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Did quantitative easing affect interest rates outside the US? : new evidence based on interest rate differentials

Belke, Ansgar; Gros, Daniel; Osowski, Thomas - 2016

This paper explores the effects of non-standard monetary policies on international yield relationships. Based on a descriptive analysis of international long-term yields, we find evidence that long-term rates have followed a global downward trend prior to as well as during the financial crisis....

Persistent link: https://www.econbiz.de/10011414128

The Impact of Quantitative Easing on the U.S. Term Structure of Interest Rates

Jarrow, Robert A. - 2012

This paper estimates the impact of the Federal Reserve's 2008-2011 quantitative easing (QE) program on the U.S. term structure of interest rates. Different from other studies, we estimate an arbitrage-free term structure model that explicitly includes the quantity impact of the Fed's trades on...

Persistent link: https://www.econbiz.de/10013108838

The Macroeconomic Determinants of the US Term-Structure during the Great Moderation

Paccagnini, Alessia - 2014

The aim of this paper is to study how macroeconomic impulses can affect the term structure during the Great Moderation. As novelty in the research strategy, we create a term-structure using three latent factors of the yield curve. A Nelson-Siegel Model is implemented to estimate the latent...

Persistent link: https://www.econbiz.de/10014144946

A Chinese Slowdown and the Nominal Term Structures of the US and German Interest Rates

Maletic, Matjaz - 2018

To measure the global spillovers of a Chinese slowdown on the long-term nominal interest rates in the US/Germany, I … the first year. In the US, this leads to clear signaling effects but no portfolio balancing effects. In Germany, I find … independently from the US in the post SDC sample. Like in the US, I now find that in Germany, a lower Chinese leading indicator has …

Persistent link: https://www.econbiz.de/10012913804

Applying a macro-finance yield curve to UK quantitative easing

Chadha, Jagjit; Waters, Alex - 2014

We estimate a macro-finance yield curve model for both the nominal and real forward curve for the UK from 1993 to 2008. Our model is able to accommodate a number of key macroeconomic variables and allows us to estimate the instantaneous response of the yield curve and so gauge the impact of...

Persistent link: https://www.econbiz.de/10010472895

Asset-liability management with ultra-low interest rates

Grossman, Richard S.; Molyneux, Philip; Lambert, Frederic; … - Conference on Asset-Liability Management with Ultra-Low …; … - 2015

On 11 March 2015, SUERF jointly organised a conference with the Oesterreichische Nationalbank and the Austrian Society for Bank Research (Bankwissenschaftliche Gesellschaft - BWG). The present SUERF Study 2015/2 includes a selection of papers based on the authors' contributions to the Vienna...

Persistent link: https://www.econbiz.de/10011413495

A shadow rate without a lower bound constraint

De Rezende, Rafael B.; Ristiniemi, Annukka - 2018

We propose a shadow rate that measures the expansionary (contractionary) interest rate effects of unconventional monetary policies that are present when the lower bound is not binding. Using daily yield curve data we estimate shadow rates for the US, Sweden, the euro-area and the UK, and find...

Persistent link: https://www.econbiz.de/10011868269

Monetary policy after the crisis : a joint publication with the National Bank of Poland

Gnan, Ernest (ed.); Kokoszcynski, Ryszard (ed.); … - Conference Monetary Policy after the Crisis <2011, Warschau>; … - 2011

On 4 March 2011, SUERF – The European Money and Finance Forum and the National Bank of Poland jointly organised a conference on the theme of: "Monetary Policy after the Crisis". Following a call for papers with a large number of submissions, the scientific committee selected 9 papers, which...

Persistent link: https://www.econbiz.de/10011710723

The financial market impact of UK quantitative easing

Breedon, Francis; Chadha, Jagjit S.; Water, Alex - 2012

After outlining some of the monetary developments associated with Quantitative Easing (QE), we measure the impact of the UK's initial 2009-10 QE Programme on bonds and other assets. First, we use a macro-finance yield curve both to create a counterfactual path for bond yields and to estimate the...

Persistent link: https://www.econbiz.de/10010368171

Applying a macro-finance yield curve to UK quantitative easing

Chadha, Jagjit S.; Waters, Alex - 2014

Persistent link: https://www.econbiz.de/10011445286

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