IMF’s Adrian sketches macro-financial model of term premium
Tobias Adrian outlines a new way of modelling financial cycles within a New Keynesian framework
The International Monetary Fund’s Tobias Adrian set out a new way of modelling the financial sector within a New Keynesian framework on August 17, which he believes could yield more realistic estimates of the term structure of interest rates.
Adrian, who heads the IMF’s monetary and capital markets department, said augmenting a standard New Keynesian model with a value-at-risk constraint on the financial sector was a relatively simple way of introducing a link between financial and
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