During and after the Great Recession of 2008-09, conventional monetary policy in the United States and many other advanced economies was constrained by the effective lower bound (ELB) on nominal interest rates. Several central banks implemented large-scale asset purchase (LSAP) programs, more...

This paper presents a simple Ramsey-type model example where two infinitely-living agents have same utility function except for time preference, and shows that equilibrium is indeterminate that is to be interpreted as being non-existent. The issues regarding New Keynesian transversality...

We analyze the effect of monetary policy on yield spreads between corporate bonds with different credit ratings over the business cycle. We use futures contracts to distinguish between expected and unexpected changes in the Fed funds target rate and several indicators to distinguish between...

We argue a source of time-varying premium (TVTP) in Japanese government bond market, and show that it is interest rate smoothing that causes empirical failures of expectation theory of term structure of interest rates. We estimate a regime switching ARCH model where an interest rate smoothing...

In this paper I propose a regime switching approach to explain why the US nominal yield curve has been on average steeper since the mid-1980's than during the Great Inflation of the 1970's. I show that, once the possibility of regime switches in the short-rate process is incorporated into...

Financial liberalization has not lived up to expectations, at least as far as interest rate spreads are concerned. Over the past decade, many countries in Latin America and the Caribbean have reformed their financial sectors and reaped major economic benefits as a result. However, the...

This study is motivated by the negative HKD-USD interest rate differentials observed after the US interest rate hike on December 17, 2015. We first analyze two practical concerns that are typical from the perspective of a carry trader: (1) the difference in borrowing rate and lending rate of a...

My paper, “Does the Fed control interest rates?” is in the 2013 Review of Asset Pricing Studies (Volume 3, pp. 180-199). The paper finds that the Fed controls the Federal Funds (FF) rate (the overnight rate on interbank borrowing of reserves). Other short-term rates are related to FF, but...

Decentralized Finance (DeFi) aims to use advancements in both computation and cryptography to tackle standard economic problems. It must, therefore, operate within the intersection of constraints required by both the computer science and economic domains. We explore a foundational question at...