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International financial transmission of the Fed's monetary policy
Mirkov, Nikola - In: International journal of economic sciences and applied … 7 (2014) 2, pp. 7-49
This paper proposes a way to study the transmission mechanism of the US monetary policy to foreign yield curves. It elaborates the high-frequency identification of monetary policy shocks from (Piazzesi, 2005) in an international setting. The shocks are extracted from a two-country term structure...
Persistent link: https://www.econbiz.de/10010459782
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Asset-liability management with ultra-low interest rates
Grossman, Richard S.; Molyneux, Philip; Lambert, Frederic; … - Conference on Asset-Liability Management with Ultra-Low …; … - 2015
On 11 March 2015, SUERF jointly organised a conference with the Oesterreichische Nationalbank and the Austrian Society for Bank Research (Bankwissenschaftliche Gesellschaft - BWG). The present SUERF Study 2015/2 includes a selection of papers based on the authors' contributions to the Vienna...
Persistent link: https://www.econbiz.de/10011413495
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The Effect of Monetary Policy on Credit Spreads
Cenesizoglu, Tolga - 2014
the business cycle. We use futures contracts to distinguish between expected and unexpected changes in the Fed funds …) with respect to those with high credit ratings following an unexpected increase (decrease) in the Fed funds target rate …
Persistent link: https://www.econbiz.de/10013070170
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Does the Fed Control Interest Rates?
Fama, Eugene F. - 2020
My paper, “Does the Fed control interest rates?” is in the 2013 Review of Asset Pricing Studies (Volume 3, pp. 180 …-199). The paper finds that the Fed controls the Federal Funds (FF) rate (the overnight rate on interbank borrowing of reserves …
Persistent link: https://www.econbiz.de/10012857232
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Monetary policy disconnect
Ballensiefen, Benedikt; Ranaldo, Angelo; Winterberg, Hannah - 2020 - This version: December 11, 2020
Although designed to support monetary policy, two crucial aspects of the central bank framework can disconnect the monetary policy transmission: banks' access to central bank deposits and Quantitative Easing (QE). We show how both hinder the monetary policy transmission through the main...
Persistent link: https://www.econbiz.de/10012387237
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Quantitative easing in the euro area : an event study approach
Urbschat, Florian; Watzka, Sebastian - 2017
We examine the effects of the Asset Purchase Programme (APP) gradually introduced by the European Central Bank from September 2014 onwards. Studying the short-term reaction of financial markets after APP press releases, we analyse the development of bond yields and spreads around these releases....
Persistent link: https://www.econbiz.de/10011743065
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Asset purchase programmes and financial markets: lessons from the euro area
Altavilla, Carlo; Carboni, Giacomo; Motto, Roberto - 2015
We evaluate the effects on asset prices of the ECB asset purchase programme (APP) announced in January 2015 and assess its main transmission channels. We do so by first extending a term structure model with bond supply effects to account for assets with different types of risk premia. We then...
Persistent link: https://www.econbiz.de/10011605909
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Quantitative easing in the Euro Area
Urbschat, Florian; Watzka, Sebastian - 2017
We examine the effects of the Asset Purchase Programme (APP) gradually introduced by the European Central Bank from September 2014 onwards. Studying the short-term reaction of financial markets after APP press releases, we analyse the development of bond yields and spreads around these releases....
Persistent link: https://www.econbiz.de/10011662696
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The Impact of Primary Bond Dealers' Maturity Choice on Repo Market Interest Rates
Sokolov, Vladimir - 2011
rates relative to overnight repo rates. Using NY Fed data, I construct a factor measuring primary dealers' net financing in … inclusion of a number of control variables, such as the Cochrane-Piazzesi factor, change in fed funds futures prices and a … factor measuring dealers' overbidding at Fed's repo auctions …
Persistent link: https://www.econbiz.de/10013128343
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The Impact of Maturity Financing Choices Made by Primary Bond Dealers on Repo Market Rates
Sokolov, Vladimir - 2011
rates relative to overnight rates. Using NY Fed data, I construct a factor measuring primary dealers' net financing in the …-Piazzesi factor, change in fed funds futures prices and a measure of dealers' overbidding at Fed's repo auctions …
Persistent link: https://www.econbiz.de/10013120483