Showing 1 - 10 of 10
We examine the macroeconomic and term-premia implications of monetary policy uncertainty shocks. Using Eurodollar options, we employ the VIX methodology to measure implied volatility about future short-term interest rates at various horizons. We identify monetary policy uncertainty shocks using...
Persistent link: https://www.econbiz.de/10012950996
This paper uses a New-Keynesian model with multiple monetary assets to show that if the choice of instrument is based solely on its propensity to predict macroeconomic targets, a central bank may choose an inferior policy instrument. We compare a standard interest rate rule to a k-percent rule...
Persistent link: https://www.econbiz.de/10012906860
In a macroeconomic model with drifting long-run inflation expectations, the anchoring of inflation expectations manifests in two testable predictions. First, expectations about inflation far in the future should no longer respond to news about current inflation. Second, better anchored inflation...
Persistent link: https://www.econbiz.de/10012823344
We examine the macroeconomic effects of forward guidance shocks at the zero lower bound. Empirically, we identify forward guidance shocks using unexpected changes in futures contracts around monetary policy announcements. We then embed these policy shocks into a standard vector autoregression to...
Persistent link: https://www.econbiz.de/10012970234
In a sticky-price model where firms finance their production inputs, there is both a lower and an upper bound on the central bank's inflation response necessary to rule out the possibility of self-fulfilling inflation expectations. This paper shows that real wage rigidities decrease this upper...
Persistent link: https://www.econbiz.de/10013004074
Deteriorating economic conditions in late 2008 led the Federal Reserve to lower the target federal funds rate to near zero, inject liquidity into the financial system through novel facilities, and engage in large scale asset purchases. The combination of conventional and unconventional policy...
Persistent link: https://www.econbiz.de/10013005618
This paper develops a financial mechanism which integrates housing and the real economy through housing-secured debt. In this environment, movements in home prices are amplified through both borrowers and banks' balance sheets, leading to a self-reinforcing credit/liquidity crunch. When placed...
Persistent link: https://www.econbiz.de/10013043408
Although a growing literature argues output is too sensitive to future interest rates in standard macroeconomic models, little empirical evidence has been put forth to evaluate this claim. In this paper, we use a range of vector autoregression models to answer the central question of how much...
Persistent link: https://www.econbiz.de/10014098563
This paper studies the transmission of Federal Reserve communication to financial markets and the economy using new measures of the term structure of policy rate uncertainty. Movements in the term structure of interest rate uncertainty around FOMC announcements cannot be summarized by a single...
Persistent link: https://www.econbiz.de/10013298071
This paper studies the transmission of Federal Reserve communication to financial markets and the economy using new measures of the term structure of policy rate uncertainty. Movements in the term structure of interest rate uncertainty around FOMC announcements cannot be summarized by a single...
Persistent link: https://www.econbiz.de/10014256932