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The costs and benefits of liquidity regulations : lessons from an idle monetary policy tool

Curfman, Christopher J.; Kandrac, John - 2019

We investigate how liquidity regulations affect banks by examining a dormant monetary policy tool that functions as a liquidity regulation. Our identification strategy uses a regression kink design that relies on the variation in a marginal high-quality liquid asset (HQLA) requirement around an...

Persistent link: https://www.econbiz.de/10012181216

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

The regulatory and monetary policy nexus in the repo market

Anbil, Sriya; Senyuz, Zeynep - 2018

intensified European dealers' window-dressing by 80%. Money funds eligible to use the Fed's reverse repo (RRP) facility cut their … private lending almost by half and instead lent to the Fed when European dealers withdraw, contributing to smooth …

Persistent link: https://www.econbiz.de/10011927168

Effects of changing monetary and regulatory policy on overnight money markets

Klee, Elizabeth; Senyuz, Zeynep; Yoldas, Emre - 2016

Money markets have been operating under a new monetary policy implementation framework since the Federal Reserve started paying interest on bank reserves in late 2008. The regulatory environment has also evolved substantially over this period. We develop and test hypotheses regarding the effects...

Persistent link: https://www.econbiz.de/10011578771

Macroeconomic implications of oil price fluctuations : a regime-switching framework for the euro area

Holm-Hadulla, Fédéric; Hubrich, Kirstin - 2017

We investigate whether the response of the macro-economy to oil price shocks undergoes episodic changes. Employing a regime-switching vector autoregressive model we identify two regimes that are characterized by qualitatively different patterns in economic activity and inflation following oil...

Persistent link: https://www.econbiz.de/10011709632

Measuring the Natural Rate of Interest : A Note on Transitory Shocks

Lewis, Kurt F. - 2020

We present evidence that the natural rate of interest is buffeted by both permanent and transitory shocks. We establish this result by estimating a benchmark model with Bayesian methods and loose priors on the unobserved drivers of the natural rate. When subject to transitory shocks, the median...

Persistent link: https://www.econbiz.de/10012854228

Forward guidance with Bayesian learning and estimation

Gust, Christopher J.; Herbst, Edward P.; López-Salido, … - 2018

Considerable attention has been devoted to evaluating the macroeconomic effectiveness of the Federal Reserve's communications about future policy rates (forward guidance) in light of the U.S. economy's long spell at the zero lower bound (ZLB). In this paper, we study whether forward guidance...

Persistent link: https://www.econbiz.de/10012016381

Measuring the Natural Rate of Interest : International Trends and Determinants

Holston, Kathryn - 2016

U.S. estimates of the natural rate of interest – the real short-term interest rate that would prevail absent transitory disturbances – have declined dramatically since the start of the global financial crisis. For example, estimates using the Laubach-Williams (2003) model indicate the...

Persistent link: https://www.econbiz.de/10013210446

Price Level Risk and Some Long-Run Implications of Alternative Monetary Policy Strategies

Clouse, James A. - 2020

This note focuses on the longer-run implications of alternative monetary policy strategies for the evolution of the price level. The analysis compares the properties of optimal policy in regimes ranging from pure inflation targeting (IT), to a form of weighted-average inflation targeting (WAIT),...

Persistent link: https://www.econbiz.de/10014048722

Let'S Close the Gap : Revising Teaching Materials to Reflect How the Federal Reserve Implements Monetary Policy

Ihrig, Jane; Wolla, Scott - 2020

The topic of the Federal Reserve’s (the Fed’s) implementation of monetary policy has a significant presence in … it is the implementation framework that helps ensure that the Fed’s desired level of its policy interest rate is … price stability. Over the past decade or so, the Fed has purposefully shifted the way it implements monetary policy to an …

Persistent link: https://www.econbiz.de/10014048728