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Monetary Transmission Through Bank Securities Portfolios
Greenwald, Daniel; Krainer, John; Paul, Pascal - National Bureau of Economic Research - 2024
We study the transmission of monetary policy through bank securities portfolios using granular supervisory data on U.S. bank securities, hedging positions, and corporate credit. Banks that experienced larger losses on their securities during the 2022-2023 monetary tightening cycle extended less...
Persistent link: https://www.econbiz.de/10014544727
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Monetary Policy without Moving Interest Rates : The Fed Non-Yield Shock
Boehm, Christoph E.; Kroner, T. Niklas - National Bureau of Economic Research - 2024
-announcement times. We use a heteroskedasticity-based procedure to estimate a "Fed non-yield shock", which is orthogonal to yield changes … and is identified from excess volatility in the S&P 500 and various dollar exchange rates. A positive non-yield shock …-yield shock is essentially uncorrelated with previous monetary policy shocks and its effects are large in comparison. Its strong …
Persistent link: https://www.econbiz.de/10014576665
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Real and nominal equilibrium yield curves : wage rigidities and permanent shocks
Hsu, Alex; Li, Erica X. N.; Palomino, Francisco - 2016
The links between real and nominal bond risk premia and macroeconomic dynamics are explored quantitatively in a model with nominal rigidities and monetary policy. The estimated model captures macroeconomic and yield curve properties of the U.S. economy, implying significantly positive real term...
Persistent link: https://www.econbiz.de/10011500232
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Monetary policy and leverage shocks
Istiak, Khandokar; Serletis, Apostolos - In: International journal of finance & economics : IJFE 22 (2017) 2, pp. 115-128
Persistent link: https://www.econbiz.de/10011960271
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Stock market dynamics, leveraged network-based financial accelerator and monetary policy
Riccetti, Luca; Russo, Alberto; Gallegati, Mauro - In: International review of economics & finance : IREF 43 (2016), pp. 509-524
Persistent link: https://www.econbiz.de/10011625923
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The nature of shadow bank leverage shocks on the macroeconomy
Istiak, Khandokar - In: The North American journal of economics and finance : a … 50 (2019), pp. 1-12
Persistent link: https://www.econbiz.de/10012203671
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Heterogeneous effects of unconventional monetary policy on bond yields across the euro area
Demir, İshak; Eroğlu, Burak Alparslan; … - 2019
monetary policy shock across different countries, maturities, yield components and over time. The results identify a significant …
Persistent link: https://www.econbiz.de/10012147209
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Sticky Discount Rates
Fukui, Masao; Gormsen, Niels; Huber, Kilian - National Bureau of Economic Research - 2024
We show that firms' nominal required returns to capital (i.e., their discount rates) are sticky with respect to expected inflation. Such nominally sticky discount rates imply that increases in expected inflation directly lower firms' real discount rates and thereby raise real investment. We...
Persistent link: https://www.econbiz.de/10014512092
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Central Banks, Stock Markets, and the Real Economy
Caballero, Ricardo J.; Simsek, Alp - National Bureau of Economic Research - 2024
This article summarizes empirical research on the interaction between monetary policy and asset markets, and reviews our previous theoretical work that captures these interactions. We present a concise model in which monetary policy impacts the aggregate asset price, which in turn influences...
Persistent link: https://www.econbiz.de/10014468253
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Monetary policy, real activity, and credit spreads : evidence from Bayesian proxy SVARs
Caldara, Dario; Herbst, Edward P. - 2016
This paper studies the interaction between monetary policy, financial markets, and the real economy. We develop a Bayesian framework to estimate proxy structural vector autoregressions (SVARs) in which monetary policy shocks are identified by exploiting the information contained in high...
Persistent link: https://www.econbiz.de/10011500415