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The yield curve slope and monetary policy innovations
Gamber, Edward N.; Joutz, Frederick L. - 2005
We separate changes of the federal funds rate into two components; one reflects the Fed's superior forecasts about the state of the economy and the other component reflects the Fed's reaction to the public's forecast about the state of the economy. Romer and Romer (2000) found that the Fed...
Persistent link: https://www.econbiz.de/10010293721
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Modelling and Forecasting the Yield Curve under Model uncertainty
Donati, Paola; Donati, Francesco - 2008
This paper proposes a procedure to investigate the nature and persistence of the forces governing the yield curve and to use the extracted information for forecasting purposes. The latent factors of a model of the Nelson-Siegel type are directly linked to the maturity of the yields through the...
Persistent link: https://www.econbiz.de/10011604963
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Weak Economy and Strong Currency: The Origins of the Strong Yen in the 1990s
Schnabl, Gunther - In: Vierteljahrshefte zur Wirtschaftsforschung 70 (2001) 4, pp. 489-503
Der Yen ist in der japanischen Rezession der 90er Jahre überraschend stark geblieben. Der Aufsatz untersucht die … Ursachen für den hohen Yen. Er analysiert den Einfluss von Zinsen, Preisen und Währungspolitik. Danach haben reale … hohe Yen mit der Deflation der 90er Jahre erklärt werden kann. Die massiven Devisenmarktinterventionen der 90er Jahre …
Persistent link: https://www.econbiz.de/10010377557
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Currency intervention and the global portfolio balance effect: Japanese lessons
Gerlach-Kristen, Petra; McCauley, Robert N.; Ueda, Kazuo - 2012
rates in a wide range of countries, including Japan. It seems that this decline was triggered by the investment of the …
Persistent link: https://www.econbiz.de/10010392522
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Spekulation, Preisbildung und Volatilität auf Finanz- und Devisenmärkten
Alexander, Volbert; Kugler, Peter; Streissler, Erich; … - 1998
werden die Auswirkungen einer Geldpolitik analysiert, die auf Veränderungen der Zinsstruktur reagiert und 'leaning against … von J. Wolters analysiert die Renditestruktur am deutschen Kapitalmarkt. Gemäß der Erwartungshypothese der Zinsstruktur … Spreads festgestellt werden. Dies bedeutet, daß die Zinsstruktur nicht nur von einem, sondern von zwei gemeinsamen Faktoren …
Persistent link: https://www.econbiz.de/10014493204
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Foreign Exchange Intervention When Interest Rates Are Zero: Does the Portfolio Balance Channel Matter After All?
Fatum, Rasmus - 2010
The Japanese zero-interest rate period provides a "natural experiment" for investigating the effectiveness and transmission channels of sterilized intervention when traditional monetary policy options are constrained. This paper takes advantage of the fact that all interventions in the JPY/USD...
Persistent link: https://www.econbiz.de/10010320998
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Extracting market expectations from yield curves augmented by money market interest rates: the case of Japan
Nagano, Teppei; Baba, Naohiko - 2008
This paper attempts to extract market expectations about the Japanese economy and the BOJ’s policy stance from the yen …
Persistent link: https://www.econbiz.de/10011605026
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The impact of ECB monetary policy decisions and communication on the yield curve
Brand, Claus; Buncic, Daniel; Turunen, Jarkko - 2006
We analyse high-frequency changes in the euro area money market yield curve on dates when the ECB regularly sets and communicates decisions on policy interest rates to construct different indicators of monetary policy news relating to policy decisions and to central bank communication. The...
Persistent link: https://www.econbiz.de/10011604703
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Liquidity, term spreads and monetary policy
Aksoy, Yunus; Basso, Henrique S. - 2012
We propose a model that delivers endogenous variations in term spreads driven primarily by banks' portfolio decision and their appetite to bear the risk of maturity transformation. We first show that fluctuations of the future profitability of banks' portfolios affect their ability to cover for...
Persistent link: https://www.econbiz.de/10010290138
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Intermediary balance sheets and the treasury yield curve
Du, Wenxin; Hébert, Benjamin; Li, Wenhao - 2022
We have documented a regime change in the U.S. Treasury market post-Global Financial Crisis (GFC). We first derived bounds on Treasury yields that account for dealer balance sheet costs, which we call the net short and net long curves. We show that actual Treasury yields moved from the net short...
Persistent link: https://www.econbiz.de/10013432953