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Quantitative easing and the "new normal" in monetary policy

Kiley, Michael T. - 2018 - Version 9

Interest rates may remain low and fall to their effective lower bound (ELB) often. As a result, quantitative easing (QE), in which central banks expand their balance sheet to lower long-term interest rates, may complement policy approaches focused on adjustments in short-term interest rates....

Persistent link: https://www.econbiz.de/10011803748

A time series model of interest rates with the effective lower bound

Johannsen, Benjamin K.; Mertens, Elmar - 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/10011500309

A nowcasting model for Canada : do U.S. variables matter?

Bragoli, Daniela; Modugno, Michele - 2016

We propose a dynamic factor model for nowcasting the growth rate of quarterly real{{p}}Canadian gross domestic product. We show that the proposed model produces more accurate nowcasts than those produced by institutional forecasters, like the Bank of Canada, the The Organisation for Economic...

Persistent link: https://www.econbiz.de/10011500346

Nowcasting Turkish GDP and news decomposition

Modugno, Michele; Soybilgen, Bariş; Yazgan, Mustafa Ege - 2016

Real gross domestic product (GDP) data in Turkey are released with a very long delay compared with other economies, between 10 and 13 weeks after the end of the reference quarter. To infer the current state of the economy, policy makers, media, and market practitioners examine data that are more...

Persistent link: https://www.econbiz.de/10011500399

Forecast combination for euro area inflation : a cure in times of crisis?

Hubrich, Kirstin; Skudelny, Frauke - 2016

The period of extraordinary volatility in euro area headline inflation starting in 2007 raised the question whether forecast combination methods can be used to hedge against bad forecast performance of single models during such periods and provide more robust forecasts. We investigate this issue...

Persistent link: https://www.econbiz.de/10011579164

Assessing macroeconomic tail risk

Loria, Francesca; Matthes, Christian; Zhang, Donghai - 2019

What drives macroeconomic tail risk? To answer this question, we borrow a definition of macroeconomic risk from Adrian et al. (2019) by studying (left-tail) percentiles of the forecast distribution of GDP growth. We use local projections (JordÃ , 2005) to assess how this measure of risk moves...

Persistent link: https://www.econbiz.de/10012018464

A nowcasting model for the growth rate of real GDP of Ecuador : implementing a time-varying intercept

González-Astudillo, Manuel; Baquero, Daniel - 2018

This paper proposes a model to nowcast the annual growth rate of real GDP for Ecuador. The specification combines monthly information of 28 macroeconomic variables with quarterly information of real GDP in a mixed-frequency approach. Additionally, our setup includes a time-varying mean...

Persistent link: https://www.econbiz.de/10011932302

Did the founding of the Federal Reserve affect the vulnerability of the interbank system to systemic risk?

Carlson, Mark; Wheelock, David C. - 2016 - Draft: July 18, 2016

As a result of legal restrictions on branch banking, an extensive interbank system developed in the United States … interbank system to meet seasonal and other demands, but the system also transmitted shocks during banking panics. The Federal … Reserve was established in 1914 to reduce reliance on the interbank market and correct other defects that caused banking …

Persistent link: https://www.econbiz.de/10011578151

The Federal Reserve's portfolio and its effect on interest rates

Huther, Jeffrey; Ihrig, Jane; Klee, Elizabeth - 2017

We explore the historical composition of the Federal Reserve's Treasury portfolio and its effect on Treasury yields. Using data from 1985 to 2016, we show that the divergence of the composition of the Federal Reserve's portfolio from overall Treasury securities outstanding is associated with a...

Persistent link: https://www.econbiz.de/10011710126

State capacity and public goods : institutional change, human capital, and growth in early modern Germany

Dittmar, Jeremiah E.; Meisenzahl, Ralf R. - 2016

What are the origins and consequences of the state as a provider of public goods? We study legal reforms that established mass public education and increased state capacity in German cities during the 1500s. These fundamental changes in public goods provision occurred where ideological...

Persistent link: https://www.econbiz.de/10011500218

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