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Monetary Transmission Through Bank Securities Portfolios

Greenwald, Daniel; Krainer, John; Paul, Pascal - National Bureau of Economic Research - 2024

We study the transmission of monetary policy through bank securities portfolios using granular supervisory data on U.S. bank securities, hedging positions, and corporate credit. Banks that experienced larger losses on their securities during the 2022-2023 monetary tightening cycle extended less...

Persistent link: https://www.econbiz.de/10014544727

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

A Monetary Policy Asset Pricing Model

Caballero, Ricardo J.; Simsek, Alp - National Bureau of Economic Research - 2022

We propose a model where monetary policy is the key determinant of aggregate asset prices (financial conditions). Spending decisions are made by a group of agents ("households") that respond to aggregate asset prices, but with noise, delays, and inertia. Asset pricing is determined by a...

Persistent link: https://www.econbiz.de/10013334351

Sticky Discount Rates

Fukui, Masao; Gormsen, Niels; Huber, Kilian - National Bureau of Economic Research - 2024

We show that firms' nominal required returns to capital (i.e., their discount rates) are sticky with respect to expected inflation. Such nominally sticky discount rates imply that increases in expected inflation directly lower firms' real discount rates and thereby raise real investment. We...

Persistent link: https://www.econbiz.de/10014512092

Central Banks, Stock Markets, and the Real Economy

Caballero, Ricardo J.; Simsek, Alp - National Bureau of Economic Research - 2024

This article summarizes empirical research on the interaction between monetary policy and asset markets, and reviews our previous theoretical work that captures these interactions. We present a concise model in which monetary policy impacts the aggregate asset price, which in turn influences...

Persistent link: https://www.econbiz.de/10014468253

Evaluating Policy Counterfactuals : A VAR-Plus Approach

Caravello, Tomás E.; McKay, Alisdair; Wolf, Christian - National Bureau of Economic Research - 2024

In a rich family of linearized structural macroeconomic models, the counterfactual evolution of the macro-economy under alternative policy rules is pinned down by just two objects: first, reduced-form projections with respect to a large information set; and second, the dynamic causal effects of...

Persistent link: https://www.econbiz.de/10015072929

Managing an Energy Shock : Fiscal and Monetary Policy

Auclert, Adrien; Monnery, Hugo; Rognlie, Matthew; … - National Bureau of Economic Research - 2023

demand. Fiscal policy, especially energy price subsidies, can isolate individual energy importers from the shock, but it has …

Persistent link: https://www.econbiz.de/10014337777

Identifying Monetary Policy Shocks : A Natural Language Approach

Aruoba, S. Borağan; Drechsel, Thomas - National Bureau of Economic Research - 2024

We develop a novel method for the identification of monetary policy shocks. By applying natural language processing techniques to documents that Federal Reserve staff prepare in advance of policy decisions, we capture the Fed's information set. Using machine learning techniques, we then predict...

Persistent link: https://www.econbiz.de/10014544696

Non-Constant Demand Elasticities, Firm Dynamics and Monetary Non-Neutrality : Role of Demand Shocks

Aruoba, S. Borağan; Oue, Eugene; Saffie, Felipe; … - National Bureau of Economic Research - 2024

We develop a simple menu-cost model with non-constant elasticity of demand that features idiosyncratic productivity and demand shocks. The model is calibrated to match firm-level productivity and demand processes estimated from U.S. data. Despite its simplicity, the calibrated model delivers...

Persistent link: https://www.econbiz.de/10014544795

Does Monetary Policy Matter? The Narrative Approach after 35 Years

Romer, Christina; Romer, David - National Bureau of Economic Research - 2023

inflation in the expected directions. Analysis of available policy records suggests that a contractionary monetary shock likely …

Persistent link: https://www.econbiz.de/10014250187