Author: Michael Bauer
Publisher:
ISBN:
Category :
Languages : en
Pages : 44
Get Book Here
Book Description
This paper provides new estimates of the impact of monetary policy actions and macroeconomic news on the term structure of nominal interest rates. The key novelty is to parsimoniously capture the impact of news on all interest rates using a simple no-arbitrage model. The different types of news are analyzed in a common framework by recognizing their heterogeneity, which allows for a systematic comparison of their effects. This approach leads to novel empirical findings: First, monetary policy causes a substantial amount of volatility in both short-term and long-term interest rates. Second, macroeconomic data surprises have small and mostly insignificant effects on the long end of the term structure. Third, the term-structure response to macroeconomic news is consistent with considerable interest-rate smoothing by the Federal Reserve. Fourth, monetary policy surprises are multidimensional while macroeconomic surprises are one-dimensional.
Author: Hali J. Edison
Publisher:
ISBN:
Category : Foreign exchange rates
Languages : en
Pages : 44
Get Book Here
Book Description
Author: Mr.Francisco Nadal De Simone
Publisher: International Monetary Fund
ISBN: 1451856164
Category : Business & Economics
Languages : en
Pages : 42
Get Book Here
Book Description
This paper reexamines some unsettled theoretical and empirical issues regarding the relationship between nominal exchange rates and interest rate differentials and provides a model for the behavior of exchange rates in the long run, where interest rates are determined in the bond market. The model predicts that an increase in the interest rate differential appreciates the home currency. We test the model for the U.S. dollar against the Deutsche mark, the British pound, the Japanese yen, and the Canadian dollar. The first two pairs of exchange rates—for which purchasing power parity seems to hold—display a strong relationship with interest rate differentials.
Author: Charles Engel
Publisher:
ISBN:
Category : Foreign exchange
Languages : en
Pages : 26
Get Book Here
Book Description
Author: Michael Bauer
Publisher:
ISBN:
Category :
Languages : en
Pages : 37
Get Book Here
Book Description
This paper provides new evidence on the importance of inflation expectations for variation in nominal interest rates, based on both market-based and survey-based measures of inflation expectations. Using the information in TIPS breakeven rates and inflation swap rates, I document that movements in inflation compensation are important for explaining variation in long-term nominal interest rates, both unconditionally as well as conditionally on macroeconomic data surprises. Daily changes in inflation compensation and changes in long-term nominal rates generally display a close statistical relationship. The sensitivity of inflation compensation to macroeconomic data surprises is substantial, and it explains a sizable share of the macro response of nominal rates. The paper also documents that survey expectations of inflation exhibit significant comovement with variation in nominal interest rates, as well as significant responses to macroeconomic news.
Author: John Y. Campbell
Publisher: University of Chicago Press
ISBN: 0226092127
Category : Business & Economics
Languages : en
Pages : 444
Get Book Here
Book Description
Economic growth, low inflation, and financial stability are among the most important goals of policy makers, and central banks such as the Federal Reserve are key institutions for achieving these goals. In Asset Prices and Monetary Policy, leading scholars and practitioners probe the interaction of central banks, asset markets, and the general economy to forge a new understanding of the challenges facing policy makers as they manage an increasingly complex economic system. The contributors examine how central bankers determine their policy prescriptions with reference to the fluctuating housing market, the balance of debt and credit, changing beliefs of investors, the level of commodity prices, and other factors. At a time when the public has never been more involved in stocks, retirement funds, and real estate investment, this insightful book will be useful to all those concerned with the current state of the economy.
Author: Michelle L. Barnes
Publisher:
ISBN:
Category :
Languages : en
Pages :
Get Book Here
Book Description
Author: Andreas Jobst
Publisher: International Monetary Fund
ISBN: 1475524471
Category : Business & Economics
Languages : en
Pages : 48
Get Book Here
Book Description
More than two years ago the European Central Bank (ECB) adopted a negative interest rate policy (NIRP) to achieve its price stability objective. Negative interest rates have so far supported easier financial conditions and contributed to a modest expansion in credit, demonstrating that the zero lower bound is less binding than previously thought. However, interest rate cuts also weigh on bank profitability. Substantial rate cuts may at some point outweigh the benefits from higher asset values and stronger aggregate demand. Further monetary accommodation may need to rely more on credit easing and an expansion of the ECB’s balance sheet rather than substantial additional reductions in the policy rate.
Author: Christof Kreuter
Publisher:
ISBN:
Category : Foreign exchange rates
Languages : en
Pages : 36
Get Book Here
Book Description
Author: Klaas Knot
Publisher: Edward Elgar Publishing
ISBN:
Category : Business & Economics
Languages : en
Pages : 232
Get Book Here
Book Description
Klaas, who is with the monetary and economic policy department De Nederlandsche Bank in Amsterdam, explores the potential effects of fiscal policy on financial markets in the Union, taking into account the gradual liberalization of capital movements throughout Western Europe and the institutional framework of the European monetary system. He takes a new approach to the impact of budget deficits on interest rates, especially in relation to international financial integration. He concludes that budget deficits since the early 1970s have raised interest rates and recommends balanced budgets to keep money cheap. Annotation copyrighted by Book News, Inc., Portland, OR
