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Manning, Jonathan - 2015

We construct a Financial Conditions Index (FCI) for Greece as a surveillance tool to quantify the degree of the stress … (EA) as a whole and show that although the developments in the EA were qualitatively in line with those in Greece, they … were quantitatively much milder. Our results confirm that monetary transmission was less effective in Greece compared to …

Persistent link: https://www.econbiz.de/10013012447

Riding the Yield Curve : Risk Taking Behavior in a Low Interest Rate Environment

Chami, Ralph - 2020

Investors seek to hedge against interest rate risk by taking long or short positions on bonds ofdifferent maturities. We study changes in risk taking behavior in a low interest rateenvironment by estimating a market stochastic discount factor that is non-linear and thereforeconsistent with the...

Persistent link: https://www.econbiz.de/10012836549

Determinants of Interest Rate Spreads in Solomon Islands

Rebei, Nooman - 2014

Bank interest rate spreads in Solomon Islands are high by regional standards. This paper examines the determinants of bank interest rates including bank specific, banking sector, macroeconomic, and legal indicators. The results show that the scale of operation, overhead costs, concentration...

Persistent link: https://www.econbiz.de/10013053048

Monetary and Fiscal Policies and the Dynamics of the Yield Curve in Morocco

Ahokpossi, Calixte - 2016

We estimate the latent factors that underlie the dynamics of the sovereign bond yield curve inMorocco during 2004-14 based on the Dynamic Nelson-Siegel model. On this basis, weexplore the interaction between macroeconomic variables and the yield curve, which is ofdirect relevance to...

Persistent link: https://www.econbiz.de/10012977868

Unconventional Monetary Policy and Long-Term Interest Rates

Wu, Tao - 2014

This paper examines the transmission mechanism through which unconventional monetary policy affects long-term interest rates. I construct a real-time measure summarizing market projections of the magnitude and duration of the Federal Reserve's Large Scale Asset Purchases (LSAP) program, and...

Persistent link: https://www.econbiz.de/10013043718

Financing Growth in the WAEMU Through the Regional Securities Market : Past Successes and Current Challenges

Diouf, Mame Astou - 2013

The West African Economic and Monetary Union (WAEMU) regional securities market saw increasing activity in the last decade, but still fell short of supplying sufficient long-term financing for growth-enhancing public and private investment projects. In addition to providing an institutional...

Persistent link: https://www.econbiz.de/10013088737

Monetary Policy Communication and Financial Markets in India

Ahmed, Faisal; Binici, Mahir; Turunen, Jarkko - 2022

Forward-looking monetary policy communication has become a key element of flexible inflation-targeting regimes across advanced and emerging market economies. The Reserve Bank of India’s implementation of a flexible inflation targeting framework since 2016 has been supported by a broad set of...

Persistent link: https://www.econbiz.de/10014238515

Exploring the Role of Foreign Investors in Russia's Local Currency Government Bond (OFZ) Market

Lu, Yinqiu - 2017

Local currency government bonds (OFZ bonds) are an important fixed-income instrument in Russia's financial markets. In this paper, based on granular data, we explore the development of the OFZ bond market with a focus on foreign investors. As this fixed-income market has experienced a...

Persistent link: https://www.econbiz.de/10012960579

Loose Financial Conditions, Rising Leverage, and Risks to Macro-Financial Stability

Xu, Yizhi; Gan, Ken; Wang, Manchun; Barajas, Adolfo; … - 2022

After a steady increase following the global financial crisis, private nonfinancial sector leverage rose further during the COVID-19 on the back of easy financial conditions induced by unprecedented policy support. We investigate the empirical relationships between increased leverage, financial...

Persistent link: https://www.econbiz.de/10013305586

Equilibrium Yield Curve, the Phillips Curve, and Monetary Policy

Katagiri, Mitsuru - 2018

Upward sloping yield curves are hard to reconcile with the positive association between income and inflation (the Phillips curve) in consumption-based asset pricing models. Using US and UK data, this paper shows inflation is negatively correlated with long-run income growth but positively...

Persistent link: https://www.econbiz.de/10012906878