Narrow search
Showing 1 - 10 of 1,152
Cover Image
Pledgability and Liquidity: A New Monetarist Model of Financial and Macroeconomic Activity
Wright, Randall; Venkateswaran, Venky - National Bureau of Economic Research (NBER) - 2013
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
Cover Image
Identifying Taylor Rules in Macro-Finance Models
Backus, David; Zin, Stanley E.; Chernov, Mikhail - National Bureau of Economic Research (NBER) - 2013
Identification problems arise naturally in forward-looking models when agents observe more than economists. We illustrate the problem in several New Keynesian and macro-finance models in which the Taylor rule includes a shock unseen by economists. We show that identification of the rule's...
Persistent link: https://www.econbiz.de/10011250950
Cover Image
The Effectiveness of Alternative Monetary Policy Tools in a Zero Lower Bound Environment
Hamilton, James; Wu, Jing Cynthia - National Bureau of Economic Research (NBER) - 2011
and develops new empirical estimates of the effects of the maturity structure of publicly held debt on the term structure … of interest rates. We use a model of risk-averse arbitrageurs to develop measures of how the maturity structure of debt … less than one-year maturity (about $400 billion) and use the proceeds to retire Treasury debt from the long end, this might …
Persistent link: https://www.econbiz.de/10009652851
Cover Image
The Long and the Short End of the Term Structure of Policy Rules
Taylor, John B.; Smith, Josephine M. - National Bureau of Economic Research (NBER) - 2007
We first document a large secular shift in the estimated response of the entire term structure of interest rates to inflation and output in the United States. The shift occurred in the early 1980s. We then derive an equation that links these responses to the coefficients of the central bank's...
Persistent link: https://www.econbiz.de/10005774435
Cover Image
No-Arbitrage Taylor Rules
Ang, Andrew; Piazzesi, Monika; Dong, Sen - National Bureau of Economic Research (NBER) - 2007
We estimate Taylor (1993) rules and identify monetary policy shocks using no-arbitrage pricing techniques. Long-term interest rates are risk-adjusted expected values of future short rates and thus provide strong over-identifying restrictions about the policy rule used by the Federal Reserve. The...
Persistent link: https://www.econbiz.de/10005049904
Cover Image
Cracking the Conundrum
Backus, David; Wright, Jonathan - National Bureau of Economic Research (NBER) - 2007
From 2004 to 2006, the FOMC raised the target federal funds rate by 4.25%, yet long-maturity yields and forward rates …
Persistent link: https://www.econbiz.de/10005050439
Cover Image
Time Variation in Asset Price Responses to Macro Announcements
Goldberg, Linda S.; Grisse, Christian - National Bureau of Economic Research (NBER) - 2013
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
Cover Image
Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound
Wu, Jing Cynthia; Xia, Fan Dora - National Bureau of Economic Research (NBER) - 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/10010821893
Cover Image
Monetary Policy Drivers of Bond and Equity Risks
Campbell, John Y.; Viceira, Luis M.; Pflueger, Carolin - National Bureau of Economic Research (NBER) - 2014
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
Cover Image
Speculative Runs on Interest Rate Pegs
Phelan, Christopher; Bassetto, Marco - National Bureau of Economic Research (NBER) - 2013
We analyze a new class of equilibria that emerges when a central bank conducts monetary policy by setting an interest rate (as an arbitrary function of its available information) and letting the private sector set the quantity traded. These equilibria involve a run on the central bank's interest...
Persistent link: https://www.econbiz.de/10010886183