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Macroeconomic Policies Interaction & the Symmetry of Financial Markets’ Responses
Nasir, Muhammad Ali - 2017
This concise study analyses the symmetry of financial markets` responses to macroeconomic policy interaction in the United Kingdom. Employing the Vector Auto-regression (VAR) model on monthly data of the British financial sector and macroeconomic policies from January 1985 to August 2008, this...
Persistent link: https://www.econbiz.de/10012953396
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Virtual currencies and their potential impact on financial markets and monetary policy
Dąbrowski, Marek; Janikowski, Lukasz - 2018
Virtual currencies are a contemporary form of private money. Thanks to their technological properties, their global transaction networks are relatively safe, transparent, and fast. This gives them good prospects for further development. However, they remain unlikely to challenge the dominant...
Persistent link: https://www.econbiz.de/10011929341
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An assessment of the Bank of Canada's term PRA facility
Enenajor, Emanuella; Sebastian, Alex; Witmer, Jonathan - 2010
This paper empirically assesses the effectiveness of the Bank of Canada's term Purchase and Resale Agreement (PRA) facility in reducing short-term bank funding pressures, as measured by the CDOR-OIS spread. It examines the behaviour of this spread around both term PRA announcement dates and term...
Persistent link: https://www.econbiz.de/10003996872
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Procyclical finance : the money view
Li, Ye - 2017
Financial intermediaries issue the majority of liquid securities, and nonfinancial firms have become net savers, holding intermediaries' debt as cash. This paper shows that intermediaries' liquidity creation stimulates growth -- firms hold their debt for unhedgeable investment needs -- but also...
Persistent link: https://www.econbiz.de/10011968932
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The use of agent-based financial market models to test the effectiveness of regulatory policies
Westerhoff, Frank H. - In: Jahrbücher für Nationalökonomie und Statistik 228 (2008) 2/3, pp. 195-227
Persistent link: https://www.econbiz.de/10003770557
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The Monetary Policy Transmission Mechanism in a Term-Structure Model with Unspanned Macro Risks
Ferman, Marcelo - 2011
In this paper I study how exogenous monetary policy impulses jointly transmit to the US macroeconomy and term structure. I estimate a Macro-Affine Term Structure Model similar to Joslin, Priebsch and Singleton (2010), and use this framework to identify monetary policy shocks and term premia. My...
Persistent link: https://www.econbiz.de/10013117777
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Dollar Shortage, Central Bank Actions, and the Cross Currency Basis
Bottazzi, Jean-Marc - 2012
narrowing of the cross-currency basis, consistent with the theory developed in the paper …
Persistent link: https://www.econbiz.de/10013098803
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Monetary Shocks and Stock Returns : Identification Through the Impossible Trinity
Ozdagli, Ali - 2013
.S. stock prices. To overcome this bias, we propose a new identification method based on the "Impossible Trinity" theory which …
Persistent link: https://www.econbiz.de/10013075805
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Macroeconomic Linkages between Monetary Policy and the Term Structure of Interest Rates
Kung, Howard - 2014
This paper studies the equilibrium term structure of nominal and real interest rates and time-varying bond risk premia implied by a stochastic endogenous growth model with imperfect price adjustment. The production and price-setting decisions of firms drive low-frequency movements in growth and...
Persistent link: https://www.econbiz.de/10013059133
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Monetary shocks and stock returns : identification through the impossible trinity
Ozdagli, Ali; Yu, Yifan - 2012
This paper attempts to identify how monetary policy shocks affect stock prices by using Mundell and Fleming's theory of … the "Impossible Trinity". According to this theory, it is impossible to simultaneously have a fixed exchange rate, free … this theory because the HK dollar has been pegged to the U.S. dollar since 1983 and Hong Kong does not impose any capital …
Persistent link: https://www.econbiz.de/10009681235