break-even inflation, liquidity premium, Survey of Professional Forecasters

17.

Dynamic Taylor Rules and the Predictability of Interest Rates

Macroeconomic Dynamics, Vol. 9, pp. 412-428, 2005
Number of pages: 32 Posted: 03 Jun 2009 Last Revised: 11 Jun 2013
Ulf Söderström, Anders Vredin and Paul Söderlind
Central Bank of Sweden - Research Department, Sveriges Riksbank and University of St. Gallen
Downloads 177 (164,895)
Citation 14

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interest rate smoothing, yield curve, survey data, VAR, in-sample overfitting

18.

Investment Choice in the Swedish Premium Pension Plan

Journal of the European Economic Association Papers and Proceedings, Vol. 5, pp. 636-646, 2007
Number of pages: 23 Posted: 22 Jun 2008 Last Revised: 11 Jun 2013
Marten Palme, Annika E. Sundén and Paul Söderlind
Stockholm University - Department of Economics, Stockholm University - Swedish Institute for Social Research (SOFI) and University of St. Gallen
Downloads 172 (169,112)
Citation 7

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19.
Downloads 139 (202,137)
Citation 3

C-CAPM Without Ex Post Data

Journal of Macroeconomics, Vol. 31,pp. 721-729, 2009, U. of St. Gallen Law & Economics Working Paper No. 2006-22
Number of pages: 20 Posted: 03 Oct 2006 Last Revised: 15 Jun 2013
Paul Söderlind
University of St. Gallen
Downloads 124 (222,008)
Citation 3

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equity premium puzzle, Livingston survey, S&P 500 options, Survey of Professional

C-Capm Without Ex Post Data

CEPR Discussion Paper No. 5407
Number of pages: 18 Posted: 22 Mar 2006
Paul Söderlind
University of St. Gallen
Downloads 15 (555,643)
Citation 3
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Equity premium puzzle, Livingston survey, CBOE VIX, Survey of Professional Forecasters

20.

Evaluating Portfolio Performance with Stochastic Discount Factors

Journal of Business, Vol. 72, No. 3, pp. 347-384, 1999
Number of pages: 46 Posted: 20 Aug 1999 Last Revised: 15 Jun 2013
Magnus Dahlquist and Paul Söderlind
Stockholm School of Economics and University of St. Gallen
Downloads 136 (205,672)
Citation 23

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21.

Verbal Interventions and Exchange Rate Policies: The Case of Swiss Franc Cap

University of St. Gallen, School of Finance Research Paper No. 2016/14
Number of pages: 33 Posted: 05 Jul 2016 Last Revised: 23 Mar 2019
Nikola Mirkov, Igor Pozdeev and Paul Söderlind
Swiss National Bank, New York University Stern School of Business and University of St. Gallen
Downloads 124 (221,115)

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Swiss franc, options, FX liquidity, verbal interventions

22.

Monetary Policy and the Fisher Effect

Journal of Policy Modeling, Vol. 23, pp. 491-495, 2001
Number of pages: 6 Posted: 02 Jun 2009 Last Revised: 11 Jun 2013
Paul Söderlind
University of St. Gallen
Downloads 117 (230,861)
Citation 3

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optimal monetary policy, inflation expectations, forward interest rates, Kalman filter estimation

23.

Applied Cointegration Analysis in the Mirror of Macroeconomic Theory

Journal of Applied Econometrics, Vol. 11, pp. 363-382, 1996
Number of pages: 30 Posted: 03 Jun 2009
Anders Vredin and Paul Söderlind
Sveriges Riksbank and University of St. Gallen
Downloads 112 (238,311)
Citation 6

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cointegration, money demand, common trends, equilibrium business cycle model

24.

Nominal Interest Rates as Indicators of Inflation Expectations

Scandinavian Journal of Economics, Vol. 100, No. 2, pp. 457-472, 1998
Number of pages: 26 Posted: 03 Jun 2009
Paul Söderlind
University of St. Gallen
Downloads 110 (241,341)
Citation 3

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inflation expectations, real interest rates, forward rates

25.

Why Disagreement May Not Matter (much) for Asset Prices

Finance Research Letters, Vol. 6, pp. 73-82, 2009, U. of St. Gallen Law & Economics Working Paper No. 2008-11
Number of pages: 16 Posted: 05 Jun 2008 Last Revised: 15 Jun 2013
Paul Söderlind
University of St. Gallen
Downloads 110 (241,341)
Citation 2

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riskfree rate, implied volatility, Survey of Professional Forecasters

Market Expectations in the UK Before and After the Erm Crisis

Economica, Vol. 67, pp. 1-18, 2000
Number of pages: 30 Posted: 08 Dec 2000 Last Revised: 15 Jun 2013
Paul Söderlind
University of St. Gallen
Downloads 58 (357,717)
Citation 15

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Market Expectations in the UK Before and after the Erm Crisis

Economica, Vol. 67, pp. 1-18, February 2000
Number of pages: 18 Posted: 13 Oct 2003
Paul Söderlind
University of St. Gallen
Downloads 36 (438,179)
Citation 15
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27.

New Techniques to Extract Market Expectations from Financial Instruments

NBER Working Paper No. w5877
Number of pages: 49 Posted: 15 Jul 2000 Last Revised: 04 Oct 2010
Paul Soderlind, Paul Söderlind and Lars E. O. Svensson
affiliation not provided to SSRN, University of St. Gallen and Stockholm School of Economics
Downloads 89 (277,999)
Citation 60

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28.

Internet Appendix to 'Understanding FX Liquidity'

Number of pages: 36 Posted: 09 Jun 2015
Nina Karnaukh, Angelo Ranaldo and Paul Söderlind
Ohio State University; Fisher College of Business - Department of Finance, University of St. Gallen and University of St. Gallen
Downloads 86 (283,972)

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29.

The Implementation of SNB Monetary Policy

Financial Markets and Portfolio Management, Vol. 23, pp. 349-359, 2009
Number of pages: 16 Posted: 02 Nov 2009 Last Revised: 11 Jun 2013
Angelo Ranaldo, Thomas Jordan and Paul Söderlind
University of St. Gallen, Swiss National Bank and University of St. Gallen
Downloads 78 (301,168)
Citation 1

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implementation of monetary policy, Libor, repo, Swiss franc money market, regime switching model

30.

Reaction of Swiss Term Premia to Monetary Policy Surprises

Swiss Journal of Economics and Statistics, Vol. 146, pp. 385-404, 2010
Number of pages: 22 Posted: 20 Dec 2009 Last Revised: 11 Jun 2013
Paul Söderlind
University of St. Gallen
Downloads 73 (312,924)
Citation 1

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affine price of risk, interest rate caps, survey data

31.

Monetary Policy and Bond Option Pricing in an Analytical RBC Model

Journal of Economics and Business, Vol. 55, pp. 321-330, 2003
Number of pages: 13 Posted: 02 Jun 2009
Paul Söderlind
University of St. Gallen
Downloads 65 (333,114)
Citation 1

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inflation targeting, output targeting, interest rates

32.

C-CAPM Refinements and the Cross-Section of Returns

Financial Markets and Portfolio Management, Vol. 20, No. 1, pp. 49-73, 2006
Number of pages: 25 Posted: 04 Apr 2006 Last Revised: 15 Jun 2013
Paul Söderlind
University of St. Gallen
Downloads 65 (333,114)
Citation 1

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Consumption-based asset pricing, habit persistence, idiosyncratic risk, conditional asset pricing

33.

Is There Evidence of Pessimism and Doubt in Subjective Distributions? Implications for the Equity Premium Puzzle

Journal of Economic Dynamics and Control, Vol. 30, pp. 1027-1043, 2006
Number of pages: 27 Posted: 03 Jun 2009 Last Revised: 11 Jun 2013
Paolo Giordani and Paul Söderlind
Sveriges Riksbank - Research Division and University of St. Gallen
Downloads 59 (349,627)
Citation 18

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equity premium, riskfree rate, aggregation of beliefs, Survey of Professional Forecasters, Livingston Survey

34.

An Interpretation of SDF Based Performance Measures

European Finance Review, Vol. 3,pp. 233-237, 1999
Number of pages: 7 Posted: 02 Jun 2009 Last Revised: 11 Jun 2013
Paul Söderlind
University of St. Gallen
Downloads 57 (355,659)
Citation 2

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mean-variance intersection, managed portfolios, conditional alphas and betas

35.

Cyclical Properties of a Real Business Cycle Model

Journal of Applied Econometrics, Vol. 9, pp. S113-S122, 1994
Number of pages: 12 Posted: 03 Jun 2009 Last Revised: 11 Jun 2013
Paul Söderlind
University of St. Gallen
Downloads 46 (390,831)
Citation 2

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spectra, coherency, small-sample distribution

36.

What if the Fed Had Been an Inflation Nutter?

Applied Economics, Vol. 36, pp. 1471-1473, 2004
Number of pages: 7 Posted: 03 Jun 2009 Last Revised: 11 Jun 2013
Paul Söderlind
University of St. Gallen
Downloads 40 (412,557)
Citation 2

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optimal monetary policy, rational expectations, Kalman filter

37.

International Spillovers in an Endogenous Growth Model

Empirical Economics, Vol. 19, pp. 501-515, 1994
Number of pages: 19 Posted: 03 Jun 2009 Last Revised: 11 Jun 2013
Paul Söderlind
University of St. Gallen
Downloads 26 (473,848)
Citation 1

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cointegration, international technological links

38.

Testing the Basic Target Zone Model on Swedish Data

European Economic Review, Vol. 38, pp. 1441-1469, 1994
Number of pages: 32 Posted: 03 Jun 2009 Last Revised: 11 Jun 2013
Hans Lindberg and Paul Söderlind
affiliation not provided to SSRN and University of St. Gallen
Downloads 26 (473,848)
Citation 12

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exchange rates, interest rates, distribution, conditional variance

39.

Taylor Rules and the Predictability of Interest Rates

CEPR Discussion Paper No. 3934
Number of pages: 23 Posted: 08 Aug 2003
Paul Söderlind, Ulf Söderström and Anders Vredin
University of St. Gallen, Central Bank of Sweden - Research Department and Sveriges Riksbank
Downloads 25 (479,183)
Citation 14
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Interest rate smoothing, yield curve, survey data, VAR, in-sample overfitting

40.

C-Capm and the Cross-Section of Sharpe Ratios

CEPR Discussion Paper No. 4067
Number of pages: 19 Posted: 14 Nov 2003
Paul Söderlind
University of St. Gallen
Downloads 23 (490,043)
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Consumption-based asset pricing, habit persistence, recursive utility, idiosyncratic risk, multivariate GARCH

41.

Devaluation Expectations: The Swedish Krona 1982-1991

NBER Working Paper No. w3918
Number of pages: 62 Posted: 09 May 2000 Last Revised: 17 Sep 2010
Sveriges Riksbank, Stockholm School of Economics, University of St. Gallen and affiliation not provided to SSRN
Downloads 22 (495,668)
Citation 11

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42.

Is There Evidence of Pessimism and Doubt in Subjective Distributions? A Comment on Abel

CEPR Discussion Paper No. 4068
Number of pages: 22 Posted: 19 Nov 2003
Paolo Giordani and Paul Söderlind
Sveriges Riksbank - Research Division and University of St. Gallen
Downloads 20 (506,832)
Citation 3
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Equity premium, risk-free rate, aggregation of beliefs, survey of professional forecasters, Livingston survey

43.

New-Keynesian Models and Monetary Policy: A Re-Examination of the Stylized Facts

Scandinavian Journal of Economics, Vol. 107, No. 3, pp. 521-546, September 2005
Number of pages: 26 Posted: 29 Dec 2005
Ulf Söderström, Paul Söderlind and Anders Vredin
Central Bank of Sweden - Research Department, University of St. Gallen and Sveriges Riksbank
Downloads 15 (535,070)
Citation 8
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Interest rate smoothing, central bank objectives, forward-looking behavior, minimum-distance estimation

44.

Devaluation Expectations: The Swedish Krona 1985-1992

Economic Journal Vol. 103
Number of pages: 11 Posted: 03 Jun 2009
Hans Lindberg, Lars E. O. Svensson and Paul Söderlind
affiliation not provided to SSRN, Stockholm School of Economics and University of St. Gallen
Downloads 3 (607,291)
Citation 14
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exchange rates, interest rates

45.

New-Keynesian Models and Monetary Policy: A Reexamination of the Stylized Facts

Scandinavian Journal of Economics, Vol. 107, pp. 521-546, 2005
Number of pages: 27 Posted: 03 Jun 2009
Ulf Söderström, Anders Vredin and Paul Söderlind
Central Bank of Sweden - Research Department, Sveriges Riksbank and University of St. Gallen
Downloads 2 (616,550)
Citation 8
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Interest rate smoothing, central bank objectives, forward-looking behavior, minimum-distance estimation

46.

Target Zone Models and the Intervention Policy: The Swedish Case

Scandinavian Journal of Economics, 96, 499-513, 1994
Number of pages: 15 Posted: 03 Jun 2009
Hans Lindberg and Paul Söderlind
affiliation not provided to SSRN and University of St. Gallen
Downloads 1 (628,360)
Citation 7
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exchange rates, mean reversion, intra-marginal interventions

47.

Extracting Expectations About 1992 UK Monetary Policy from Option Prices

CEPR Discussion Paper Series Number 1823
Posted: 15 Jul 1998
Paul Söderlind
University of St. Gallen

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