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German bond yields and debt supply : is there a "bund premium"?
Paret, Anne-Charlotte; Weber, Anke - 2019
Are Bunds special? This paper estimates the 'Bund premium' as the difference in convenience yields between other sovereign safe assets and German government bonds adjusted for sovereign credit risk, liquidity and swap market frictions. A higher premium suggests less substitutability of sovereign...
Persistent link: https://www.econbiz.de/10012154614
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Understanding Chinese Bond Yields and their Role in Monetary Policy
Porter, Nathan - 2011
: changes in PBC rates influence the structure of Treasury, financial, and corporate bond yield curves, which are then …
Persistent link: https://www.econbiz.de/10014398318
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The long-run impact of sovereign yields on corporate yields in emerging markets
Li, Delong; Magud, Nicolas; Werner, Alejandro M.; … - 2021
We analyze the long-run impact of emerging-market sovereign bond yields on corporate bond yields, finding that the average pass-through is around one. The pass-through is larger in countries with greater sovereign risks and where sovereign bonds are more liquid. It is also greater for corporate...
Persistent link: https://www.econbiz.de/10012612337
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Enabling deep negative rates to fight recessions : a guide
Agarwal, Ruchir; Kimball, Miles S. - 2019
The experience of the Great Recession and its aftermath revealed that a lower bound on interest rates can be a serious obstacle for fighting recessions. However, the zero lower bound is not a law of nature; it is a policy choice. The central message of this paper is that with readily available...
Persistent link: https://www.econbiz.de/10012019855
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Monetary and fiscal policies and the dynamics of the yield curve in Morocco
Ahokpossi, Calixte; Garcia Martinez, Pilar; Kemoe, Laurent - 2016
We estimate the latent factors that underlie the dynamics of the sovereign bond yield curve in Morocco during 2004 … yield curve, which is of direct relevance to macroeconomic policy-making. In Morocco's context, we find that tighter … can be increased through greater central bank independence. Fiscal improvements significantly lower yield levels. Policy …
Persistent link: https://www.econbiz.de/10011711388
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The costs of macroprudential deleveraging in a liquidity trap
Chen, Jiaqian; Finocchiaro, Daria; Lindé, Jesper; … - 2020
We examine the effects of various borrower-based macroprudential tools in a New Keynesian environment where both real and nominal interest rates are low. Our model features long-term debt, housing transaction costs and a zero-lower bound constraint on policy rates. We find that the long-term...
Persistent link: https://www.econbiz.de/10012251966
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Monetary policy with negative interest rates : decoupling cash from electronic money
Assenmacher-Wesche, Katrin; Krogstrup, Signe - 2018
money to achieve a negative yield on cash which would remove the lower bound constraint on monetary policy. We discuss how …
Persistent link: https://www.econbiz.de/10011905923
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The scarcity effect of quantitative easing on repo rates : evidence from the euro area
Arrata, William; Nguyen, Benoit; Rahmouni-Rousseau, Imene; … - 2018
Most short-term interest rates in the Euro area are below the European Central Bank deposit facility rate, the rate at which the central bank remunerates banks' excess reserves. This unexpected development coincided with the start of the Public Sector Purchase Program (PSPP). In this paper, we...
Persistent link: https://www.econbiz.de/10011978433
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Working Paper 94/114 Estimating and interpreting Forward interest Rates : Sweden 1992-1994
International Monetary Fund - 1994
The IMF Working Papers series is designed to make IMF staff research available to a wide audience. Almost 300 Working Papers are released each year, covering a wide range of theoretical and analytical topics, including balance of payments, monetary and fiscal issues, global liquidity, and...
Persistent link: https://www.econbiz.de/10014397927
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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/10014411683