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Movements in Yields, not the Equity Premium : Bernanke-Kuttner Redux

Nagel, Stefan; Xu, Zhengyang - National Bureau of Economic Research - 2024

We show that the stock market price reaction to monetary policy surprises upon announcements of the Federal Open Market Committee (FOMC) is explained mostly by changes in the default-free term structure of yields, not by changes in the equity premium. We reach this conclusion based on a new...

Persistent link: https://www.econbiz.de/10015056210

The Evolution of U.S. Monetary Policy : 2000 - 2007

Belongia, Michael T. - 2016

A vector autoregression with time-varying parameters is used to characterize changes in Federal Reserve policy that occurred from 2000 through 2007 and describe how they affected the performance of the U.S. economy. Declining coefficients in the model's estimated policy rule point to a shift in...

Persistent link: https://www.econbiz.de/10012455987

Estimating the Effects of Political Pressure on the Fed : A Narrative Approach with New Data

Drechsel, Thomas - National Bureau of Economic Research - 2024

This paper combines new data and a narrative approach to identify shocks to political pressure on the Federal Reserve. From archival records, I build a data set of personal interactions between U.S. Presidents and Fed officials between 1933 and 2016. Since personal interactions do not...

Persistent link: https://www.econbiz.de/10014544739

The Fiscal Consequences of Missing an Inflation Target

Andreolli, Michele; Rey, Hélène - National Bureau of Economic Research - 2023

The European Central Bank is unique in setting monetary policy for several sovereign states with heterogeneous debt levels and different maturity structures. The monetary-fiscal nexus is central to the functioning of the euro area. We focus on one particular aspect of that nexus, the effect the...

Persistent link: https://www.econbiz.de/10013537713

Quantifying the Costs and Benefits of Quantitative Easing

Levin, Andrew T.; Lu, Brian L.; Nelson, William R. - National Bureau of Economic Research - 2022

We conduct a systematic analysis of the costs and benefits of large-scale securities purchases, using the Federal … continued for two years, leading to a doubling of the Fed's securities holdings to about $8.5 trillion as of March 2022. QE4 was … initially aimed at mitigating strains in markets for Treasuries and agency mortgage-backed securities but was subsequently aimed …

Persistent link: https://www.econbiz.de/10013477241

The Macroeconomic Effects of the Federal Reserve's Conventional and Unconventional Monetary Policies

Swanson, Eric T. - National Bureau of Economic Research - 2023

I separately identify and estimate the effects of the Federal Reserve's federal funds rate, forward guidance, and large-scale asset purchase (LSAP) policies on the U.S. economy. I extend the high-frequency identification strategy of Bauer and Swanson (2023b) for monetary policy VARs by allowing...

Persistent link: https://www.econbiz.de/10014337836

Living Up to Expectations : Central Bank Credibility, the Effectiveness of Forward Guidance, and Inflation Dynamics Post-Global Financial Crisis

Cole, Stephen J.; Martínez-García, Enrique; Sims, Eric R. - National Bureau of Economic Research - 2023

This paper studies the effectiveness of forward guidance when central banks have imperfect credibility. Exploiting unique survey-based measures of expected inflation, output growth, and interest rates, we estimate a small-scale New Keynesian model for the United States and other G7 countries...

Persistent link: https://www.econbiz.de/10014421202

The Impact of the Federal Reserve Bank's Open Market Operations

Harvey, Campbell R. - 1994

The Federal Reserve Bank has the ability to change the money supply and to shape the expectations of market participants through their open market operations. These operations may amount to 20% of the day's volume and are concentrated during the half hour known as `Fed Time'. Using previously...

Persistent link: https://www.econbiz.de/10012474273

On the Gains to International Trade in Risky Financial Assets

Davis, Steven J. - 2000

This paper develops and implements a framework for quantifying the gains to international trade in risky financial assets. The framework can handle may agents, many assets, incomplete markets and limited participation in asset markets. It delivers closed-form analytic solutions for consumption,...

Persistent link: https://www.econbiz.de/10012470954

Market Liquidity and Funding Liquidity

Brunnermeier, Markus K. - 2007

empirically documented features that market liquidity (i) can suddenly dry up, (ii) has commonality across securities, (iii) is …

Persistent link: https://www.econbiz.de/10012465717

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