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The interest rate effects of government bond purchases away from the lower bound

De Rezende, Rafael B. - In: Journal of international money and finance 74 (2017), pp. 165-186

Persistent link: https://www.econbiz.de/10011787934

Monetary policy surprises and their transmission through term premia and expected interest rates

Kaminska, Iryna; Mumtaz, Haroon; Šustek, Roman - 2020

Monetary policy moves the yield curve. How much is due to expected interest rates vs. term premia? And does it matter for macroeconomic outcomes? Using an affine term structure model, we shed new light on these questions. Estimation is subject to restrictions addressing an estimation bias in...

Persistent link: https://www.econbiz.de/10012316011

Global Financial Cycles and Risk Premiums

Jordà, Òscar - 2018

This paper studies the synchronization of financial cycles across 17 advanced economies over the past 150 years. The comovement in credit, house prices, and equity prices has reached historical highs in the past three decades. The sharp increase in the comovement of global equity markets is...

Persistent link: https://www.econbiz.de/10012453043

A preferred-habitat model of term premia, exchange rates, and monetary policy spillovers

Gourinchas, Pierre-Olivier; Ray, Walker; Vayanos, Dimitri - 2023

Persistent link: https://www.econbiz.de/10014247077

The effects of the bank of Japan's corporate and government bond purchases on credit spreads

Suganuma, Kenji; Ueno, Yoichi - 2018

Persistent link: https://www.econbiz.de/10013445664

Credit risk and the transmission of interest rate shocks

Palazzo, Berardino; Yamarthy, Ram - In: Journal of monetary economics 130 (2022), pp. 120-136

Persistent link: https://www.econbiz.de/10013396267

Monetary Policy Transmission During QE Times : Role of Expectations and Term Premia Channels

Kaminska, Iryna; Mumtaz, Haroon - 2022

This paper studies monetary policy transmission mechanisms during QE. Using high frequency yield curve event studies of monetary policy announcements in combination with a dynamic term structure model, we can identify four types of monetary policy surprises: action, signalling (working through...

Persistent link: https://www.econbiz.de/10013405689

The role of liquidity in monetary policy transmission : evidence from Indian banks

Ansari, Md. Gyasuddin; Sensarma, Rudra - In: Scottish journal of political economy : the journal of … 70 (2023) 5, pp. 439-458

Persistent link: https://www.econbiz.de/10014437274

What are the Real Effects of Financial Market Liquidity? Evidence on Bank Lending from the Euro Area

Dombret, Andreas - 2019

We analyze the impact of market liquidity on bank lending in the euro area for different segments over the period 2003 … to 2016. Our results on the aggregate level show that market liquidity is positively related to loan volumes and … liquidity has an asymmetric effect on bank lending: The negative impact of a reduction in liquidity is more significant than the …

Persistent link: https://www.econbiz.de/10012898118

The transmission of liquidity shocks via China's segmented money market : evidence from recent market events

Lu, Ruoxi; Bessler, David A.; Leatham, David J. - In: Journal of international financial markets, … 57 (2018), pp. 110-126

Persistent link: https://www.econbiz.de/10012127609