Similar Search Results

Foreign exchange market interventions as monetary policy

Post, Erik - 2006

Least Squares and an Ordered Probit model. The empirical analysis uses daily intervention data for Australia, Japan and …

Persistent link: https://www.econbiz.de/10010321630

Lessons from the Swedish Experience with Negative Central Bank Rates

Andersson, Fredrik N. G.; Jonung, Lars - 2020

Negative interest rates were once seen as impossible outside the realm of economic theory. However, several central banks have recently adopted negative policy rates. The Federal Reserve is coming under increasing pressure to follow suit in the wake of the coronavirus crisis. This paper...

Persistent link: https://www.econbiz.de/10013208878

New Keynesian dynamics in a low interest rate environment

Braun, R. Anton; Körber, Lena Mareen - 2011

prototypical New Keynesian model fit to Japanese data exhibits orthodox dynamics during Japan's episode with zero interest rates …. We then demonstrate that this specification is more consistent with outcomes in Japan than alternative specifications …

Persistent link: https://www.econbiz.de/10010292223

A tale of four tails: Inflation, the policy rate, longer-term rates, and stock prices

Anene, Dominic; D'Amico, Stefania - 2017

We analyze empirical links between the perceived tail-risk of inflation, the policy rate, longer-term interest rates, and equity prices in the U.S. Their simultaneous changes enable us to distinguish between a systematic and "exogenous" response to monetary-policy news. And, those tail...

Persistent link: https://www.econbiz.de/10012030329

Determinantes de la tasa interbancaria de préstamos en Argentina

Anastasi, Alejandra; Elosegui, Pedro; Sangiácomo, Máximo - 2009

This paper analyzes the determinants of the interest rate of short-term unsecured loan inter-bank market (call) in Argentina. The results show that the heterogeneous nature of the entities, in terms of size and origin of ownership, impacts on the interest rate agreed. Other additional aspects,...

Persistent link: https://www.econbiz.de/10010325101

A portfolio-balance approach to the nominal term structure

King, Thomas B. - 2013

Explanations of why changes in the relative quantities of safe debt seem to affect asset prices often appeal informally to a portfolio balance mechanism. I show how this type of effect can be incorporated in a general class of structural, arbitrage-free asset-pricing models using a numerical...

Persistent link: https://www.econbiz.de/10010352163

Japanese monetary policy and household saving

Israel, Karl-Friedrich; Sepp, Tim; Sonnenberg, Nils - 2021

This paper analyzes the impact of monetary policy on household saving in Japan between 1993 and 2017. Using annual data … from the Japan Panel Survey of Consumers it is shown that monetary expansion has contributed to a widening gap in … it. The paper documents how inequality in terms of the ability to build up wealth has increased in Japan over the past …

Persistent link: https://www.econbiz.de/10012590545

US Monetary Policy in a Globalized World

Cuaresma, Jesús Crespo; Doppelhofer, Gernot; … - 2016

We analyze the interaction between monetary policy in the US and the global economy proposing a new class of Bayesian global vector autoregressive models that accounts for time-varying parameters and stochastic volatility (TVP-SV-GVAR). We find that a contractionary US monetary policy shock...

Persistent link: https://www.econbiz.de/10013370122

Alternative Indicator of Moneary Policy for a Small Open Economy

Cuche, Nicolas A. - 2000

We analyze several identification frameworks based on operating procedures to measure monetary policy in a small open economy. We use a two-stage non-recursive VAR model to identify monetary shocks. We construct then various overall monetary policy indicators based on different residuals...

Persistent link: https://www.econbiz.de/10011430022

Does Money Growth Granger-Cause Inflation in the Euro Area? Evidence from Out-of-Sample Forecasts Using Bayesian VARs

Berger, Helge; Österholm, Pär - 2007

We use a mean-adjusted Bayesian VAR model as an out-of-sample forecasting tool to test whether money growth Granger-causes inflation in the euro area. Based on data from 1970 to 2006 and forecasting horizons of up to 12 quarters, there is surprisingly strong evidence that including money...

Persistent link: https://www.econbiz.de/10010321554