Following the latest subprime crisis, central banks introduced several unconventional instruments which had spillover effects on foreign exchange rates. The aim of our paper is to explore whether the use of zero lower bound (ZLB) and unconventional instruments has an impact on the changes in...

The transmission mechanism has been dominated by direct monetary measures since the crisis of 2008. While the indirect impacts of the unconventional monetary instruments have not been fully explored yet. Monetary policy and funding conditions determine pricing sentiments for bond, stock and...

The transmission mechanism has been dominated by direct monetary measures since the crisis of 2008. While the indirect impacts of the unconventional monetary instruments have not been fully explored yet. Monetary policy and funding conditions determine pricing sentiments for bond, stock and...

Did the Eurosystem's quantitative easing from 2015 to 2018 have differential effects regarding the bank lending volume to different institutional sectors, industry sectors, or types of loans? To investigate this question, this paper employs linked microdata of the German banking system. These...

Did the Eurosystem's quantitative easing from 2015 to 2018 have differential effects regarding the bank lending volume to different institutional sectors, industry sectors, or types of loans? To investigate this question, this paper employs linked microdata of the German banking system. These...

We propose a shadow rate that measures the expansionary (contractionary) interest rate effects of unconventional monetary policies that are present when the lower bound is not binding. Using daily yield curve data we estimate shadow rates for the US, Sweden, the euro-area and the UK, and find...

The paper analyzes the experience with unconventional measures to cope with the Zero Lower Bound. It argues that forward guidance and quantitative easing are the natural extension of optimal monetary policy within the New Keynesian Framework, facing a Lower Bound. Unconventional policy had...

We assess the impact of large-scale asset purchases, commonly known as quantitative easing (QE), conducted by Sveriges Riksbank and the European Central Bank (ECB) on bond risk premia in the Swedish government bond market. Using a novel arbitrage-free dynamic term structure model of nominal and...

When the nominal interest rate reaches the zero lower bound (ZLB), a conventional monetary policy, namely, the adjustment of short-term interest rate, may become impractical and ineffective for central banks. Therefore, quantitative easing (QE) is one of the few available policy options of...

We study monetary policy in a New Keynesian model with a variable credit spread and scope for central bank asset purchases to matter. A novel financial and labor market interaction generates an endogenous cost-push channel in the Phillips curve and a credit wedge in the IS curve. The "divine...