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Macroeconomic and interest rate volatility under alternative monetary operating procedures
Gerlach-Kristen, Petra; Rudolf, Barbara - Schweizerische Nationalbank (SNB) - 2010
three month rate procedure performs best depends on the maturity of the specific rate that enters the IS curve. …
Persistent link: https://www.econbiz.de/10008472268
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Macroeconomic and interest rate volatility under alternative monetary operating procedures
Gerlach-Kristen, Petra; Rudolf, Barbara - Schweizerische Nationalbank (SNB) - 2010
three month rate procedure performs best depends on the maturity of the specific rate that enters the IS curve. …
Persistent link: https://www.econbiz.de/10008925039
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Time variation in asset price responses to macro announcements
Grisse, Christian; Goldberg, Linda S. - Schweizerische Nationalbank (SNB) - 2013
Although the effects of economic news announcements on asset prices are well established, these relationships are unlikely to be stable. This paper documents the time variation in the responses of yield curves and exchange rates using high frequency data from January 2000 through August 2011....
Persistent link: https://www.econbiz.de/10010895105
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Liquidity Effects of Quantitative Easing on Long-Term Interest Rates
Krogstrup, Signe; Reynard, Samuel; Sutter, Barbara - Schweizerische Nationalbank (SNB) - 2012
This paper argues that the expansion in reserves following recent quantitative easing programs of the Federal Reserve may have affected long-term interest rates through liquidity effects. The data lends some support for liquidity effects, in that reserves were negatively correlated with...
Persistent link: https://www.econbiz.de/10010542048
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Demand for Reserves and the Central Bank's Management of Interest Rates
Schlegel, Martin; Kraenzlin, Sébastien - Schweizerische Nationalbank (SNB) - 2009
interest rate charged in these transactions. This paper presents a model for the estimation of the demand curve for reserves … slope of the demand curve is estimated. Furthermore, properties of the demand curve such as the slope patterns in the course … of a maintenance period and the slope in different monetary regimes are assessed. We find a steeper demand curve towards …
Persistent link: https://www.econbiz.de/10008513046
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Demand for Reserves and the Central Bank's Management of Interest Rates
Schlegel, Martin; Kraenzlin, Sébastien - Schweizerische Nationalbank (SNB) - 2009
interest rate charged in these transactions. This paper presents a model for the estimation of the demand curve for reserves … slope of the demand curve is estimated. Furthermore, properties of the demand curve such as the slope patterns in the course … of a maintenance period and the slope in different monetary regimes are assessed. We find a steeper demand curve towards …
Persistent link: https://www.econbiz.de/10008917450
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Modeling Monetary Policy
Reynard, Samuel; Schabert, Andreas - Schweizerische Nationalbank (SNB) - 2010
We develop a macroeconomic framework where money is supplied against only few eligible securities in open market operations. The relationship between the policy rate, expected inflation and consumption growth is affected by money market conditions, i.e. the varying liquidity value of eligible...
Persistent link: https://www.econbiz.de/10008925057
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Mortgage Rate Pass-Through in Switzerland
Cecchin, Iva - Schweizerische Nationalbank (SNB) - 2011
This paper investigates the speed and completeness of the pass-through from market rates to mortgage rates in … maturity. For the latter, changes in market rates appear to be transmitted quickly and completely, particularly when benchmark … of 2007 for fixed-rate mortgages and in mid-2005 for floating-rate mortgages. For all mortgage rates, asymmetries are …
Persistent link: https://www.econbiz.de/10009023977
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Modeling Monetary Policy
Reynard, Samuel; Schabert, Andreas - Schweizerische Nationalbank (SNB) - 2009
We develop a macroeconomic framework where money is supplied against only few eligible securities in open market operations. The relationship between the policy rate, expected inflation and consumption growth is affected by money market conditions, i.e. the varying liquidity value of eligible...
Persistent link: https://www.econbiz.de/10008487542
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Housing Bubbles and Interest Rates
Hott, Christian; Jokipii, Terhi - Schweizerische Nationalbank (SNB) - 2012
In this paper we assess whether persistently too low interest rates can cause housing bubbles. For a sample of 14 OECD countries, we calculate the deviations of house prices from their (theoretically implied) fundamental value and define them as bubbles. We then estimate the impact that a...
Persistent link: https://www.econbiz.de/10010556243