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Uncertainty shocks, monetary policy and long-term interest rates

Amisano, Gianni; Tristani, Oreste - 2019

We study the relationship between monetary policy and long-term rates in a structural, general equilibrium model estimated on both macro and yields data from the United States. Regime shifts in the conditional variance of productivity shocks, or "uncertainty shocks", are an important model...

Persistent link: https://www.econbiz.de/10012018454

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 …

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

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 …, and global factors affecting real interest rates. This paper applies the Laubach-Williams methodology to the United States … GDP growth and natural rates of interest have occurred over the past 25 years in all four economies. These country …

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

Cracking the Conundrum

Backus, David; Wright, Jonathan H. - 2008

From 2004 to 2006, the FOMC raised the target federal funds rate by 4.25 percentage points, yet long-maturity yields and forward rates fell. We consider several possible explanations for this "conundrum." The most likely, in our view, is a fall in the term premium, probably associated with some...

Persistent link: https://www.econbiz.de/10014048054

Are Shadow Rate Models of the Treasury Yield Curve Structurally Stable?

Kim, Don H.; Priebsch, Marcel - 2020

We examine the structural stability of Gaussian shadow rate term structure models of Treasury yields over a period that includes the time during which the U.S. policy rate was at its effective lower bound. After a conceptual discussion of several potential sources of a structural break in the...

Persistent link: https://www.econbiz.de/10014048781

Low Frequency Effects of Macroeconomic News on Government Bond Yields

Altavilla, Carlo - 2017

In this study, we analyze the reaction of the U.S. Treasury bond market to innovations in macroeconomic fundamentals. We identify these innovations based on macroeconomic news, which are defined as differences between the actual releases and market expectations. We find that that macroeconomic...

Persistent link: https://www.econbiz.de/10012972912

Volatility, Money Market Rates, and the Transmission of Monetary Policy

Carpenter, Seth B. - 2011

Central banks typically control an overnight interest rate as their policy tool, and the transmission of monetary … that the expectations hypothesis is more likely to hold the more closely linked the short- and long-term interest rates are …

Persistent link: https://www.econbiz.de/10013124991

Computing Arbitrage-Free Yields in Multi-Factor Gaussian Shadow-Rate Term Structure Models

Priebsch, Marcel - 2013

This paper develops a method to approximate arbitrage-free bond yields within a term structure model in which the short rate follows a Gaussian process censored at zero (a "shadow-rate model" as proposed by Black, 1995). The censoring ensures that model-implied yields are constrained to be...

Persistent link: https://www.econbiz.de/10013073345

Unspanned Macroeconomic Factors in the Yield Curve

Coroneo, Laura - 2014

. These factors are not spanned by the cross-section of yields and are well proxied by economic growth and real interest rates …

Persistent link: https://www.econbiz.de/10013049181

Monetary Policy and Real Borrowing Costs at the Zero Lower Bound

Gilchrist, Simon - 2014

This paper compares the effects of conventional monetary policy on real borrowing costs with those of the unconventional measures employed after the target federal funds rate hit the zero lower bound (ZLB). For the ZLB period, we identify two policy surprises: changes in the 2-year Treasury...

Persistent link: https://www.econbiz.de/10013052890