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Quantifying "quantitative tightening" (QT): How many rate hikes is QT equivalent to?

Wei, Bin - 2022

How many interest rate hikes is quantitative tightening (QT) equivalent to? In this paper, I examine this question based on the preferred-habitat model in Vayanos and Vila (2021). I define the equivalence between rate hikes and QT such that they both have the same impact on the 10-year yield....

Persistent link: https://www.econbiz.de/10014278183

Open-ended treasury purchases: From market functioning to financial easing

D'Amico, Stefania; Gillet, Max; Schulhofer-Wohl, Sam; … - 2024

We exploit the Fed's Treasury purchases conducted from March 2020 to March 2022 to assess whether asset purchases can be tailored to accomplish different objectives: restoring market functioning and providing stimulus. We find that, on average, flow effects are significant in the...

Persistent link: https://www.econbiz.de/10014581893

A portfolio-balance approach to the nominal term structure

King, Thomas B. - 2013

Explanations of why changes in the relative quantities of safe debt seem to affect asset prices often appeal informally to a portfolio balance mechanism. I show how this type of effect can be incorporated in a general class of structural, arbitrage-free asset-pricing models using a numerical...

Persistent link: https://www.econbiz.de/10010352163

The European Central Bank and why things are the way they are: A historic monetary policy pivot point and moment of (relative) clarity

Dubois, Robert - 2012

struggling to escape liquidity quicksands and stubbornly low or negative growth and employment trends. At the center of the … monetary policy pivot point. Since November 2011, the ECB has taken on an arguably activist liquidity-provider role relative to … integration. In December 2011, the ECB made clear its intention to inject massive liquidity when faced with crises of scale in …

Persistent link: https://www.econbiz.de/10010286538

Simple Rules Versus Optimal Policy: What Fits?

Bache, Ida Wolden; Brubakk, Leif; Maih, Junior - 2010

We estimate a small open-economy DSGE model for Norway with two specifications of monetary policy: a simple instrument rule and optimal policy based on an intertemporal loss function. The empirical fit of the model with optimal policy is as good as the model with a simple rule. This result is...

Persistent link: https://www.econbiz.de/10012143737

Managing Beliefs about Monetary Policy under Discretion

Mertens, Elmar - 2008

Monetary policy is most effective when public beliefs about future policies are actively managed. This is the appeal of policy rules and commitment strategies, typically absent under discretion. But when a policymaker has some private information - as is the case in reality - belief management...

Persistent link: https://www.econbiz.de/10011430072

When Does an Interest Rate Path "Look Good"? Criteria for an Appropriate Future Interest Rate Path

Qvigstad, Jan F. - 2006

Svensson (2004) suggested that a monetary policy committee of a central bank (MPC) should "find an instrument-rate path such that projections of inflation and output gap 'look good'." Academic literature on monetary policy gives guidance as to what the words "look good" means. However, there is...

Persistent link: https://www.econbiz.de/10012143657

Communicating Monetary Policy Intentions: The Case of Norges Bank

Holmsen, Amund; Qvigstad, Jan F.; Røisland, Øistein; … - 2008

Monetary policy works mainly through private agents' expectations. How precisely future policy intentions are communicated has, according to theory, implications for the outcome of monetary policy. Norges Bank has gone further than most other central banks in communicating its policy intentions....

Persistent link: https://www.econbiz.de/10012143700

Revealing the Preferences of the US Federal Reserve

Ilbas, Pelin - 2008

We use Bayesian methods to estimate the preferences of the US Federal Reserve by assuming that monetary policy is performed optimally under commitment since the mid-sixties. For this purpose, we distinguish between three subperiods, i.e. the pre-Volcker, the Volcker-Greenspan and the Greenspan...

Persistent link: https://www.econbiz.de/10012143701

The Influence of the Taylor Rule on US Monetary Policy

Ilbas, Pelin; Røisland, Øistein; Sveen, Tommy - 2013

We analyze the influence of the Taylor rule on US monetary policy by estimating the policy preferences of the Fed within a DSGE framework. The policy preferences are represented by a standard loss function, extended with a term that represents the degree of reluctance to letting the interest...

Persistent link: https://www.econbiz.de/10012143816