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The costs and benefits of liquidity regulations : lessons from an idle monetary policy tool

Curfman, Christopher J.; Kandrac, John - 2019

We investigate how liquidity regulations affect banks by examining a dormant monetary policy tool that functions as a liquidity regulation. Our identification strategy uses a regression kink design that relies on the variation in a marginal high-quality liquid asset (HQLA) requirement around an...

Persistent link: https://www.econbiz.de/10012181216

Monetary policy and bank equity values in a time of low and negative interest rates

Ampudia, Miguel; Heuvel, Skander van den - 2019

Does banks' exposure to interest rate risk change when interest rates are very low or even negative? Using a high-frequency event study methodology and intraday data, we find that the effect of surprise interest rate cuts announced by the ECB on European bank equity values - an effect that is...

Persistent link: https://www.econbiz.de/10012182094

Forward guidance with Bayesian learning and estimation

Gust, Christopher J.; Herbst, Edward P.; López-Salido, … - 2018

Considerable attention has been devoted to evaluating the macroeconomic effectiveness of the Federal Reserve's communications about future policy rates (forward guidance) in light of the U.S. economy's long spell at the zero lower bound (ZLB). In this paper, we study whether forward guidance...

Persistent link: https://www.econbiz.de/10012016381

The regulatory and monetary policy nexus in the repo market

Anbil, Sriya; Senyuz, Zeynep - 2018

intensified European dealers' window-dressing by 80%. Money funds eligible to use the Fed's reverse repo (RRP) facility cut their … private lending almost by half and instead lent to the Fed when European dealers withdraw, contributing to smooth …

Persistent link: https://www.econbiz.de/10011927168

Effects of changing monetary and regulatory policy on overnight money markets

Klee, Elizabeth; Senyuz, Zeynep; Yoldas, Emre - 2016

Money markets have been operating under a new monetary policy implementation framework since the Federal Reserve started paying interest on bank reserves in late 2008. The regulatory environment has also evolved substantially over this period. We develop and test hypotheses regarding the effects...

Persistent link: https://www.econbiz.de/10011578771

Macroeconomic implications of oil price fluctuations : a regime-switching framework for the euro area

Holm-Hadulla, Fédéric; Hubrich, Kirstin - 2017

We investigate whether the response of the macro-economy to oil price shocks undergoes episodic changes. Employing a regime-switching vector autoregressive model we identify two regimes that are characterized by qualitatively different patterns in economic activity and inflation following oil...

Persistent link: https://www.econbiz.de/10011709632

Volatility, Money Market Rates, and the Transmission of Monetary Policy

Carpenter, Seth B. - 2011

Central banks typically control an overnight interest rate as their policy tool, and the transmission of monetary policy happens through the relationship of this overnight rate to the rest of the yield curve. The expectations hypothesis, that longer-term rates should equal expected future...

Persistent link: https://www.econbiz.de/10013124991

The Federal Reserve's Portfolio and its Effects on Mortgage Markets

Hancock, Diana - 2012

We provide an empirical analysis of the effects of the Federal Reserve's asset holdings on MBS yields and mortgage rates. We argue that understanding the particulars of the U.S. mortgage markets, particularly the linkages between the secondary and primary mortgage markets, is important. We find...

Persistent link: https://www.econbiz.de/10013106785

The Federal Reserve's Large-Scale Asset Purchase Programs : Rationale and Effects

D'Amico, Stefania - 2013

We provide empirical estimates of the effect of large-scale asset purchase (LSAP)-style operations on longer-term U.S. Treasury yields within a framework that nests the alternative theoretical perspectives on LSAPs. As the principal channels through which LSAPs might matter for longer-term...

Persistent link: https://www.econbiz.de/10013088919

The Fed’s “Ample-Reserves” Approach to Implementing Monetary Policy

Ihrig, Jane E. - 2020

We describe the Federal Reserve's (the Fed's) approach to implementing monetary policy in an ample-reserves regime. We … use a stylized model to explain the factors the Fed considers and the tools it uses to ensure interest rate control when … the quantity of reserves is ample. Then, we take a close look at the Fed's experience operating in this regime in the post …

Persistent link: https://www.econbiz.de/10012834052

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