Based on empirical VAR models, we investigate the role of (option-implied) stock and bond market volatilities and monetary policy in the determination of the US 10-year term premium. Our preliminary findings are that an unexpected loosening of monetary policy - through a cut in the federal funds...

We analyse how the effectiveness of price-based and quantity-based macroprudential measures vary by the level of financial development, using panel data for 37 advanced and emerging market economies over 1996–2011. First, we find that quantity-based measures effectively smooth the variations...

This paper examines the macroeconomic and microeconomic dimensions of systemic risk. The design of practical macroprudential policies to address such risks is complex. Issues to be tackled include: (a) statistics to accurately measure currency and maturity mismatches (which usually lie at the...

Large-scale central bank purchases of government bonds have made the long-term interest rate key in the monetary policy debate. How central banks react to bond market movements has varied greatly from one episode to another. Driving the term premium in long-term rates negative may stimulate...