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The overnight interbank market: Evidence from the G-7 and the euro zone

Prati, Alessandro; Bartolini, Leonardo; Bertola, Giuseppe - 2001

-term interest rates to the operating procedures of the countries' central banks. Previous studies have focused on key features of … results suggest that the empirical features of the day-to-day behavior of short-term interest rates are more strongly …

Persistent link: https://www.econbiz.de/10010283355

Starting from a blank page? : semantic similarity in central bank communication and market volatility

Ehrmann, Michael; Talmi, Jonathan - 2016

Press releases announcing and explaining monetary policy decisions play a critical role in the communication strategy of central banks. Because of their market-moving potential, it is particularly important how they are drafted. Often, central banks start from the previous statement and update...

Persistent link: https://www.econbiz.de/10011517131

FOMC communication and interest rate sensitivity to news

Tang, Jenny - 2017 - This version: October 2017

intensity measures are related to the amount by which interest rates' response to labor-related news exceeds their response to … all other news. This relationship is especially strong for interest rates of longer maturities and is also present for … short-term interest rate expectations over various horizons. …

Persistent link: https://www.econbiz.de/10011764553

Central bank collateral policy and credit pricing : evidence from Finland

Paavola, Aleksi; Voutilainen, Ville - 2024

and thus lower interest rates. For identiftcation, we utilize two unanticipated changes in the collateral framework of the … affected interest rates paid by borrowers. The result contrasts with recent ftndings that imply signiftcant effects of similar …

Persistent link: https://www.econbiz.de/10014580801

Fed transparency and policy expectation errors : a text analysis approach

Fischer, Eric; McCaughrin, Rebecca; Prazad, Saketh; … - 2023

This paper seeks to estimate the extent to which market-implied policy expectations could be improved with further information disclosure from the FOMC. Using text analysis methods based on large language models, we show that if FOMC meeting materials with five-year lagged release dates-like...

Persistent link: https://www.econbiz.de/10014440765

Estimating the portfolio-balance effects of the Bank of Canada's government of Canada Bond Purchase Program

Díez de los Ríos, Antonio - 2024 - Last updated: October 7, 2024

I propose a novel dynamic portfolio-balance model of the yield curve for Government of Canada bonds to evaluate the portfolio-balance effects of the Bank of Canada's Government of Canada Bond Purchase Program. My results suggest that this program, launched on March 27, 2020, in response to the...

Persistent link: https://www.econbiz.de/10015076379

The reception of public signals in financial markets - what if central bank communication becomes stale?

Ehrmann, Michael; Sondermann, David - 2009

-term interest rates to the Bank of England’s inflation report and to macroeconomic announcements. Due to the quarterly frequency at …

Persistent link: https://www.econbiz.de/10011605123

Peer M´monitoring vs. search costs in the interbank market : evidence from payment flow data in Norway

Findreng, Jon - 2021

Bilateral payment flows between banks may provide private information about a borrowing bank's liquidity position. This paper analyses whether private information on the bilateral payment flow of central bank reserves foster peer monitoring or whether the information is used to reduce search...

Persistent link: https://www.econbiz.de/10012544439

Monetary policy implementation in a negative rate environment

Boutros, Michael; Witmer, Jonathan - 2017

Monetary policy implementation could, in theory, be constrained by deeply negative rates since overnight market participants may have an incentive to invest in cash rather than lend to other participants. To understand the functioning of overnight markets in such an environment, we add the...

Persistent link: https://www.econbiz.de/10011673637

CAROs : Climate risk-adjusted refinancing operations

Böser, Florian; Colesanti Senni, Chiara - 2021 - This Version: June 2, 2021

bank are one possible instrument to address this issue. CAROs are characterized by interest rates on reserve loans, which …

Persistent link: https://www.econbiz.de/10012544313

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