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Recent U.S. Treasury yields have been constrained to some extent by the zero lower bound (ZLB) on nominal interest rates. In modeling these yields, we compare the performance of a standard affine Gaussian dynamic term structure model (DTSM), which ignores the ZLB, and a shadow-rate DTSM, which...
Persistent link: https://www.econbiz.de/10010728015
To support the economy, the Federal Reserve amassed a large portfolio of long-term bonds. We assess the Fed’s associated interest rate risk — including potential losses to its Treasury securities holdings and declines in remittances to the Treasury. Unlike past examinations of this interest...
Persistent link: https://www.econbiz.de/10011026933
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We develop a two-sector search-matching model of the labor market with imperfect mobility of workers, augmented to incorporate a housing market and a frictional goods market. Homeowners use home equity as collateral to finance idiosyncratic consumption opportunities. A financial innovation that...
Persistent link: https://www.econbiz.de/10011082685
In August 2011, the Swiss National Bank engaged in unconventional monetary policy through an unprecedented expansion of bank reserves. As these actions did not involve any outright long-term asset purchases, this unique episode allows for novel insights on the transmission mechanism of central...
Persistent link: https://www.econbiz.de/10010884919
rates as responding to inflation and some measure of the output gap. We show that an alternative specification of the …
Persistent link: https://www.econbiz.de/10010775243
This paper explores the relationship between inflation and the existence of a local, nominal, publicly-traded, long …-maturity, domestic-currency bond market. Bond holders are exposed to capital losses through inflation and therefore represent a potential … choose a lower inflation rate. We then check this prediction empirically using a panel of data, examining inflation before …
Persistent link: https://www.econbiz.de/10011188054
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