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This paper proposes a simple framework for analyzing a continuum of monetary policy rules characterized by differing degrees of credibility, in which commitment and discretion become special cases of what we call quasi commitment. The monetary policy authority is assumed to formulate optimal...
Persistent link: https://www.econbiz.de/10001783067
stabilizing their own liquidity at high frequency. The latter institution follows a much more "hands-on" approach involving daily … intervention to fine-tune the liquidity of the banking system. We review the implications of these contrasting approaches, focusing … from their customary style of liquidity management. We find that, despite differences in operational framework, certain …
Persistent link: https://www.econbiz.de/10001752004
structure of short-term funding markets and financial stability. We also investigate design features of an ON RRP facility that …
Persistent link: https://www.econbiz.de/10011184286
This paper explores liquidity movements in stock and Treasury bond markets over a period of more than 1800 trading days …. Cross-market dynamics in liquidity are documented by estimating a vector autoregressive model for liquidity (that is, bid … in one market affects the spreads in both markets, and that return volatility is an important driver of liquidity …
Persistent link: https://www.econbiz.de/10001752003
We examine the relationship between monetary policy operations and interbank borrowing and lending of funds using sovereign bonds as collateral. We first establish that, in the precrisis period, there are important but rather weak relations between these funding sources and that this...
Persistent link: https://www.econbiz.de/10010732481
Remarks at the Partnership for New York City Discussion, New York City.
Persistent link: https://www.econbiz.de/10010724950
This study of the major industrial countries' interbank markets for overnight loans links the behavior of very short-term interest rates to the operating procedures of the countries' central banks. Previous studies have focused on key features of the U.S. federal funds rate's behavior. We find...
Persistent link: https://www.econbiz.de/10001630855
liquidity risk. In equilibrium, the more productive agents choose higher leverage, invest more, and take on higher liquidity … of a monetary stimulus: Worse overall quality leads to lower liquidation values, increasing the cost of liquidity risk …
Persistent link: https://www.econbiz.de/10011254935
Remarks before the Money Marketeers of New York University, New York City
Persistent link: https://www.econbiz.de/10010732462
Remarks before the Money Marketeers of New York University, New York City
Persistent link: https://www.econbiz.de/10010748394