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Real Effects of Quantitative Easing at the Zero-Lower Bound : Structural VAR-Based Evidence from Japan
Schenkelberg, Heike - 2013
Using post-1995 Japanese data we propose a theory-based sign-restriction SVAR approach to identify monetary policy …
Persistent link: https://www.econbiz.de/10013092811
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How Banks Respond to Negative Interest Rates : Evidence from the Swiss Exemption Threshold
Basten, Christoph - 2018
margins, but credit and interest rate risk increase. Portfolio rebalancing implies relatively more lending, also compared to … an earlier rate cut within positive territory, and risk-taking reduces regulatory capital cushions and liquidity …
Persistent link: https://www.econbiz.de/10012921277
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Forward Guidance in a Simple Model with a Zero Lower Bound
Illing, Gerhard - 2014
In this paper we present a three period setup to model central bank forward guidance in a liquidity trap. We analyze the role of long-run and short-run price stickiness under discretion and commitment in a straightforward and intuitive way. Despite the impact of price rigidity on welfare being...
Persistent link: https://www.econbiz.de/10013055395
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Modeling Two Macro Policy Instruments - Interest Rates and Aggregate Capital Requirements
Gersbach, Hans - 2013
We present a simple neoclassical model to explore how an aggregate bank-capital requirement can be used as a macroeconomic policy tool and how this additional tool interacts with monetary policy. Aggregate bank-capital requirements should be adjusted when the economy is hit by cost-push shocks...
Persistent link: https://www.econbiz.de/10013092337
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Optimal Conservatism and Collective Monetary Policymaking Under Uncertainty
Hefeker, Carsten - 2014
by the presence of uncertainty about the committee members' output objective. We show how this need for conservatism …
Persistent link: https://www.econbiz.de/10013047346
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Interest Rate Pass-Through and Monetary Policy Asymmetry : A Journey into the Caucasian Black Box
Jamilov, Rustam - 2013
This paper analyses the interest rate pass-through for five economies of the Caucasus – Armenia, Azerbaijan, Georgia, Kazakhstan, and Russia. Employing an autoregressive distributed lag (ARDL) specification to monthly data, we find that the interest rate pass-through is systematically...
Persistent link: https://www.econbiz.de/10013085758
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Resolving the Spanning Puzzle in Macro-Finance Term Structure Models
Bauer, Michael - 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/10013028787
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Forward Guidance Contracts
Gersbach, Hans - 2015
Forward Guidance Contracts can be used when there is uncertainty about natural real interest-rate shocks, a situation which …
Persistent link: https://www.econbiz.de/10013021419
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Liquidity Risk, Credit Risk and the Overnight Interest Rate Spread : A Stochastic Volatility Modelling Approach
Beirne, John - 2013
liquidity risk, credit risk (financial and sovereign), and interest rate expectations. Our results suggest that liquidity risk … is the main determinant of the volatility of the policy spread, but also that private bank credit risk has become more … fears. In addition, the ECB appears to have been more effective in addressing liquidity risk since the onset of the crisis …
Persistent link: https://www.econbiz.de/10013094544
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Channel Systems : Why is There a Positive Spread?
Berentsen, Aleksander - 2010
An increasing number of central banks implement monetary policy via two standing facilities: a lending facility and a deposit facility. In this paper we show that it is socially optimal to implement a non-zero interest rate spread. We prove this result in a dynamic general equilibrium model...
Persistent link: https://www.econbiz.de/10013135781