The paper employs on individual bank data with aim to analyse interest rate pass-through from money market rates to banks’ deposits and lending rates. In the first step, the speed and completeness of interest rate adjustment is assessed. As the sample covers period prior to and after the...

This paper investigates how monetary policy can help to avoid the liquidity trap by studying the experience of Japan. First, I analyze how the Bank of Japan conducted interest rate policy over the 1990s as the economy entered a deflationary slump. I use a new method of estimating the policy rule...

In this paper we employ a time series econometric framework to explore the structural determinants of the spread between the euro overnight rate and the ECB?s policy rate (EONIA spread) aiming to explain the widening of the EONIA spread in the period from mid-2004 to mid-2006. We mainly estimate...

This paper investigates how the implementation of monetary policy affects the dynamics and the volatility of the federal funds rate. Since the early 1980s, the most important changes in the Fed?s conduct of monetary policy refer to the role of the federal funds rate target and the reserve...

Global excess liquidity roaming the world’s financial markets (or its sudden absence) is sometimes believed to limit sovereign monetary policy even in large economies such as the euro area. However, there is still discussion about what constitutes global excess liquidity and how exactly it...

Controllability of longer-term interest rates requires that the persistence of their deviations from the central bank's policy rate (i.e. the policy spreads) remains sufficiently low. This paper applies fractional integration techniques to assess the persistence of policy spreads of euro area...

Academic literature on foreign exchange market intervention in emerging market countries has grown in recent years. Until now, existing studies have ignored the possible feature of time varying motives and impact effects for/of interventions as well as the relationship to underlying economic and...

Overnight money market rates are the predominant operational target of monetary policy. As a consequence, central banks have redesigned the implementation of monetary policy to keep the deviations of the overnight rate from the key policy rate small and short-lived. This paper uses fractional...

Well-anchored inflation expectations have become a key indicator for the credibility of a central bank's inflation target. Since the outbreak of the recent financial crisis, the existence and the degree of de-anchoring of U.S. inflation expectations have been under debate. This paper introduces...