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The effects of conventional and unconventional monetary policy : identification through the yield curve

Kortela, Tomi; Nelimarkka, Jaakko - 2020

Since the Great Recession, the main evolution in monetary policy has been its attempts to affect the medium and the long-term interest rates with instruments other than the policy rate. Consequently, measuring the stance of monetary policy by a single interest rate becomes problematic. This...

Persistent link: https://www.econbiz.de/10012160681

Monetary policy shocks and peer-to-peer lending in China

Funke, Michael; Li, Xiang; Tsang, Andrew - 2019

This paper studies monetary policy transmission in China's peer-to-peer lending market. Using spectral measures of causality, we explore the impacts of Chinese monetary policy shocks on China's P2P market interest rates and lending amounts. The estimation results indicate significant spectral...

Persistent link: https://www.econbiz.de/10012161128

Exchange rate dynamics and monetary policy : evidence from a non-linear DSGE-VAR approach

Huber, Florian; Rabitsch, Katrin - 2019

In this paper, we reconsider the question how monetary policy influences exchange rate dynamics. To this end, a vector autoregressive (VAR) model is combined with a two-country dynamic stochastic general equilibrium (DSGE) model. Instead of focusing exclusively on how monetary policy shocks...

Persistent link: https://www.econbiz.de/10012118186

(Un)expected monetary policy shocks and term premia

Kliem, Martin; Meyer-Gohde, Alexander - 2019 - This draft: December 9, 2019

The term structure of interest rates is crucial for the transmission of monetary policy to financial markets and the macroeconomy. Disentangling the impact of monetary policy on the components of interest rates, expected short rates and term premia, is essential to under- standing this channel....

Persistent link: https://www.econbiz.de/10012133185

(Un)expected monetary policy shocks and term premia

Kliem, Martin; Meyer-Gohde, Alexander - 2017

We analyze an estimated stochastic general equilibrium model that replicates key macroeconomic and financial stylized facts during the Great Moderation of 1983-2007. Our model predicts a sizeable and volatile nominal term premium - comparable to recent reduced-form empirical estimates - with...

Persistent link: https://www.econbiz.de/10011740263

Ease on the cannons, tighten on the trumpets : geopolitical risk and the transmission of monetary policy shocks

Güntner, Jochen; Henßler, Johannes - 2021

bank balance sheets contract, if geopolitical risk is above its sample median in the quarter or month of the shock. The …

Persistent link: https://www.econbiz.de/10012507165

A fistful of dollars : transmission of global funding shocks to EMs

Kumar, Shekhar Hari; Mathur, Aakriti - 2020

In this paper, we study transmission of global funding shocks to emerging economies (EMs) from the perspective of interbank markets. Money markets enable banks to engage in risk-sharing against liquidity shocks and are sensitive to global funding conditions. Accordingly, we first show that...

Persistent link: https://www.econbiz.de/10012171269

Monetary Policy without Moving Interest Rates : The Fed Non-Yield Shock

Boehm, Christoph E.; Kroner, T. Niklas - National Bureau of Economic Research - 2024

-announcement times. We use a heteroskedasticity-based procedure to estimate a "Fed non-yield shock", which is orthogonal to yield changes … and is identified from excess volatility in the S&P 500 and various dollar exchange rates. A positive non-yield shock …-yield shock is essentially uncorrelated with previous monetary policy shocks and its effects are large in comparison. Its strong …

Persistent link: https://www.econbiz.de/10014576665

The Risk-Taking Channel of Monetary Policy in the Us : Evidence from Corporate Loan Data

Delis, Manthos D. - 2017

To study the presence of a risk-taking channel in the US, we build a comprehensive dataset from the syndicated corporate loan market and measure monetary policy using different measures, most notably Taylor (1993) and Romer and Romer (2004) residuals. We identify a negative relation between...

Persistent link: https://www.econbiz.de/10012950074

Assessing the Effects of a Policy Rate Shock on Market Interest Rates : Interest Rate Pass-Through with a FAVAR Model - The Case of Turkey for the Inflation-Targeting Period

Varlik, Serdar - 2018

positive policy rate shock positively for all periods and have a hump shape for government debt security yields as well as for … all interest rates to the policy shock increase; (iii) the responses to the policy shock of credit interest rates with …

Persistent link: https://www.econbiz.de/10012915255