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The shortage of safe assets in the US investment portfolio : some international evidence

Huber, Florian; Punzi, Maria Teresa - 2017

Persistent link: https://www.econbiz.de/10011632590

Mind the gap in sovereign debt markets : the U.S. Treasury basis and the Dollar risk factor

Krishnamurthy, Arvind; Lustig, Hanno - 2019

The U.S. dollar exchange rate clears the global market for dollar-denominated safe assets. We find that shifts in the demand and supply of safe dollar assets are important drivers of variation in the dollar exchange rate, bond yields, and other global financial variables. An increase in the...

Persistent link: https://www.econbiz.de/10012244483

Global imbalances and policy wars at the zero lower bound

Caballero, Ricardo J.; Farhi, Emmanuel; Gourinchas, … - In: The review of economic studies : RES 88 (2021) 6, pp. 2570-2621

Persistent link: https://www.econbiz.de/10012694457

Dollar trinity and the global financial cycle

Georgiadis, Georgios; Müller, Gernot J.; Schumann, Ben - 2023

We develop a two-country business-cycle model of the US and the rest of the world with dollar dominance in trade … conditions tighten, the world business cycle slows down, and emerging-market central banks face a trade-off between mitigating … of the Global Financial Cycle to the world economy. …

Persistent link: https://www.econbiz.de/10014438347

Forecast accuracy of a BVAR under alternative specifications of the zero lower bound

Berg, Tim Oliver - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 21 (2017) 2, pp. 1-29

Persistent link: https://www.econbiz.de/10011705718

Are there differences in the effectiveness of quantitative easing in Japan over time?

Michaelis, Henrike; Watzka, Sebastian - 2014

Using a time-varying parameter vector autoregression (TVP-VAR) with a new sign restriction framework, we study the changing effectiveness of the Bank of Japan's Quantitative Easing policies over time. We analyse the Zero-Interest Rate Policy from 1999 to 2000, the Quantitative Easing Policy from...

Persistent link: https://www.econbiz.de/10010396034

Are there differences in the effectiveness of quantitative easing at the zero-lower-bound in Japan over time?

Michaelis, Henrike; Watzka, Sebastian - 2014

Persistent link: https://www.econbiz.de/10010383204

Identifying conventional and unconventional monetary policy shocks : a latent threshold approach

Kimura, Takeshi; Nakajima, Jouchi - In: The B.E. journal of macroeconomics 16 (2016) 1, pp. 277-300

Persistent link: https://www.econbiz.de/10011508988

Impulse response analysis at the zero lower bound

Benati, Luca; Lubik, Thomas A. - 2023

We study whether the response of the economy to structural shocks changes at the zero lower bound. Monte Carlo evidence suggests that VARs have a limited ability to detect changes in impulse response functions at the ZLB compared to the standard environment with positive interest rates. This...

Persistent link: https://www.econbiz.de/10014307838

Low interest rate policy and the use of reserve requirements in emerging markets

Hoffmann, Andreas; Loeffler, Axel - 2013

The paper attempts to shed light on the link between monetary policy in large economies with international currencies (the United States and the euro area) and the use of reserve requirements in emerging markets. Using reserve requirement data for 28 emerging markets from 1998 to 2012 we provide...

Persistent link: https://www.econbiz.de/10009747303

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