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The final countdown : the effect of monetary policy during "Wait-for-It" and reversal periods

Ozdagli, Ali - 2015

After a long period of loose monetary policy triggered by the Great Recession, some central banks are signaling that they will raise their policy rates soon. Previous research, for example, Bernanke and Kuttner (2005) and Ozdagli (2014), has shown that asset prices react more strongly to...

Persistent link: https://www.econbiz.de/10011430948

Monetary Uncertainty as a Determinant of the Response of Stock Market to Macroeconomic News

Pinchuk, Mykola - 2022

time-varying and is weaker during periods of high monetary uncertainty. I decompose this response into cash flow and risk … 23 bps per 1\% of monetary uncertainty from the risk-free rate channel. The risk-free rate channel is time-varying and is …

Persistent link: https://www.econbiz.de/10014235404

When Does the Fed Care About Stock Prices?

Kurov, Alexander - 2019

We use a predictable change in the intraday volatility of index futures to identify the effect of stock returns on monetary policy. This identification approach relies on a weaker set of assumptions than required under identification through heteroskedasticity based on lower frequency data. Our...

Persistent link: https://www.econbiz.de/10012898434

Rules and discretion in monetary policy : is the response of the stock market rational?

Marinescu, Ion-Iulian; Horobeṭ, Alexandra - In: Expert journal of economics 3 (2015) 1, pp. 50-62

We investigate the effects of the monetary policy conduct on the domestic capital market for a sample of developed countries where the capital market plays a significant role in the economy. We break down the policy rate innovations in rules-based and discretionary components in order to...

Persistent link: https://www.econbiz.de/10012062271

The macroeconomic effects of forward communication

Brubakk, Leif; Ellen, Saskia ter; Robstad, Ørjan; Xu, Hong - 2019

This paper provides an empirical assessment of the power of forward guidance at different horizons, shedding new light on the strength of the "forward guidance puzzle". Our identification strategy allows us to disentangle the change in future interest rates stemming from deviations from the...

Persistent link: https://www.econbiz.de/10012214409

On the macroeconomic effects of reinvestments in asset purchase programmes

Gerke, Rafael; Kienzler, Daniel; Scheer, Alexander - 2022

A feature of recent monetary policy asset purchase programmes is the reinvestment policy: the central bank announces to keep the overall volume of assets on its balance sheet constant for some time. In this paper, we systematically assess the macroeconomic effects of such reinvestment policies....

Persistent link: https://www.econbiz.de/10013460153

Asset Price Reactions to News at the Zero Lower Bound

Zhou, John - 2015

into an interest rate news term that is directly related to interest rates' reaction to MNAs and a cash flow plus risk …. The data furthermore suggests that the expected duration of the ZLB decreases the magnitude of the cash flow plus risk …

Persistent link: https://www.econbiz.de/10013033476

The Effects of Monetary Policy Announcements at the Zero Lower Bound

Arai, Natsuki - 2017

This paper investigates the effects of monetary policy announcements at the zero lower bound using Japanese data from 1998 to 2013. I find that the effect of expansionary monetary policy shocks is directly passed on to corporate bond yields, notably for high-grade corporate bond yields. However,...

Persistent link: https://www.econbiz.de/10012968222

Systemic risk : a new trade-off for monetary policy?

Laséen, Stefan; Pescatori, Andrea; Turunen, Jarkko - 2017

We introduce time-varying systemic risk (à la He and Krishnamurthy, 2014) in an otherwise standard New-Keynesian model … to study whether simple leaning-against-the-wind interest rate rules can reduce systemic risk and improve welfare. We … requirement, can eliminate systemic risk raising welfare by about 1.5%. Also, a surprise monetary policy tightening does not …

Persistent link: https://www.econbiz.de/10011713865

Monetary policy surprises and exchange rate behavior

Gürkaynak, Refet S.; Kara, Ali Hakan; Kısacıkoğlu, … - 2020

Central banks unexpectedly tightening policy rates often observe the exchange value of their currency depreciate, rather than appreciate as predicted by standard models. We document this for Fed and ECB policy days using event studies and ask whether an information effect, where the public...

Persistent link: https://www.econbiz.de/10012285739