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Applying Complexity Theory to Interest Rates : Evidence of Critical Transitions in the Euro Area

van den End, Jan Willem - 2017

We apply complexity theory to financial markets to show that excess liquidity created by the Eurosystem has led to … excess liquidity in the euro area. These insights can help central banks to strike the right balance between the intention to … support the financial system by injecting liquidity and potential unintended side-effects on market functioning …

Persistent link: https://www.econbiz.de/10012948034

Communication About Future Policy Rates in Theory and Practice : A Survey

Moessner, Richhild - 2015

We discuss the theoretical rationale for central bank communication about future policy rates as part of inflation targeting or of forward guidance. We also summarize actual central bank communication about future policy rates in major advanced countries as well as empirical evidence on the...

Persistent link: https://www.econbiz.de/10013021285

Central Bank Balance Sheet Policies and Inflation Expectations

van den End, Jan Willem - 2015

We analyse the empirical effects of credit easing and quantitative easing on inflation expectations and exchange rates. Both monetary policy strategies are summarised in measures for composition and size of the central bank balance sheet and included in a VAR model. The empirical results show...

Persistent link: https://www.econbiz.de/10013022092

International Spillovers from US Forward Guidance to Equity Markets

Moessner, Richhild - 2014

We quantify the international spillovers of explicit FOMC policy rate guidance used as an unconventional monetary policy tool at the zero lower bound of the policy rate on international equity markets, considering equity indices of both advanced and emerging economies. We find that explicit FOMC...

Persistent link: https://www.econbiz.de/10013051603

Central Bank Swap Lines and CIP Deviations

Allen, William A. - 2017

We study the use of US dollar central bank swap lines as a tool for addressing dislocations in the foreign currency swap market against the USD since the global financial crisis. We find that the use of the Federal Reserve's USD central bank swap lines was mainly related to tensions in US money...

Persistent link: https://www.econbiz.de/10012949669

Effects of Credit Restrictions in the Netherlands and Lessons for Macroprudential Policy

Galati, Gabriele; Kakes, Jan; Moessner, Richhild - 2020

Credit restrictions were used as a monetary policy instrument in the Netherlands from the 1960s to the early 1990s. We study the effects of credit restrictions being active on the balance sheet structure of banks and other financial institutions. We find that banks mainly responded to credit...

Persistent link: https://www.econbiz.de/10014097889

Connecting the Dots : Market Reactions to Forecasts of Policy Rates and Forward Guidance Provided by the Fed

Bongard, Michelle; Galati, Gabriele; Moessner, Richhild; … - 2016

This paper compares market reactions to forecasts of the policy rate path provided by FOMC participants (“dots”) in the Summary of Economic Projections (SEP) with those to forward guidance provided by the FOMC in its statements. We find that market expectations of the time to lift-off from...

Persistent link: https://www.econbiz.de/10014124618

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

Saiki, Ayako - 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”...

Persistent link: https://www.econbiz.de/10013118966

Public Versus Private Information

Demertzis, Maria - 2011

Using the model by Morris and Shin (2002), we distinguish between how people perceive a state and how they act upon it. We show than even for perceptions, where the coordination motive plays no role, improving the quality of public information does not always reduce the forecasting error. The...

Persistent link: https://www.econbiz.de/10013118979

The Dynamic Voting Patterns of the Bank of England's MPC

Berk, Jan Marc - 2011

The literature on the behavior of the Bank of England's Monetary Policy Committee (MPC) has focused on static voting patterns. We find statistical support for a dynamic pattern using a panel reaction function to analyze MPC votes over the 1997-2008 period. We find that internal and external...

Persistent link: https://www.econbiz.de/10013119133