Similar Search Results

Monetary policy and bank equity values in a time of low and negative interest rates

Ampudia, Miguel; Heuvel, Skander van den - 2019

Does banks' exposure to interest rate risk change when interest rates are very low or even negative? Using a high-frequency event study methodology and intraday data, we find that the effect of surprise interest rate cuts announced by the ECB on European bank equity values - an effect that is...

Persistent link: https://www.econbiz.de/10012182094

How "unconventional" are large-scale asset purchases? : the impact of monetary policy on asset prices

Rosa, Carlo - 2012

This paper examines the impact of large-scale asset purchases (LSAP) on U.S. asset prices (nominal and inflation-indexed bonds, stocks, and U.S. dollar spot exchange rates) using an event study with intraday data. The surprise component of LSAP announcements is identified from Financial Times...

Persistent link: https://www.econbiz.de/10009535813

Expectations Formation and the Effectiveness of Strategies for Limiting the Consequences of the Zero Bound on Interest Rates

Reifschneider, David; Roberts, John M. - 2006

We use simulations of the Federal Reserve's FRB/US model to examine the efficacy of a number of proposals for reducing the consequences of the zero bound on nominal interest rates. Among the proposals are: a more aggressive monetary policy; promises to make up any shortfall in monetary ease...

Persistent link: https://www.econbiz.de/10014060193

Announcement-specific decompositions of unconventional monetary policy shocks and their macroeconomic effects

Lewis, Daniel J. - 2019

I propose to identify announcement-specific decompositions of asset price changes into monetary policy shocks based on intraday time-varying volatility. This approach is the first to accommodate changes in both the nature of shocks and the state of the economy across announcements. I compute...

Persistent link: https://www.econbiz.de/10012022250

"Unconventional" monetary policy as conventional monetary policy : a perspective from the U.S. in the 1920s

Carlson, Mark; Duygan-Bump, Burcu - 2018

market operations in both government securities and private money market securities, sometimes in fairly considerable amounts …. We show how the Fed was able to effectively use these tools to influence conditions in money markets, even those in which … it was not an active participant. Moreover, our results suggest that the transmission of monetary policy to money markets …

Persistent link: https://www.econbiz.de/10011927094

Bank liquidity, interbank markets, and monetary policy

Freixas, Xavier; Martin, Antoine; Skeie, David - 2009

A major lesson of the recent financial crisis is that the interbank lending market is crucial for banks that face uncertainty regarding their liquidity needs. This paper examines the efficiency of the interbank lending market in allocating funds and the optimal policy of a central bank in...

Persistent link: https://www.econbiz.de/10003864510

Large-scale asset purchases by the Federal Reserve : did they work?

Gagnon, Joseph E.; Raskin, Matthew; Remache, Julie; … - 2010

Since December 2008, the Federal Reserve’s traditional policy instrument, the target federal funds rate, has been effectively at its lower bound of zero. In order to further ease the stance of monetary policy as the economic outlook deteriorated, the Federal Reserve purchased substantial...

Persistent link: https://www.econbiz.de/10003948813

The macroeconomic effects of large-scale asset purchase programs

Chen, Han; Cúrdia, Vasco; Ferrero, Andrea - 2011

The effects of asset purchase programs on macroeconomic variables are likely to be moderate. We reach this conclusion after simulating the impact of the Federal Reserve's second large-scale asset purchase program (LSAP II) in a DSGE model enriched with a preferred habitat framework and estimated...

Persistent link: https://www.econbiz.de/10009411402

Macroeconomic Effects of Capital Tax Rate Changes

Bhattarai, Saroj; Lee, Jae Won; Park, Woong Yong; Yang, … - 2022

We study aggregate, distributional, and welfare effects of a permanent reduction in the capital tax rate in a quantitative model with capital-skill complementarity and household heterogeneity. Such a tax reform leads to expansionary long-run aggregate output and investment effects, but those are...

Persistent link: https://www.econbiz.de/10014083466

The Federal Reserve's Large-Scale Asset Purchase Programs : Rationale and Effects

D'Amico, Stefania - 2013

We provide empirical estimates of the effect of large-scale asset purchase (LSAP)-style operations on longer-term U.S. Treasury yields within a framework that nests the alternative theoretical perspectives on LSAPs. As the principal channels through which LSAPs might matter for longer-term...

Persistent link: https://www.econbiz.de/10013088919