Similar Search Results

Negative Interest Rates, Excess Liquidity and Retail Deposits : Banks’ Reaction to Unconventional Monetary Policy in the Euro Area

Demiralp, Selva - 2019

' funding structures jointly with that in their excess liquidity holdings. We find evidence that banks highly exposed to the …, importantly, the explicit consideration of the role of excess liquidity in our analysis …

Persistent link: https://www.econbiz.de/10012869955

Negative Interest Rates, Excess Liquidity and Retail Deposits : Banks’ Reaction to Unconventional Monetary Policy in the Euro Area

Demiralp, Selva; Eisenschmidt, Jens; Vlassopoulos, Thomas - 2021

reliance on retail deposit funding and the level of excess liquidity holdings may increase banks’ responsiveness to NIRP. We … segments. We are the first to document the importance of banks’ excess liquidity holdings for the effectiveness of NIRP …, pointing to a strong complementarity of NIRP with central bank liquidity injections, e.g. via asset purchases …

Persistent link: https://www.econbiz.de/10013221074

Average Inflation Targeting and the Interest Rate Lower Bound

Nakata, Taisuke - 2020

Assigning a discretionary central bank a mandate to stabilize an average inflation rate—rather than a period-by-period inflation rate—increases welfare in a New Keynesian model with an occasionally binding lower bound on nominal interest rates. Under rational expectations, the...

Persistent link: https://www.econbiz.de/10012836660

Unconventional Monetary Policy and the Great Recession - Estimating the Impact of a Compression in the Yield Spread at the Zero Lower Bound

Baumeister, Christiane - 2010

We explore the macroeconomic impact of a compression in the long-term bond yield spread within the context of the Great Recession of 2007-2009 via a Bayesian time-varying parameter structural VAR. We identify a ‘pure' spread shock which, leaving the short-term rate unchanged by construction,...

Persistent link: https://www.econbiz.de/10013137091

Effects of State-Dependent Forward Guidance, Large-Scale Asset Purchases and Fiscal Stimulus in a Low-Interest-Rate Environment

Coenen, Günter - 2020

We study the incidence and severity of lower-bound episodes and the efficacy of three types of state-dependent policies—forward guidance about the future path of interest rates, large-scale asset purchases and spending-based fiscal stimulus—in ameliorating the adverse consequences stemming...

Persistent link: https://www.econbiz.de/10012844862

Monetary Policy Transmission to Mortgages in a Negative Interest Rate Environment

Amzallag, Adrien - 2019

Do negative policy rates hinder banks' transmission of monetary policy? To answer this question, we examine the behaviour of Italian mortgage lenders using a novel loan-level dataset. When policy rates turn negative, banks with higher ratios of retail overnight deposits to total assets charge...

Persistent link: https://www.econbiz.de/10012892476

Banks and Negative Interest Rates

Heider, Florian; Saidi, Farzad; Schepens, Glenn - 2021

In this paper, we survey the nascent literature on the transmission of negative policy rates. We discuss the theory of how the transmission depends on bank balance sheets, and how this changes once policy rates become negative. We review the growing evidence that negative policy rates are...

Persistent link: https://www.econbiz.de/10013227327

Liquidation Value and Loan Pricing

Barbiero, Francesca; Schepens, Glenn; Sigaux, Jean-David - 2022

We show that the liquidation value of collateral depends on who is pledging it. We employ transaction-level data on overnight repurchase agreements (repo) and loan-level credit registry data on corporate loans. We find that borrowers on the repo market pay a 2.6 basis points rate premium when...

Persistent link: https://www.econbiz.de/10013300220

How does information affect the comovement between interest rates and exchange rates?

Sánchez, Marcelo - 2006

This paper compares the link between exchange rates and interest rates under full information and two alternative asymmetric information approaches. It also distinguishes between cases of expansionary and contractionary depreciations. Full information results are not robust to the presence of...

Persistent link: https://www.econbiz.de/10011604654

Credit and the natural rate of interest.

De Fiore, Fiorella; Tristani, Oreste - 2008

We analyze the properties of the natural rate of interest in an economy where nominal debt contracts generate a spread between loan rates and the policy interest rate. In our model, monetary policy has real effects in the flexible-price equilibrium, because it affects the credit spread. Relying...

Persistent link: https://www.econbiz.de/10011604935