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How effective is monetary policy at the zero lower bound? : identification through industry heterogeneity
Skaperdas, Arsenios - 2017
US monetary policy was constrained from 2008 to 2015 by the zero lower bound, during which the Federal Reserve would likely have lowered the federal funds rate further if it were able to. This paper uses industry-level data to examine how growth was affected. Despite the zero bound constraint,...
Persistent link: https://www.econbiz.de/10011710089
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Cointegration Test with Stationary Covariates and the CDS-Bond Basis During the Financial Crisis
Wu, Jason - 2011
This paper proposes a residual based cointegration test with improved power. Based on the idea of Hansen (1995) and … Johansen tests, and that the power depends on the long-run correlation between the covariates and the cointegration candidates …. The new test is used to test for cointegration between Credit Default Swap (CDS) and corporate bond spreads for a panel of …
Persistent link: https://www.econbiz.de/10013127087
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Evolving Macroeconomic Perceptions and the Term Structure of Interest Rates
Wei, Min - 2011
We explore the role of evolving beliefs regarding the structure of the macroeconomy in improving our understanding of the term structure of interest rates within the context of a simple macro-finance model. Using quarterly vintages of real-time data and survey forecasts for the United States...
Persistent link: https://www.econbiz.de/10013128863
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Term Structure Estimation with Survey Data on Interest Rate Forecasts
Kim, Don H. - 2006
The estimation of dynamic no-arbitrage term structure models with a flexible specification of the market price of risk is beset by a severe small-sample problem arising from the highly persistent nature of interest rates. We propose using survey forecasts of a short-term interest rate as...
Persistent link: https://www.econbiz.de/10012734818
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Low Frequency Effects of Macroeconomic News on Government Bond Yields
Altavilla, Carlo - 2017
In this study, we analyze the reaction of the U.S. Treasury bond market to innovations in macroeconomic fundamentals. We identify these innovations based on macroeconomic news, which are defined as differences between the actual releases and market expectations. We find that that macroeconomic...
Persistent link: https://www.econbiz.de/10012972912
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Demand for M2 at the Zero Lower Bound : The Recent U.S. Experience
Judson, Ruth - 2014
In this paper, we re-examine the relationship between money and interest rates with a focus on the past few years, when the opportunity cost of M2 has dropped below zero. Until the late 1980s, a stable relationship between monetary aggregates and the opportunity cost of holding money -- measured...
Persistent link: https://www.econbiz.de/10013056165
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A Time Series Model of Interest Rates with the Effective Lower Bound
Johannsen, Benjamin K. - 2016
Modeling interest rates over samples that include the Great Recession requires taking stock of the effective lower bound (ELB) on nominal interest rates. We propose a flexible time– series approach which includes a “shadow rate”—a notional rate that is less than the ELB during the period...
Persistent link: https://www.econbiz.de/10013210389
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A shadow rate or a quadratic policy rule? : the best way to enforce the zero lower bound in the United States
Andreasen, Martin Møller; Meldrum, Andrew - 2018
We study whether it is better to enforce the zero lower bound (ZLB) in models of U.S. Treasury yields using a shadow rate model or a quadratic term structure model. We show that the models achieve a similar in-sample fit and perform comparably in matching conditional expectations of future...
Persistent link: https://www.econbiz.de/10012016103
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Managing Beliefs About Monetary Policy Under Discretion
Mertens, Elmar - 2011
In models of monetary policy, discretionary policymaking often lacks the ability to manage public beliefs, which explains the theoretical appeal of policy rules and commitment strategies. But as shown in this paper, when a policymaker possesses private information, belief management becomes an...
Persistent link: https://www.econbiz.de/10013128709
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The Federal Reserve's Balance Sheet : A Primer and Projections
Carpenter, Seth B. - 2013
Over the past few years, the Federal Reserve's use of unconventional monetary policy tools has led it to hold a large portfolio of securities. The securities holdings in excess of historical norms have been shown to be putting downward pressure on longer-term interest rates. One question asked...
Persistent link: https://www.econbiz.de/10013089251