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The VARying effect of foreign shocks in Central and Eastern Europe

Jiménez-Rodríguez, Rebeca; Morales Zumaquero, Amalia; … - 2010

This paper investigates the impact of international shocks - interest rate, commodity price and industrial production shocks - on key macroeconomic variables in ten Central and Eastern European (CEE) countries by using near-VAR models and monthly data from the early 1990s to 2009. In contrast to...

Persistent link: https://www.econbiz.de/10003974654

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

Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound

Wu, Jing Cynthia - 2015

This paper employs an approximation that makes a nonlinear term structure model extremely tractable for analysis of an economy operating near the zero lower bound for interest rates. We show that such a model offers an excellent description of the data compared to the benchmark model and can be...

Persistent link: https://www.econbiz.de/10013035103

Quantitative easing and long-term yields in small open economies

Díez de los Ríos, Antonio; Shamloo, Maral - 2017

We compare the Federal Reserve's asset purchase programs with those implemented by the Bank of England and the Swedish Riksbank, and the Swiss National Bank’s reserve expansion program. We decompose government bond yields into (i) an expectations component, (ii) a global term premium and (iii)...

Persistent link: https://www.econbiz.de/10011684923

The power of helicopter money revisited : a new Keynesian perspective

Carter, Thomas J.; Mendes, Rhys R. - 2020

We analyze money financing of fiscal transfers (helicopter money) in two simple New Keynesian models: a "textbook" model in which all money is non-interest-bearing (e.g., all money is currency), and a more realistic model with interest-bearing reserves. In the textbook model with only...

Persistent link: https://www.econbiz.de/10012159954

A Survey on Time-Varying Parameter Taylor Rule : A Model Modified with Interest Rate Pass-Through

Yüksel, Ebru - 2015

modification is made in the monetary transmission mechanism of Taylor-type monetary policy models to account for the changing risk … transmission process in a general equilibrium model to account for the varying perceptions of risk by individuals. We include an … application for Turkey and estimate the time-variable parameters of the model by employing a structural extended Kalman filter …

Persistent link: https://www.econbiz.de/10013027509

Monetary policy disconnect

Ballensiefen, Benedikt; Ranaldo, Angelo; Winterberg, Hannah - 2020 - This version: December 11, 2020

Although designed to support monetary policy, two crucial aspects of the central bank framework can disconnect the monetary policy transmission: banks' access to central bank deposits and Quantitative Easing (QE). We show how both hinder the monetary policy transmission through the main...

Persistent link: https://www.econbiz.de/10012387237

Market-Implemented Monetary Policy with Open Mouth Operations

Wright, Julian; Guthrie, Graeme - 1998

are drawn for research in other areas, in particular the news approach to exchange rate modeling, the expectations theory …

Persistent link: https://www.econbiz.de/10014064148

Effect of monetary policy rate on market interest rates in Nigeria : a threshold and NARDL approach

Awopegba, Oluwafemi E.; Afolabi, Joseph O.; Adeoye, Lydia T. - In: CBN journal of applied statistics 13 (2022) 1, pp. 93-121

This study examines the effect of monetary policy rate (MPR) on market interest rates in Nigeria. For parsimony, we develop two indexes called the short-term in- terest rate (SINT) and Lending interest rate (LINT) to represent deposit and lending rates respectively. The nonlinear autoregressive...

Persistent link: https://www.econbiz.de/10014282073

Interest rate expectations and uncertainty during ECB governing council days : evidence from intraday implied densities of 3-month Euribor

Vergote, Olivier; Puigvert Gutiérrez, Josep Maria - 2011

. For this purpose, it first extends the estimation of risk-neutral probability density functions up to tick frequency. In …This paper analyses changes in short-term interest rate expectations and uncertainty during ECB Governing Council days … triggering an adjustment process for interest rate expectations. - Risk-neutral probability density functions ; option …

Persistent link: https://www.econbiz.de/10009380949