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Global Effective Lower Bound and Unconventional Monetary Policy
Wu, Jing Cynthia - 2018
In a standard open-economy New Keynesian model, the effective lower bound causes anomalies: output and terms of trade respond to a supply shock in the opposite direction compared to normal times. We introduce a tractable framework to accommodate for unconventional monetary policy. In our model,...
Persistent link: https://www.econbiz.de/10012916610
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What Does Monetary Policy Do to Long-Term Interest Rates at the Zero Lower Bound?
Wright, Jonathan H. - 2011
The federal funds rate has been stuck at the zero bound for over two years and the Fed has turned to unconventional monetary policies, such as large scale asset purchases to provide stimulus to the economy. This paper uses a structural VAR with daily data to identify the effects of monetary...
Persistent link: https://www.econbiz.de/10013123639
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Effects of Unconventional Monetary Policy on Financial Institutions
Chodorow-Reich, Gabriel - 2014
Monetary policy affects the real economy in part through its effects on financial institutions. High frequency event studies show the introduction of unconventional monetary policy in the winter of 2008-09 had a strong, beneficial impact on banks and especially on life insurance companies. I...
Persistent link: https://www.econbiz.de/10013052118
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Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound
Wu, Jing Cynthia - 2014
This paper employs an approximation that makes a nonlinear term structure model extremely tractable for analysis of an economy operating near the zero lower bound for interest rates. We show that such a model offers an excellent description of the data compared to the benchmark model and can be...
Persistent link: https://www.econbiz.de/10013054032
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Monetary Policy and Real Borrowing Costs at the Zero Lower Bound
Gilchrist, Simon - 2014
This paper compares the effects of conventional monetary policy on real borrowing costs with those of the unconventional measures employed after the target federal funds rate hit the zero lower bound (ZLB). For the ZLB period, we identify two policy surprises: changes in the 2-year Treasury...
Persistent link: https://www.econbiz.de/10013054511
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The Great Escape? A Quantitative Evaluation of the Fed's Liquidity Facilities
Del Negro, Marco - 2016
We introduce liquidity frictions into an otherwise standard DSGE model with nominal and real rigidities and ask: Can a shock to the liquidity of private paper lead to a collapse in short-term nominal interest rates and a recession like the one associated with the 2008 U.S. financial crisis? Once...
Persistent link: https://www.econbiz.de/10012991692
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Why Have Negative Nominal Interest Rates Had Such a Small Effect on Bank Performance? Cross Country Evidence
Lopez, Jose A. - 2018
We examine the effect of negative nominal interest rates on bank profitability and behavior using a cross-country panel …
Persistent link: https://www.econbiz.de/10012911473
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ECB Policies Involving Government Bond Purchases : Impact and Channels
Krishnamurthy, Arvind - 2017
We evaluate the effects of three ECB policies (the Securities Markets Programme, the Outright Monetary Transactions, and the Long-Term Refinancing Operations) on government bond yields. We use a novel Kalman-filter augmented event-study approach and yields on euro-denominated sovereign bonds,...
Persistent link: https://www.econbiz.de/10012944157
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Measuring the Effects of Unconventional Monetary Policy on Asset Prices
Swanson, Eric T. - 2015
I adapt the methods of Gurkaynak, Sack, and Swanson (2005) to estimate two dimensions of monetary policy during the 2009-2015 zero lower bound period in the U.S. I show that, after a suitable rotation, these two dimensions can be interpreted as "forward guidance" and "large-scale asset...
Persistent link: https://www.econbiz.de/10013009914
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Does the Lack of Financial Stability Impair the Transmission of Monetary Policy?
Acharya, Viral V. - 2019
We investigate the transmission of central bank liquidity to bank deposits and loan spreads in Europe over the period … from January 2006 to June 2010. We find evidence consistent with an impaired transmission channel due to bank risk. Central … bank liquidity does not translate into lower loan spreads for high-risk banks for maturities beyond one year, even as it …
Persistent link: https://www.econbiz.de/10012858814