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The effects of asset purchase programs on macroeconomic variables are likely to be moderate. We reach this conclusion after simulating the impact of the Federal Reserve’s second large-scale asset purchase program (LSAP II) in a DSGE model enriched with a preferred habitat framework and...
Persistent link: https://www.econbiz.de/10009395290
We introduce liquidity frictions into an otherwise standard DSGE model with nominal and real rigidities, explicitly incorporating the zero bound on the short-term nominal interest rate. Within this framework, we ask: Can a shock to the liquidity of private paper lead to a collapse in short-term...
Persistent link: https://www.econbiz.de/10009358588
This paper examines the impact of large-scale asset purchases (LSAP) on U.S. asset prices (nominal and inflation-indexed bonds, stocks, and U.S. dollar spot exchange rates) using an event study with intraday data. The surprise component of LSAP announcements is identified from Financial Times...
Persistent link: https://www.econbiz.de/10010551301
We use an information-theoretic approach to describe changes in lending relationships between federal funds market participants around the time of the Lehman Brothers failure. Unlike previous work that conducts maximum-likelihood estimation on undirected networks, our analysis distinguishes...
Persistent link: https://www.econbiz.de/10009274484
Introductory Remarks for the Panel Discussion Sponsored by the Heller-Hurwicz Economics Institute and the Economic Club of Minnesota at the University of Minnesota, Minneapolis.
Persistent link: https://www.econbiz.de/10010724935
Remarks at the Global Association of Risk Professionals 12th Annual Risk Management Convention, New York City.
Persistent link: https://www.econbiz.de/10010724946
Remarks at 2010 CFA Institute Fixed Income Management Conference, Newport Beach, California.
Persistent link: https://www.econbiz.de/10010724947
Remarks at the Partnership for New York City Discussion, New York City.
Persistent link: https://www.econbiz.de/10010724950
Remarks at the Future of Banking Regulation and Supervision in the EU Conference, Frankfurt, Germany.
Persistent link: https://www.econbiz.de/10010724953
Remarks at Cornell University, Ithaca, New York.
Persistent link: https://www.econbiz.de/10010724954