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Monetary Policy Interactions : The Policy Rate, Asset Purchases, and Optimal Policy with an Interest Rate Peg
Gödl-Hanisch, Isabel; Mau, Ronald; Rawls, Jonathan - 2023
We study monetary policy in a New Keynesian model with a variable credit spread and scope for central bank asset purchases to matter. A novel financial and labor market interaction generates an endogenous cost-push channel in the Phillips curve and a credit wedge in the IS curve. The “divine...
Persistent link: https://www.econbiz.de/10014357043
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Real effects of quantitative easing at the zero-lower bound: Structural VAR-based evidence from Japan
Schenkelberg, Heike; Watzka, Sebastian - 2011
Using post-1995 Japanese data we propose a theory-based sign-restriction SVAR approach to identify monetary policy …
Persistent link: https://www.econbiz.de/10010274778
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Missing Events in Event Studies : Identifying the Effects of Partially-Measured News Surprises
Gürkaynak, Refet S. - 2018
Macroeconomic news announcements are elaborate and multi-dimensional. We consider a framework in which jumps in asset prices around macroeconomic news and monetary policy announcements reflect both the response to observed surprises in headline numbers and latent factors, reflecting other...
Persistent link: https://www.econbiz.de/10012908673
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Measuring Euro Area Monetary Policy
Altavilla, Carlo - 2019
We study the information flow from the ECB on policy dates since its inception, using tick data. We show that three factors capture about all of the variation in the yield curve but that these are different factors with different variance shares in the window that contains the policy decision...
Persistent link: https://www.econbiz.de/10012867012
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Inequality and the Zero Lower Bound
Fernández-Villaverde, Jesús; Marbet, Joël; Nuño, Galo; … - 2023
This paper studies how household inequality shapes the effects of the zero lower bound (ZLB) on nominal interest rates on aggregate dynamics. To do so, we consider a heterogeneous agent New Keynesian (HANK) model with an occasionally binding ZLB and solve for its fully nonlinear stochastic...
Persistent link: https://www.econbiz.de/10014348051
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The Hidden Heterogeneity of Inflation and Interest Rate Expectations : The Role of Preferences
Dräger, Lena; Lamla, Michael J.; Pfajfar, Damjan - 2022
explained with risk preferences. Overall, this adds a new dimension to the definition of anchored expectations …
Persistent link: https://www.econbiz.de/10013293855
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Interest Rate Skewness and Biased Beliefs
Chernov, Mikhail; Bauer, Michael - 2021
Conditional yield skewness is an important summary statistic of the state of the economy. It exhibits pronounced variation over the business cycle and with the stance of monetary policy, and a tight relationship with the slope of the yield curve. Most importantly, variation in yield skewness has...
Persistent link: https://www.econbiz.de/10013222193
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Does U.S. Monetary Policy Respond to Macroeconomic Uncertainty?
Gomez, Thomas; Piccillo, Giulia - 2023
We find that macroeconomic uncertainty plays a significant role in U.S. monetary policy. First, we construct a measure … of uncertainty as felt by policymakers at the time of making their rate-setting decisions. This measure is derived from a … real-time, Bayesian estimation of a small monetary VAR with time-varying parameters. We use it to calculate the probability …
Persistent link: https://www.econbiz.de/10014357029
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Agreed and Disagreed Uncertainty
Gambetti, Luca; Tsoukalas, John D.; Korobilis, Dimitris; … - 2023
When agents’ information is imperfect and dispersed, existing measures of macroeconomic uncertainty based on the … dispersion. The former driver increases uncertainty and reduces agents’ disagreement (agreed uncertainty). The latter increases … both uncertainty and disagreement (disagreed uncertainty). We use these implications to identify empirically the effects of …
Persistent link: https://www.econbiz.de/10014348100
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Non-Linearities and Persistence in US Long-Run Interest Rates
Caporale, Guglielmo Maria; Gil-Alana, Luis A.; … - 2021
-August 2020, the other from the ECB reporting average monthly values over the period January 1900-August 2020. The estimation …
Persistent link: https://www.econbiz.de/10013314848