We examine the impact of the actual purchases of Treasury securities by the Federal Reserve on the Treasury yields. Using structural stability tests we find significant breaks in the relation between these variables. We find that in the zero lower bound period following the first phase of...

This paper explores the implications of time varying volatility for optimal monetary policy and the measurement of welfare costs. We show how macro-economic models with linear and quadratic state dependence in their variance structure can be used for the analysis of optimal policy within the...

This paper explores the implications of time varying volatility for optimal monetary policy and the measurement of welfare costs. We show how macroeconomic models with linear and quadratic state dependence in their variance structure can be used for the analysis of optimal policy within the...

This paper explores the implications of time varying volatility for optimal monetary policy and the measurement of welfare costs. We show how macroeconomic models with linear and quadratic state dependence in their variance structure can be used for the analysis of optimal policy within the...

The effects of credit and monetary policy shocks at the lower bound are analysed using a shadow rate term structure model of the Euro-Dollar interest rate futures and Treasury bond markets. This model uses three factors that are common to both markets and two spread factors that capture the term...