This paper examines the interaction between quantitative easing (QE) and the securities lending facility (SLF) using a detailed dataset on Riksbank QE purchases, Swedish DMO SLF transactions and OTC repo deals. A theoretical model further shows how excess demand for assets and search frictions...

This paper examines the interaction between quantitative easing (QE) and the securities lending facility (SLF) using a detailed dataset on Riksbank QE purchases, Swedish DMO SLF transactions and OTC repo deals. A theoretical model further shows how excess demand for assets and search frictions...

We assess whether the Fed's asset purchases can be tailored to either restore market functioning or provide economic stimulus. When the communicated goal is restoring market functioning and purchases' implementation is flexible, flow effects are significant: relative price deviations narrow....

We characterize governments' optimal responses to asset market disturbances across a broad class of models with financial frictions. We show that the Ramsey plan can be achieved by a policy rule targeting a specific relationship between asset returns, regardless of the underlying disturbances....

We analyze how financial stability concerns discussed during Federal Open Market Committee (FOMC) meetings influence the Federal Reserve's monetary policy imple- mentation and communication. Utilizing large language models (LLMs) to analyze FOMC minutes from 1993 to 2022, we measure both...

How do the President and the Congress affect the policy choices of the Federal Open Market Committee, the primary policymaking arm of the Federal Reserve System (the Fed)? I draw on a commonly used tool for estimating the sensitivity of Fed responses to output and inflation - the Taylor rule -...

This paper introduces the U.S. Monetary Policy Event-Study Database (USMPD), a novel, public, and regularly updated dataset of financial market data around Federal Open Market Committee (FOMC) policy announcements, press conferences, and minutes releases. Using the rich high-frequency data in...

This paper introduces the U.S. Monetary Policy Event-Study Database (USMPD), a novel, public, and regularly updated dataset of financial market data around Federal Open Market Committee (FOMC) policy announcements, press conferences, and minutes releases. Using the rich high-frequency data in...

Project Pine is a joint research study by the New York Fed's New York Innovation Center and the BIS Innovation Hub Swiss Centre that explores if and how central banks can implement monetary policy in a potential future state where the financial sector widely adopts tokenisation in wholesale markets.

In response to the subprime crisis in 2008, central banks lowered their short rates rapidly, but came up against the zero-interest rate floor. To ensure the liquidity of the financial system, they then decided a Quantitative Easing policy of buying securities massively, mainly government bonds....

This paper evaluates the relationship between monetary and fiscal policy and the relative effectiveness of macroeconomic stabilization through the lens of Modern Money Theory (MMT). We articulate previously-neglected aspects of monetary sovereignty to offer a new interpretation of the Bernanke...

National Central Banks (NCBs) of the Eurosystem pool profits and losses related to monetary policy operations to form the Eurosystem's so-called 'monetary income'. This is then redistributed - i.e. allocated - among NCBs according to respective capital keys (the participation shares of each NCB...

This study focuses on the pandemic phase when the U.S. economy dealt with significant economic recessionary pressures due to widespread, prolonged social mobility restraints. The Federal Open Market Committee (FOMC) promptly pursued expansionary policies, such as lowering the federal funds rate...

We study the effects of the Federal Reserve's two Quantitative Tightening (QT) programmes implemented over the last decade. We use a high frequency identification strategy to distinguish between conventional monetary policy shocks, Treasury borrowing announcement shocks and the unwinding of the...

Transcripts from the US Federal Open Markets Committee provide, albeit with a lag, valuable information on the monetary policymaking process at the Federal Reserve Bank. We use the data compiled by Chappell et al. (2005b) on preferred interest rates (not votes) of individual FOMC members....

We exploit the Fed's Treasury purchases conducted from March 2020 to March 2022 to assess whether asset purchases can be tailored to accomplish different objectives: restoring market functioning and providing stimulus. We find that, on average, flow effects are significant in the...

The Eurosystem implements its monetary policy through a set of monetary policy instruments (MPIs). The period covered by this report (2022-23) was dominated by high inflation, which led to a change from an easing to a tightening monetary policy environment in line with the mandate of the...

This paper documents that the ex-ante level of the corporate bond market distress is a good predictor for the pre-FOMC announcement return, subsuming the relevant information of equity market uncertainty highlighted by the previous literature. We compute the orthogonal components of distress and...

A growing body of evidence suggests that FOMC announcements can affect private sector beliefs about near-term macroeconomic conditions. We measure index option trader beliefs about the short-horizon implications of central bank policy using the return of short-term dividend strips around each...

This paper provides a methodology for estimating FOMC event risk from options and studies how index option markets price FOMC event risk. Using high-quality intraday option data for short maturities we are able to cleanly estimate ex-ante FOMC event risk, avoiding the use of noisy proxies like...

Safe assets play an important economic role as a store of value. Remarkably, gold is generally not considered a safe asset despite the fact that both gold and government bonds are considered stores of value and both are risky in the short-run as highlighted recently by the Silicon Valley Bank...

We find that anomaly returns are generally unchanged during FOMC days, though a small group of anomalies may have substantial changes. But if they do, their changes exacerbate pricing errors. Hence, our evidence challenges existing studies that find that the CAPM performs better over the FOMC...