Showing 11 - 20 of 8,509
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 estimate a macro-finance yield curve model for both the nominal and real forward curve for the UK from 1993 to 2008. Our model is able to accommodate a number of key macroeconomic variables and allows us to estimate the instantaneous response of the yield curve and so gauge the impact of...
Persistent link: https://www.econbiz.de/10010472895
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
I extend the model of Laubach and Williams (2003) by introducing an explicit role for the financial cycle in the joint estimation of the natural rates of interest, unemployment and output, and the sustainable growth rate of the US economy. By incorporating the financial cycle - arguably an...
Persistent link: https://www.econbiz.de/10011871950
" 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
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/10012921277
This paper evaluates the international macroeconomic spillovers from the Eurosystem’s expanded Asset Purchase Programme (APP) under alternative assumptions as regards (i) the unwinding of the asset positions accumulated under the APP and (ii) the normalization of the US monetary policy stance....
Persistent link: https://www.econbiz.de/10014123393
In times when short-term policy rates are at or near the zero lower bound, central banks use unconventional policies such as forward guidance and quantitative easing to influence the slope of the yield curve. In this paper, we analyze the dynamic responses of key U.S. macroeconomic variables to...
Persistent link: https://www.econbiz.de/10014081729
The paper analyses and compares the domestic and cross-border effects of US and euro area unconventional monetary policy measures on 24 major advanced and emerging economies, based on an estimated global vector error-correction model (GVECM). Unconventional monetary policies are measured using...
Persistent link: https://www.econbiz.de/10012963536
Based on empirical VAR models, we investigate the role of (option-implied) stock and bond market volatilities and monetary policy in the determination of the US 10-year term premium. Our preliminary findings are that an unexpected loosening of monetary policy - through a cut in the federal funds...
Persistent link: https://www.econbiz.de/10012965322