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Quantifying the Costs and Benefits of Quantitative Easing
Levin, Andrew T.; Lu, Brian L.; Nelson, William R. - National Bureau of Economic Research - 2022
-term liabilities, QE4 amplified the interest rate risk associated with the publicly-held debt of the consolidated federal government …
Persistent link: https://www.econbiz.de/10013477241
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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
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Policymakers' Uncertainty
Cieślak, Anna; Hansen, Stephen; McMahon, Michael; … - National Bureau of Economic Research - 2023
Uncertainty is a ubiquitous concern emphasized by policymakers. We study how uncertainty affects decision-making by the … Federal Open Market Committee (FOMC). We distinguish between the notion of Fed-managed uncertainty vis-a-vis uncertainty that …-managed uncertainty introduces a wedge between the standard Taylor-type policy rule and the optimal decision. Using private Fed …
Persistent link: https://www.econbiz.de/10014436980
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Monetary-Based Asset Pricing : A Mixed-Frequency Structural Approach
Bianchi, Francesco; Ludvigson, Sydney C.; Ma, Sai - National Bureau of Economic Research - 2022
financial market risk. However, the structural estimation also finds that much of the causal impact of monetary policy on …We integrate a high-frequency monetary event study into a mixed-frequency macro-finance model and structural estimation …. The model and estimation allow for jumps at Fed announcements in investor beliefs, providing granular detail on why …
Persistent link: https://www.econbiz.de/10013210100
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The Long and Variable Lags of Monetary Policy : Evidence from Disaggregated Price Indices
Aruoba, S. Borağan; Drechsel, Thomas - National Bureau of Economic Research - 2024
We study how monetary policy affects subcomponents of the Personal Consumption Expenditures Price Index (PCEPI) using local projections. Following a monetary policy contraction, the response of aggregate PCEPI turns significantly negative after over three years. There are stark differences in...
Persistent link: https://www.econbiz.de/10014576652
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Breaks in the Phillips Curve : Evidence from Panel Data
Smith, Simon C.; Timmermann, Allan; Wright, Jonathan H. - National Bureau of Economic Research - 2023
We revisit time-variation in the Phillips curve, applying new Bayesian panel methods with breakpoints to US and European Union disaggregate data. Our approach allows us to accurately estimate both the number and timing of breaks in the Phillips curve. It further allows us to determine the...
Persistent link: https://www.econbiz.de/10014250170
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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
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Inflation Past, Present and Future : Fiscal Shocks, Fed Response, and Fiscal Limits
Cochrane, John H. - National Bureau of Economic Research - 2022
Our current inflation stemmed from a fiscal shock. The Fed is slow to react. Why? Will the Fed's slow reaction spur more inflation? I write a simple model that encompasses the Fed's mild projections and its slow reaction, and traditional views that inflation will surge without swift rate rises....
Persistent link: https://www.econbiz.de/10013210124
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Fiscal Consequences of Central Bank Losses
Cecchetti, Stephen G.; Hilscher, Jens - National Bureau of Economic Research - 2024
In response to the Global Financial Crisis, central banks engaged in large-scale asset purchases funded by the issuance of reserves. These "unconventional" policies continued during the pandemic, so that by 2022 central banks' balance sheets had grown up to ten-fold. As a result of rapidly...
Persistent link: https://www.econbiz.de/10014544756
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Monetary Policy without Moving Interest Rates : The Fed Non-Yield Shock
Boehm, Christoph E.; Kroner, T. Niklas - National Bureau of Economic Research - 2024
effects on the VIX and other risk-related measures point towards a dominant risk premium channel. We show that the non …
Persistent link: https://www.econbiz.de/10014576665