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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/10011163836
We develop a model of the market for federal funds that explicitly accounts for its two distinctive features: banks have to search for a suitable counterparty, and once they meet, both parties negotiate the size of the loan and the repayment. The theory is used to answer a number of positive and...
Persistent link: https://www.econbiz.de/10011262797
-bank-determined changes in Chinese interest rates also have substantial impacts on economic activity and inflation, while other measures of …
Persistent link: https://www.econbiz.de/10011085485
Although the effects of economic news announcements on asset prices are well established, these relationships are unlikely to be stable. This paper documents the time variation in the responses of yield curves and exchange rates using high frequency data from January 2000 through August 2011....
Persistent link: https://www.econbiz.de/10010821854
economy operating near the zero lower bound for interest rates. We show that such a model offers an excellent description of …
Persistent link: https://www.econbiz.de/10010821893
The exposure of US Treasury bonds to the stock market has moved considerably over time. While it was slightly positive on average in the period 1960-2011, it was unusually high in the 1980s and negative in the 2000s, a period during which Treasury bonds enabled investors to hedge macroeconomic...
Persistent link: https://www.econbiz.de/10010821953
, including shocks to interest rates, monetary policy, productivity, credit, and uncertainty, in explaining house price … synchronization has increased over time. Global interest rate shocks tend to have a significant negative effect on global house prices …
Persistent link: https://www.econbiz.de/10010785625
We analyze a new class of equilibria that emerges when a central bank conducts monetary policy by setting an interest … equilibria involve a run on the central bank's interest target, whereby money grows fast, private agents borrow as much as … possible against the central bank, and the shadow interest rate is different from the policy target. We argue that these …
Persistent link: https://www.econbiz.de/10010886183
When limited commitment hinders unsecured credit, assets help by serving as collateral. We study models where assets differ in pledgability - the extent to which they can be used to secure loans - and hence liquidity. Although many previous analyses of imperfect credit focus on producers, we...
Persistent link: https://www.econbiz.de/10010969326
future short-term interest rates, not just the current level of the overnight rate. Thus, interest rates with a year or more … have been affected by the zero lower bound. In this paper, we measure the effects of the zero lower bound on interest rates … of any maturity by comparing the sensitivity of those interest rates to macroeconomic news when short-term interest rates …
Persistent link: https://www.econbiz.de/10010951118