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Keynesian Macroeconomics without the LM Curve
Romer, David - 2000
assumption that the central bank targets the money supply with an assumption that it follows a simple interest rate rule. The …
Persistent link: https://www.econbiz.de/10012471315
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Money Markets, Collateral and Monetary Policy
De Fiore, Fiorella - 2018
featuring heterogeneous banks, interbank markets for both secured and unsecured credit, and a central bank. The model features a … in lending and output. We show how central bank policies which increase the size of the central bank balance sheet can …
Persistent link: https://www.econbiz.de/10012480970
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Why Are Target Interest Rate Changes So Persistent?
Coibion, Olivier - 2011
While the degree of policy inertia in central banks' reaction functions is a central ingredient in theoretical and empirical monetary economics, the source of the observed policy inertia in the U.S. is controversial, with tests of competing hypotheses such as interest-smoothing and...
Persistent link: https://www.econbiz.de/10012461950
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Stressed not Frozen : The Fed Funds Market in the Financial Crisis
Afonso, Gara - 2010
more sensitive to borrower bank characteristics. While the market does not contract dramatically, lending rates increase …. Further, the market does not seem to expand to meet the increased demand predicted by the drop in other bank funding markets … that the characteristics of the lending bank importantly affect the amount of interbank loans a bank makes. In particular …
Persistent link: https://www.econbiz.de/10012462844
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A Black Swan in the Money Market
Taylor, John B. - 2008
inter-bank lending rate and term London inter-bank offer rates (Libor). Because many private loans are linked to Libor rates …
Persistent link: https://www.econbiz.de/10012464706
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Assessing Monetary Policy Effects Using Daily Fed Funds Futures Contracts
Hamilton, James D. - 2007
This paper develops a generalization of the formulas proposed by Kuttner (2001) and others for purposes of measuring the effects of a change in the fed funds target on Treasury yields of different maturities. The generalization avoids the need to condition on the date of the target change and...
Persistent link: https://www.econbiz.de/10012465078
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Futures Prices as Risk-adjusted Forecasts of Monetary Policy
Piazzesi, Monika - 2004
Many researchers have used federal funds futures rates as measures of financial markets' expectations of future monetary policy. However, to the extent that federal funds futures reflect risk premia, these measures require some adjustment to account for these premia. In this paper, we document...
Persistent link: https://www.econbiz.de/10012468146
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A New Measure of Monetary Shocks : Derivation and Implications
Romer, Christina D. - 2003
Conventional measures of monetary policy, such as the federal funds rate, are surely influenced by forces other than monetary policy. More importantly, central banks adjust policy in response to a wide range of information about future economic developments. As a result, estimates of the effects...
Persistent link: https://www.econbiz.de/10012468831
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The Fed and Interest Rates : A High-Frequency Identification
Cochrane, John H. - 2002
We measure monetary policy shocks as changes in the Fed funds target rate that surprise bond markets in daily data. These shock series avoid the omitted variable, time-varying parameter, and orthogonalization problem of monthly VARs, and do not impose the expectations hypothesis. We find...
Persistent link: https://www.econbiz.de/10012469876
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What Do a Million Banks Have to Say About the Transmission of Monetary Policy?
Kashyap, Anil K. - 1997
quarterly observations of every insured commercial bank in the United States over the period 1976-1993. Our key cross …
Persistent link: https://www.econbiz.de/10012472758