Exploiting a granular dataset of banks' security holdings I assess the impact of unconventional monetary policy on bank lending and security holdings. Using a difference-in-differences regression setup and holding the security composition of each bank constant at its level in January 2014, well...

This paper studies the impact of unconventional monetary policy on bank lending and security holdings. I exploit granular security register data and use a difference - in-differences regression setup to provide evidence for the presence of a yield-induced portfolio rebalancing channel: Banks...

Using an agent-based model, we investigate how monetary policy affects banks' risk-taking in terms of the profile of their lending to real sector firms.Our agent-based model considers five types of agents: banks, depositors, the Central Bank, firms, and the clearinghouse. While banks and...

Using an agent-based model, we investigate how monetary policy affects banks' risk-taking in terms of the profile of their lending to real sector firms. Our agent-based model considers five types of agents: banks, depositors, the Central Bank, firms, and the clearinghouse. While banks and...

The Japanese zero-interest rate period provides a “natural experiment” for investigating the effectiveness and transmission channels of sterilized intervention when traditional monetary policy options are constrained. This paper takes advantage of the fact that all interventions in the...

Often, investors fully hedge their portfolios for currency risk. This can lead to significant drag in performance for currencies with negative carry. However, not hedging the foreign currency exposure can lead to significant drawdowns, especially for conservative investments. In this paper, we...

This paper provides an empirical investigation of transmission channels of central bank foreign exchange intervention when interest rates are zero and traditional monetary policy options are constrained. The paper develops empirically testable hypotheses regarding the functioning of the...