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Effects of explicit FOMC policy rate guidance on market interest rates

Moessner, Richhild - de Nederlandsche Bank - 2013

We quantify the impact of explicit FOMC policy rate guidance used as an unconventional monetary policy tool at the zero lower bound of the policy rate on market interest rates. We study the impact on short- to medium-term interest rates implied by Eurodollar interest rate futures contracts, and...

Persistent link: https://www.econbiz.de/10010681046

The interaction between the central bank and government in tail risk scenarios

End, Jan Willem van den; Hoeberichts, Marco - de Nederlandsche Bank - 2012

We analyse the relationship between tail risk and crisis measures by governments and the central bank. Using an adjusted Merton model in a game theoretical set-up, the analysis shows that the participation constraint for interventions by the central bank and the governments is less binding if...

Persistent link: https://www.econbiz.de/10010583805

Reactions of real yields and inflation expectations to forward guidance in the United States

Moessner, Richhild - de Nederlandsche Bank - 2013

to a significant reduction in real yields. By contrast, breakeven inflation rates were barely affected, if at all …, suggesting that inflation expectations have remained well-anchored, and that explicit FOMC policy rate guidance has not adversely …

Persistent link: https://www.econbiz.de/10010705926

How does unconventional monetary policy affect inequality? Evidence from Japan

Saiki, Ayako; Frost, Jon - de Nederlandsche Bank - 2014

Inequality has been largely ignored in the literature and practice of monetary policy, but is gaining more attention recently. We look at how a decade of unconventional monetary policy (UMP) in Japan affected inequality among households using survey data. Our vector auto regression (VAR) results...

Persistent link: https://www.econbiz.de/10010822702

How much does the public know about the ECB's monetary policy? Evidence from a survey of Duch households

Cruijsen, Carin van der; Jansen, David-Jan; Haan, Jakob de - de Nederlandsche Bank - 2010

's ability to form realistic inflation expectations. …

Persistent link: https://www.econbiz.de/10008587050

Individual Expectations and Aggregate Macro Behavior

Assenza, Tiziana; Heemeijer, Peter; Hommes, Cars; … - de Nederlandsche Bank - 2011

monetary policy that sets the interest rate more than point for point in response to inflation stabilizes inflation in our …

Persistent link: https://www.econbiz.de/10009144151

Exchange Rate Pass-Through and Monetary Integration in the Euro Area

Saiki, Ayako - de Nederlandsche Bank - 2011

The purpose of this study is to examine how monetary integration affects the exchange rate pass-through, by testing whether monetary policy convergence in the euro area led to a convergence in terms of exchange rate pass-through. We conduct a comparative study between the "experiment group" (the...

Persistent link: https://www.econbiz.de/10009188955

"Leaning Against the Wind" and the Timing of Monetary Pollicy

Agur, Itai; Demertzis, Maria - de Nederlandsche Bank - 2011

If monetary policy is to aim also at financial stability, how would it change? To analyze this question, this paper develops a general-form, axiomatic framework. Financial stability objectives are shown to make a monetary authority more aggressive. By that we mean that in reaction to negative...

Persistent link: https://www.econbiz.de/10009192030

Have market views on the sustainability of fiscal burdens influenced monetary authorities' credibility?

Galati, Gabriele; Lewis, John; Poelhekke, Steven; Zhou, Chen - de Nederlandsche Bank - 2011

central banks' commitment to price stability. Using a daily measure of inflation expectations extracted from nominal and … indexed-linked government bonds, or inflation swaps, we test whether these react to alternative measures of fiscal burdens … burdens on long-term inflation expectations in the United States, the euro area and the United Kingdom. These results are …

Persistent link: https://www.econbiz.de/10009193241

Monetary Policy and Excessive Bank Risk Taking

Agur, Itai; Demertzis, Maria - de Nederlandsche Bank - 2010

This paper shows that a rate hike has countervailing effects on banks' risk appetite. It reduces risk when the debt burden of the banking sector is modest. We model a regulator whose trade-off between bank risk and credit supply is derived from a welfare function. We show that the regulator...

Persistent link: https://www.econbiz.de/10008774017