In the aftermath of the global financial crisis, central banks started being confronted with severe challenges that led to an unprecedented policy response in terms of the size and variety of monetary policy measures. One such measure centred on central banks communicating to the public more...

Monetary policy increasingly relies on steering market expectations about future policy. This paper identifies a monetary policy news shock based on a VAR model. A monetary news shock is equivalent to new information about the Fed's future monetary policy becoming available today. One example of...

I provide a simple general equilibrium model of monetary policy implementation and pass-through for undergraduate and graduate teaching. Besides a household and a firm, the model features a continuum of commercial banks, a government, and a central bank. The household uses deposits and cash to...

This paper examines the effectiveness of several of the Fed's unconventional monetary policies from 2007 to 2010 by comparing interest rate spreads with forecast estimates based on either the pure expectations hypothesis or the preferred habitat theory. We find that the effectiveness of these...

Monetary policy implementation could, in theory, be constrained by deeply negative rates since overnight market participants may have an incentive to invest in cash rather than lend to other participants. To understand the functioning of overnight markets in such an environment, we add the...

This paper compares the effectiveness of date- and state-based forward guidance issued by the Federal Reserve since mid-2011 accounting for the influence of disagreement within the FOMC. Effectiveness is investigated through the lens of interest rates’ sensitivity to macroeconomic news and I...

This paper provides an overview of the operational implementation of negative interest rates in Europe and Japan. Drawing attention to the fact that there is precedent for negative policy rates and negative money market rates, the paper addresses conceptual issues and summarizes measures which...

We propose a novel framework to analyze how policy-makers can manage risks to the median projection and risks specific to the tail of gross domestic product (GDP) growth. By combining a quantile regression of GDP growth with a vector autoregression, we show that monetary and macroprudential...

This paper studies the evolution of the natural interest rate in five Southeast Asian countries and considers the effect of economic shocks on the natural interest rate in these countries. The natural interest rate is the interest rate that would prevail in an economy in equilibrium and in the...

The negative interest rate policy (NIRP) has been in place in the euro area since June 2014. While the NIRP can provide additional monetary accommodation in the situation where the neutral rate of interest is most likely negative, there are also unintended consequences for banks’ profitability...