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Jorda, Oscar; Schularick, Moritz; Taylor, Alan M. - Federal Reserve Bank of San Francisco - 2014

Is there a link between loose monetary conditions, credit growth, house price booms, and financial instability? This paper analyzes the role of interest rates and credit in driving house price booms and busts with data spanning 140 years of modern economic history in the advanced economies. We...

Persistent link: https://www.econbiz.de/10011114889

Monetary policy in Pacific Basin countries : papers presented at a Conference sponsored by the Federal Reserve Bank of San Francisco

Cheng, Hang-sheng (contributor) - 1988

Persistent link: https://www.econbiz.de/10000762531

Monetary policy and the currency denomination of debt : a tale of two equilibria

Chang, Roberto (contributor); Velasco, Andrés (contributor) - 2004

Persistent link: https://www.econbiz.de/10003156369

Monetary policy and real exchange rate dynamics in sticky-price models

Carvalho, Carlos; Nechio, Fernanda - Federal Reserve Bank of San Francisco - 2014

We study how real exchange rate dynamics are affected by monetary policy in dynamic, stochastic, general equilibrium, sticky-price models. Our analytical and quantitative results show that the source of interest rate persistence – policy inertia or persistent policy shocks – is key. When the...

Persistent link: https://www.econbiz.de/10011026913

Modeling yields at the zero lower bound: are shadow rates the solution?

Christensen, Jens Henrik Eggert; Rudebusch, Glenn - Federal Reserve Bank of San Francisco - 2013

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

Resolving the spanning puzzle in macro-finance term structure models

Bauer, Michael Dominic; Rudebusch, Glenn - Federal Reserve Bank of San Francisco - 2015

Previous macro-finance term structure models (MTSMs) imply that macroeconomic state variables are spanned by (i.e., perfectly correlated with) model-implied bond yields. However, this theoretical implication appears inconsistent with regressions showing that much macroeconomic variation is...

Persistent link: https://www.econbiz.de/10011123659

A probability-based stress test of Federal Reserve assets and income

Christensen, Jens Henrik Eggert; Lopez, Jose A.; … - Federal Reserve Bank of San Francisco - 2013

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

The rise in home currency issuance

Hale, Galina; Spiegel, Mark M; Jones, Peter - Federal Reserve Bank of San Francisco - 2014

increases in home currency foreign bond issuance was larger in countries with stable inflation and lower government debt, and in … financial crisis could have a persistent impact on home currency bond issuance. Firms that issue for the first time in their … remain lower after conditions return to normal, due to the increased depth of the home currency market. Empirically, we show …

Persistent link: https://www.econbiz.de/10010887124

Domestic bond markets and inflation

Rose, Andrew; Spiegel, Mark M - Federal Reserve Bank of San Francisco - 2015

-maturity, domestic-currency bond market. Bond holders are exposed to capital losses through inflation and therefore represent a potential … similar effect for short-term or foreign-currency bonds. …

Persistent link: https://www.econbiz.de/10011188054

Financial policy and reform in Pacific Basin countries

Cheng, Hang-sheng (contributor) - 1986

Persistent link: https://www.econbiz.de/10000690822

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