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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
Although the effects of economic news announcements on asset prices are well established, theserelationships are unlikely to be stable. This paper documents the time variation in the responses of yield curves and exchange rates using high-frequency data from January 2000 through August 2011....
Persistent link: https://www.econbiz.de/10009787494
In this paper, we provide evidence on the response of stock market returns to monetary policy shocks but condition the analysis on both the direction of monetary policy surprises and business conditions. We follow a two-step approach: First, we use an structural vector autoregressive (SVAR)...
Persistent link: https://www.econbiz.de/10012855577
I show that a congruent, parsimonious, encompassing model discovered using David Hendry's econometric modelling approach and Autometrics can overcome the many inadequacies of the typical static models of US Treasury returns regressed on macroeconomic announcements. The typical specification...
Persistent link: https://www.econbiz.de/10012928522
Until recently, negative nominal interest rates of the central bank were in the sphere of theoretical considerations …. In 2009, the Swedish Central Bank was the first to implement a negative interest rate policy (NIRP). Since then, the NIRP … has been implemented by the National Bank of Denmark, the European Central Bank, the Swiss National Bank and the National …
Persistent link: https://www.econbiz.de/10013348194
We compare the Federal Reserve's asset purchase programs with those implemented by the Bank of England and the Swedish … Riksbank, and the Swiss National Bank’s reserve expansion program. We decompose government bond yields into (i) an expectations …
Persistent link: https://www.econbiz.de/10011684923
Switzerland. For identification, we compare changes in the behavior of banks that had different fractions of their central bank …
Persistent link: https://www.econbiz.de/10011795014
We investigate the e ect of monetary policy on European macroeconomic variables using a small-scale vector autoregression (VAR) and the "Effective Monetary Stimulus" (EMS). The EMS is a monetary policy metric obtained from yield curve data that is designed to consistently reflect the overall...
Persistent link: https://www.econbiz.de/10011578396
" shocks) and changes in future interest rates that are due to unanticipated revisions in the central bank's economic outlook …
Persistent link: https://www.econbiz.de/10012214409
On 4 March 2011, SUERF – The European Money and Finance Forum and the National Bank of Poland jointly organised a …
Persistent link: https://www.econbiz.de/10011710723