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Hoermann, Markus; Schabert, Andreas - 2010 - This version: December 22, 2010

We present a simple macroeconomic model with open market operations that allows examining the effects of quantitative and credit easing. The central bank controls the policy rate, i.e. the price of money in open market operations, as well as the amount and the type of assets that are accepted as...

Persistent link: https://www.econbiz.de/10011382672

A smooth shadow-rate dynamic Nelson-Siegel Model for yields at the zero lower bound

Opschoor, Daan; Wel, Michel van der - 2022

We propose a smooth shadow-rate version of the dynamic Nelson-Siegel (DNS) model to analyze the term structure of interest rates during the recent zero lower bound (ZLB) period. By relaxing the no-arbitrage restriction, our shadow-rate model becomes highly tractable with a closed-form yield...

Persistent link: https://www.econbiz.de/10012817007

Banks, money, and the zero lower bound on deposit rates

Kumhof, Michael; Wang, Xuan - 2020

We develop a New Keynesian model where all payments between agents require bank deposits through deposits-in-advance constraints, bank deposits are created through disbursement of bank loans, and banks face a convex lending cost. At the zero lower bound on deposit rates (ZLBD), changes in policy...

Persistent link: https://www.econbiz.de/10012262361

Do negative interest rates make banks less safe?

Nucera, Federico; Lucas, André; Schaumburg, Julia; … - 2017

We study the impact of increasingly negative central bank policy rates on banks' propensity to become undercapitalized in a financial crisis (`SRisk'). We find that the risk impact of negative rates depends on banks' business models: Large banks with diversified income streams are perceived as...

Persistent link: https://www.econbiz.de/10011642197

Bank capital regulation in a zero interest environment

Döttling, Robin - 2018

risk shifting incentives, particularly if rates are expected to remain near-zero for long. At the ZLB, capital regulation … becomes a less effective tool to curb risk shifting incentives. When banks cannot pass on the cost of capital to depositors …, tight capital requirements erode franchise value, countervailing the usual "skin in the game" effect. Optimal capital …

Persistent link: https://www.econbiz.de/10011801359

Sovereign risk and macroeconomic fluctuations in an emerging market economy

Kirchner, Markus; Rieth, Malte - 2010

This paper assesses the role of sovereign risk in explaining macroeconomic fluctuations in Turkey. We estimate two versions of a simple New Keynesian small open economy model on quarterly data for the period 1994Q3-2008Q2: A basic version and a version augmented by a default premium on...

Persistent link: https://www.econbiz.de/10011382024

Sovereign risk and macroeconomic fluctuations in an emerging market economy

Kirchner, Markus; Rieth, Malte - 2010

Persistent link: https://www.econbiz.de/10008670040

Productive government expenditure in monetary business cycle models

Linnemann, Ludger; Schabert, Andreas - 2005

This paper assesses the transmission of fiscal policy shocks in a New Keynesian framework where government expenditures contribute to aggregate production. It is shown that even if the impact of government expenditures on production is small, this assumption helps to reconcile the models'...

Persistent link: https://www.econbiz.de/10011343264

On real interest rates, tariff policy, exchange rates and the ZLB

Wijnbergen, Sweder van - 2018

What could be the drivers of low real rates? What are the implications of the Zero Lower Bound for economic policy? To discuss these questions we introduce a full general equilibrium model of the world economy with a simple (2 period) intertemporal structure. The model is simple enough to allow...

Persistent link: https://www.econbiz.de/10011813425

Visualizing the invisible : estimating the New Keynesian output gap via a Bayesian approach

Willems, Tim - 2009

Persistent link: https://www.econbiz.de/10003874408

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