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Rate-amplifying demand and the excess sensitivity of long-term rates
Hanson, Samuel G.; Lucca, David O.; Wright, Jonathan H. - In: The quarterly journal of economics 136 (2021) 3, pp. 1719-1781
Persistent link: https://www.econbiz.de/10012595276
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Large-scale asset purchases by the Federal Reserve : did they work?
Gagnon, Joseph E.; Raskin, Matthew; Remache, Julie; … - 2010
Since December 2008, the Federal Reserve’s traditional policy instrument, the target federal funds rate, has been effectively at its lower bound of zero. In order to further ease the stance of monetary policy as the economic outlook deteriorated, the Federal Reserve purchased substantial...
Persistent link: https://www.econbiz.de/10003948813
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The term structure of policy rules
Smith, Josephine M.; Taylor, John B. - In: Journal of monetary economics 56 (2009) 9, pp. 907-917
Persistent link: https://www.econbiz.de/10003924193
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Time variation in asset price response to macro announcements
Goldberg, Linda S.; Grisse, Christian - 2013
Although the effects of economic news announcements on asset prices are well established, theserelationships are unlikely to be stable. This paper documents the time variation in the responses of yield curves and exchange rates using high-frequency data from January 2000 through August 2011....
Persistent link: https://www.econbiz.de/10009787494
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The Impact of Quantitative Easing on the U.S. Term Structure of Interest Rates
Jarrow, Robert A. - 2012
for the QE program. The duration of the rate impacts increased with maturity up to 7 years then declined, with half … averages of forward rates over a bond's maturity, QE affected long-term bond yields. The average impacts on bond yields were …
Persistent link: https://www.econbiz.de/10013108838
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Assessing the impact of demand shocks on the US term premium
Barnett, Russell; Zmitrowicz, Konrad - 2018
exogenous demand shocks for 10-year US Treasury bonds to assess their impact on the term premium. Our results show that official … sector demand factors, measured by purchases of securities by the foreign official sector and the Federal Reserve's asset … the estimated impact of official sector demand factors is the most robust driver of the term premium across alternative …
Persistent link: https://www.econbiz.de/10011873794
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A Chinese Slowdown and the Nominal Term Structures of the US and German Interest Rates
Maletic, Matjaz - 2018
To measure the global spillovers of a Chinese slowdown on the long-term nominal interest rates in the US/Germany, I model the US/German nominal term structure jointly in the post financial crisis (FC) sample, including the Chinese leading indicator as a new factor. I use an affine term structure...
Persistent link: https://www.econbiz.de/10012913804
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A Monetary Policy Asset Pricing Model
Caballero, Ricardo J.; Simsek, Alp - National Bureau of Economic Research - 2022
to aggregate demand or supply shocks that induce macroeconomic imbalances (as in the late stages of the Covid-19 recovery …
Persistent link: https://www.econbiz.de/10013334351
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Large-scale asset purchases by the Federal Reserve: Did they work?
Gagnon, Joseph; Raskin, Matthew; Remache, Julie; Sack, Brian - 2010
Since December 2008, the Federal Reserve's traditional policy instrument, the target federal funds rate, has been effectively at its lower bound of zero. In order to further ease the stance of monetary policy as the economic outlook deteriorated, the Federal Reserve purchased substantial...
Persistent link: https://www.econbiz.de/10010287156
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Time variation in asset price response to macro announcements
Goldberg, Linda S.; Grisse, Christian - 2013
Although the effects of economic news announcements on asset prices are well established, theserelationships are unlikely to be stable. This paper documents the time variation in the responses of yield curves and exchange rates using high-frequency data from January 2000 through August 2011....
Persistent link: https://www.econbiz.de/10010333621