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Liquidity and market efficiency : alive and well?
Liikanen, Erkki; Jylhä, Petri; Pennacchi, George G.; … - Joint Conference with the Bank of Finland in Helsinki …; … - 2015
liquidity and market efficiency. The one-day program consisted of an opening speech, six presentations, including three keynotes …
Persistent link: https://www.econbiz.de/10011414459
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Unconventional monetary policy, leverage & default dynamics
Palombo, Edoardo - 2020
The objective of this paper to investigate the effectiveness of credit easing policy in mitigating the economic fallout from a financial recession using a model that can account for the observed default and leverage dynamics during the financial crisis of 2007. A general equilibrium model is...
Persistent link: https://www.econbiz.de/10012243296
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A fistful of dollars : transmission of global funding shocks to EMs
Kumar, Shekhar Hari; Mathur, Aakriti - 2020
interbank markets. Money markets enable banks to engage in risk-sharing against liquidity shocks and are sensitive to global … liquidity shocks to EMs as compared to benchmark short-term bond yields. Next, we disentangle the transmission into its various … of macro-prudential policy like reserve requirements can help alleviate liquidity shocks to the EM banking system …
Persistent link: https://www.econbiz.de/10012171269
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Evaluating the unconventional monetary policy of the bank of Japan : a DSGE approach
Wang, Rui - In: Journal of risk and financial management : JRFM 14 (2021) 6, pp. 1-18
When the nominal interest rate reaches the zero lower bound (ZLB), a conventional monetary policy, namely, the adjustment of short-term interest rate, may become impractical and ineffective for central banks. Therefore, quantitative easing (QE) is one of the few available policy options of...
Persistent link: https://www.econbiz.de/10012588104
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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/10013279323
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Causal effects of the Fed's large-scale asset purchases on firms' capital structure
Nocera, Andrea; Pesaran, M. Hashem - 2022
This paper investigates the short- and long-term impacts of the Federal Reserve's large-scale asset purchases (LSAPs) on the capital structure of U.S. non-financial firms. To isolate the effects of LSAPs from the impact of concurrent macroeconomic conditions, we exploit cross-industry variations...
Persistent link: https://www.econbiz.de/10013176956
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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/10010211019
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Announcement-specific decompositions of unconventional monetary policy shocks and their macroeconomic effects
Lewis, Daniel J. - 2019
I propose to identify announcement-specific decompositions of asset price changes into monetary policy shocks based on intraday time-varying volatility. This approach is the first to accommodate changes in both the nature of shocks and the state of the economy across announcements. I compute...
Persistent link: https://www.econbiz.de/10012022250
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How does monetary policy affect income and wealth inequality? : evidence from quantitative easing in the euro area
Lenza, Michele; Slacalek, Jirka - 2018
This paper studies the effects of quantitative easing on income and wealth of individual euro area households. The aggregate effects of quantitative easing are estimated in a multi-country VAR model of the four largest euro area countries, in which key variables affecting household income and...
Persistent link: https://www.econbiz.de/10011921470
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Unconventional monetary policy, bank lending, and security holdings : the yield-induced portfolio rebalancing channel
Paludkiewicz, Karol - 2018
data on bank-specific TLTRO uptakes, my results do not seem to be driven by alternative, liquidity-driven transmission …
Persistent link: https://www.econbiz.de/10011874277