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Monetary transmission mechanism in a small open economy : a Bayesian structural VAR approach

Bhuiyan, Rokon (contributor) - 2008

This paper develops an open-economy Bayesian structural VAR model for Canada in order to estimate the effects of … estimate this over-identified VAR model, I find that the policy shock transmits to real output through both the interest rate … and exchange rate channels, and the shock does not induce a departure from uncovered interest rate parity. I also find …

Persistent link: https://www.econbiz.de/10003768853

Monetary transmission mechanisms in a small open economy : a Bayesian structural VAR approach

Bhuiyan, Rokon - In: The Canadian journal of economics 45 (2012) 3, pp. 1037-1061

Persistent link: https://www.econbiz.de/10009628585

Monetary policy disconnect

Ballensiefen, Benedikt; Ranaldo, Angelo; Winterberg, Hannah - 2020 - This version: December 11, 2020

Although designed to support monetary policy, two crucial aspects of the central bank framework can disconnect the monetary policy transmission: banks' access to central bank deposits and Quantitative Easing (QE). We show how both hinder the monetary policy transmission through the main...

Persistent link: https://www.econbiz.de/10012387237

Monetary policy after the crisis : a joint publication with the National Bank of Poland

Gnan, Ernest (ed.); Kokoszcynski, Ryszard (ed.); … - Conference Monetary Policy after the Crisis <2011, Warschau>; … - 2011

On 4 March 2011, SUERF – The European Money and Finance Forum and the National Bank of Poland jointly organised a conference on the theme of: "Monetary Policy after the Crisis". Following a call for papers with a large number of submissions, the scientific committee selected 9 papers, which...

Persistent link: https://www.econbiz.de/10011710723

Credit risk, excess reserves and monetary policy : the deposits channel

Bratsiotis, George - 2017 - This Version: 25 January 2018

This paper examines the role of the precautionary demand for liquidity and the interest on reserves as two potential determinants of the deposits channel that can help explain the role of monetary policy, particularly at the near zero-bound. At high levels of precautionary liquidity hoarding the...

Persistent link: https://www.econbiz.de/10011810801

A Model of Retail Banking and the Deposits Channel of Monetary Policy

Choi, Michael; Rocheteau, Guillaume - 2021

We develop a dynamic, search-theoretic model of bank deposit and loan markets where relationships are bilateral, the demand for liquid assets is microfounded, and consumers are privately informed about their liquidity needs. As the policy rate rises, the deposit spread widens, and aggregate...

Persistent link: https://www.econbiz.de/10013216021

Credit Risk, Excess Reserves and Monetary Policy : The Deposits Channel

Bratsiotis, George - 2018

This paper examines the role of precautionary liquidity (reserves) and the interest on reserves as two potential determinants of the deposits channel that can help explain the role of monetary policy, particularly at the near zero-bound. Through the deposits channel either of these two...

Persistent link: https://www.econbiz.de/10012930610

Did quantitative easing affect interest rates outside the US? : new evidence based on interest rate differentials

Belke, Ansgar; Gros, Daniel; Osowski, Thomas - 2016

This paper explores the effects of non-standard monetary policies on international yield relationships. Based on a descriptive analysis of international long-term yields, we find evidence that long-term rates have followed a global downward trend prior to as well as during the financial crisis....

Persistent link: https://www.econbiz.de/10011414128

Macro-financial models of Canadian dollar interest rate swap yields

Akram, Tanweer; Mamun, Khawaja - 2024

This paper analyzes the dynamics of Canadian dollar-denominated (CAD) interest rate swap yields. It applies autoregressive distributive lag (ARDL) models, using monthly time series data, to estimate the effects of the current short-term interest rate and other relevant macro-financial variables...

Persistent link: https://www.econbiz.de/10015152683

The empirics of Canadian government securities yields

Akram, Tanweer; Das, Anupam - 2020

empirically models the relationship between short-term interest rates and long-term government securities yields in Canada, after …

Persistent link: https://www.econbiz.de/10012149851