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Quantifying "quantitative tightening" (QT): How many rate hikes is QT equivalent to?
Wei, Bin - 2022
How many interest rate hikes is quantitative tightening (QT) equivalent to? In this paper, I examine this question based on the preferred-habitat model in Vayanos and Vila (2021). I define the equivalence between rate hikes and QT such that they both have the same impact on the 10-year yield....
Persistent link: https://www.econbiz.de/10014278183
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Forward Guidance Through Interest Rate Projections: Does It Work?
Brubakk, Leif; Xu, Hong; ter Ellen, Saskia - 2017
Based on high-frequency data for Norway and Sweden, we investigate to what extent explicit forward guidance from monetary policy makers, by means of publishing the path of expected future policy rates, affects the market yield curve. We summarise movements in the yield curve by two latent...
Persistent link: https://www.econbiz.de/10012143905
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ECB Spillovers and Domestic Monetary Policy Effectiveness in Small Open Economies
ter Ellen, Saskia; Jansen, Edvard; Midthjell, Nina Larsson - 2018
In this paper we study financial spillovers from the European Central Bank's (ECB) monetary policy and communication, and whether they have consequences for the effectiveness of domestic monetary policy of small open economies. Recent work suggests that the "trilemma" in international economics...
Persistent link: https://www.econbiz.de/10012143934
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The price of liquidity: Bank characteristics and market conditions
Fecht, Falko; Nyborg, Kjell G.; Rocholl, Jörg - 2010
We identify frictions in the market for liquidity as well as bank-specific and market-wide factors that affect the … prices that banks pay for liquidity, captured here by borrowing rates in repos with the central bank and benchmarked by the … liquidity. We find that the price a bank pays for liquidity depends on the liquidity positions of other banks, as well as its …
Persistent link: https://www.econbiz.de/10010315393
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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
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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
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Why central banks (and money) rule the roost”
Sardoni, Claudio - 2006
Some have argued that a significant decrease in the demand for money, due to financial innovations, could imply that central banks are unable to implement effective monetary policies. This paper argues that central banks are always able to influence the economy's interest rates, because their...
Persistent link: https://www.econbiz.de/10010266526
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A tractable model of indirect asset liquidity
Herrenbrueck, Lucas; Geromichalos, Athanasios - 2015
Assets have "indirect liquidity" if they cannot be used as media of exchange, but can be traded to obtain a medium of … liquidity, provides closed form solutions for real and nominal assets, and discusses properties of the solutions. Some of these …
Persistent link: https://www.econbiz.de/10011784997
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Volatility, Money Market Rates, and the Transmission of Monetary Policy
Carpenter, Seth B.; Demiralp, Selva - 2011
We explore the effect of volatility in the federal funds market on the expectations hypothesis in money markets. We find that lower volatility in the bank funding markets market, all else equal, leads to a lower term premium and thus longer-term rates for a given setting of the overnight rate....
Persistent link: https://www.econbiz.de/10010500183
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A framework for understanding inflation - with or without money
Bengtsson, Ingemar - 2005
This paper presents a model that pictures how inflation is determined in a decentralized market process where prices are set in both simultaneous and sequential contracts. Price setting is seen as a coordination game between the price setters of sequential contracts. An important property of the...
Persistent link: https://www.econbiz.de/10013208483