We employ local projections to analyse the responses of Swiss asset prices to scheduled policy decisions of the European Central Bank (ECB) as a case study of ECB policy spillovers to European countries outside the euro area. Focusing on ECB policy shocks that are related to different policy...

This study discusses various types of market-based instruments and tries to find which financial instrument is the best in predicting monetary policy expectations for different time horizons in Turkey. Consistent with the existing literature on this subject, we adopt an approach that comes from...

This study investigates the international spillover effects of US unconventional monetary policy (UMP) - frequently called large-scale asset purchases or quantitative easing (QE) - on advanced and emerging market economies, using structural vector autoregressive models with high-frequency daily...

This paper focuses on the first link of the monetary transmission mechanism - interest rate channel. It forks on two subchannels: credit vein and deposit vein. We will investigate the second one, i.e. the impact of the discount (also key, reference) rate of a central bank on the deposit policy...

The relative success of Inflation Targeting (IT) amidst widespread rising inflation globally is motivating the Central Bank of Nigeria (CBN) to renew its desire for an IT framework. This paper applies the Time-Varying Parameter Structural Vector Autoregression with the Stochastic Volatility...

This paper introduces a major novelty: the empirical estimation of spot intraday yield curves based on tick-by-tick data on the Italian electronic interbank credit market (e-MID). To analyze the consequences of the recent financial crisis, we split the data into four periods, which include...

We propose a model in which sticky expectations concerning shortterm interest rates generate joint predictability patterns in bond and currency markets. Using our calibrated model, we quantify the effect of this channel and find that it largely explains why short rates and yield spreads predict...

This paper examines the predictive ability of the expectations hypothesis of the term structure of interest rates in the BRICS and G7 countries by relating each country’s monthly 3‑month Treasury bill rate to 10‑year government bond rates, from May 2003 to May 2018. The panel ARDL model,...

Until recently, negative nominal interest rates of the central bank were in the sphere of theoretical considerations. In 2009, the Swedish Central Bank was the first to implement a negative interest rate policy (NIRP). Since then, the NIRP has been implemented by the National Bank of Denmark,...

We explore the impact of low and negative monetary policy rates in core world economies on bank lending in four small open economies - Canada, Chile, the Czech Republic and Norway - using confidential bank-level data. Our results show that the impact on lending in these small open economies...