Showing 1 - 10 of 153
We explore empirically the theoretical prediction that optimism or pessimism have aggregate effects, in the context of monetary policy. First, we quantify the tone conveyed by FOMC policymakers in their statements using computational linguistics. Second, we identify sentiment as the...
Persistent link: https://www.econbiz.de/10012962696
In this paper, we use an estimated DSGE model of the UK economy to investigate perceptions of the effectiveness of monetary policy since the onset of the 2007–08 financial crisis in a number of measures of deflation probability — the Survey of Economic Forecasts, financial-market option...
Persistent link: https://www.econbiz.de/10012979756
In the past decade or so, a number of central banks have purchased assets financed by the creation of central bank reserves as a tool for loosening monetary policy – a policy often known as ‘quantitative easing' or ‘QE'. The first half of the paper reviews the international evidence on the...
Persistent link: https://www.econbiz.de/10012980648
Recent results suggesting that monetary financing is more expansionary than bond financing in standard New Keynesian models rely on a duality between policy rules for the rate of money growth and the short-term bond rate, rather than a special role for money. We incorporate two features into a...
Persistent link: https://www.econbiz.de/10012890833
I assess the use of overnight indexed swap (OIS) rates as measures of monetary policy expectations. I find that one to twelve-month US OIS rates provide measures of investors' interest rate expectations that are comparable to those from corresponding-horizon federal funds futures rates, which...
Persistent link: https://www.econbiz.de/10012925776
I assess the use of overnight indexed swap (OIS) rates as measures of monetary policy expectations. I find that one to twelve-month US OIS rates provide measures of investors' interest rate expectations that are comparable to those from corresponding-horizon federal funds futures rates, which...
Persistent link: https://www.econbiz.de/10012926250
I document three salient features of the transmission of monetary policy shocks: imperfect pass-through to deposit rates, impact on credit spreads, and substitution between deposits and other bank liabilities. I develop a monetary model consistent with these facts, where banks have market power...
Persistent link: https://www.econbiz.de/10013216597
Most tests of preferred habitat theory are indirect; they infer the existence of preferred habitat behaviour in financial markets by examining the behaviour of asset prices. We instead identify preferred habitat behaviour directly from whether investors show a preference towards a particular...
Persistent link: https://www.econbiz.de/10013211975
Using vector autoregressive models with either constant or time-varying parameters and stochastic volatility for the United States, we find that a contractionary monetary policy shock has a persistent negative impact on the asset growth of commercial banks, but increases the asset growth of...
Persistent link: https://www.econbiz.de/10013030195
A key feature of the financial crisis was that the cost to banks of unsecured term funding rose sharply relative to expected policy rates and did so heterogeneously across banks. This paper examines the pass-through of bank funding costs to retail loan and deposit rates in the United Kingdom,...
Persistent link: https://www.econbiz.de/10012992827