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The short-run effect of monetary policy shocks on credit risk : an analysis of the euro area

Kim, Chi Hyun; Other, Lars - 2019

and credit risk measures in an autoregressive distributed lag model. We find that an expansionary monetary policy shock …We examine the credit channel of monetary policy from 2000 to 2015 in the Euro Area using daily monetary policy shock … leads to a short-run increase in the credit risk of non-financial corporations. This dysfunctionality of the credit channel …

Persistent link: https://www.econbiz.de/10011963607

Monetary Policy Uncertainty and Economic Fluctuations at the Zero Lower Bound

Doehr, Rachel; Martínez-García, Enrique - 2022

particular are robust (a gradual 0.4 percentage point increase), lasting more than two years after the initial shock. Interest … backbone for our empirical results, via an “option value” channel. Theory yields sizeable real effects and a muted monetary …

Persistent link: https://www.econbiz.de/10013313628

Monetary Policy Uncertainty and Economic Fluctuations at the Zero Lower Bound

Martínez-García, Enrique; Doehr, Rachel - 2021

Persistent link: https://www.econbiz.de/10013313883

Monetary policy uncertainty and the response of the yield curve to policy shocks

Tillmann, Peter - 2017

leads to a significantly smaller increase in long-term bond yields if policy uncertainty is high at the time of the shock … are robust to the measurement of monetary policy uncertainty and the definition of the monetary policy shock. We argue … policy uncertainty leads to opposite effects with term premia increasing even more after a policy shock. …

Persistent link: https://www.econbiz.de/10011661992

Macroeconomic Bond Risks at the Zero Lower Bound

Branger, Nicole - 2016

volatile shadow risk premia, and small and volatile lift-off probabilities …

Persistent link: https://www.econbiz.de/10012985547

The effects of conventional and unconventional monetary policy : identification through the yield curve

Kortela, Tomi; Nelimarkka, Jaakko - 2020

Since the Great Recession, the main evolution in monetary policy has been its attempts to affect the medium and the long-term interest rates with instruments other than the policy rate. Consequently, measuring the stance of monetary policy by a single interest rate becomes problematic. This...

Persistent link: https://www.econbiz.de/10012160681

Assessing the Effectiveness of Date-Based Forward Guidance at the Zero Lower Bound with a Non-Gaussian Affine Term-Structure Model

Chung, Tsz-Kin - 2014

Using a non-Gaussian affine term-structure model, this paper evaluates the effectiveness of the date-based forward guidance at the zero lower bound. The model extracts the expected dynamics of two state variables (the short-term interest rate and its mean) embedded in the entire Treasury yield...

Persistent link: https://www.econbiz.de/10013049515

Monetary Policy, Macro Factors, and the Term Structure at the Zero Lower Bound

Jackson Young, Laura - 2014

We describe the joint dynamics of bond yields, monetary policy and macroeconomic variables within a no-arbitrage affine term structure framework while explicitly modeling the zero lower bound (ZLB) using the shadow rate methodology. We include data on the unemployment gap and inflation to build...

Persistent link: https://www.econbiz.de/10013049930

Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound

Wu, Jing Cynthia - 2015

This paper employs an approximation that makes a nonlinear term structure model extremely tractable for analysis of an economy operating near the zero lower bound for interest rates. We show that such a model offers an excellent description of the data compared to the benchmark model and can be...

Persistent link: https://www.econbiz.de/10013035103

Secular economic changes and bond yields

Feunou, Bruno; Fontaine, Jean-Sébastien - 2021 - Last updated: March 19, 2021

We build a model for bond yields based on a small-scale representation of an economy with secular declines in inflation, the real rate and output growth. Long-run restrictions identify nominal shocks that influence long-run inflation but do not influence the long-run real rate or output growth....

Persistent link: https://www.econbiz.de/10012488074