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Author: Margaux MacDonald
Publisher: International Monetary Fund
ISBN: 1484330943
Category : Business & Economics
Languages : en
Pages : 70
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Book Description
This paper investigates the effects of unconventional monetary policy in a small open economy. Using recently proposed shadow interest rates to capture unconventional monetary policy at the zero lower bound (ZLB) we estimate a Bayesian structural vector autoregressive model for Canada - a useful case where foreign shocks can be proxied by U.S. variables alone. We find that, during the ZLB period, Canadian unconventional monetary policy increased output (measured by industrial production) by 0.013 percent per month on average while US unconventional monetary policy raised Canadian output by 0.127 percent per month on average. Our results demonstrate the effectiveness of domestic unconventional monetary policy and the strong positive spillover effects that foreign unconventional monetary policies can have in a small open economy.
Author: Margaux MacDonald
Publisher: International Monetary Fund
ISBN: 1484330943
Category : Business & Economics
Languages : en
Pages : 70
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Book Description
This paper investigates the effects of unconventional monetary policy in a small open economy. Using recently proposed shadow interest rates to capture unconventional monetary policy at the zero lower bound (ZLB) we estimate a Bayesian structural vector autoregressive model for Canada - a useful case where foreign shocks can be proxied by U.S. variables alone. We find that, during the ZLB period, Canadian unconventional monetary policy increased output (measured by industrial production) by 0.013 percent per month on average while US unconventional monetary policy raised Canadian output by 0.127 percent per month on average. Our results demonstrate the effectiveness of domestic unconventional monetary policy and the strong positive spillover effects that foreign unconventional monetary policies can have in a small open economy.
Author: Margaux MacDonald
Publisher: International Monetary Fund
ISBN: 1484331796
Category : Business & Economics
Languages : en
Pages : 70
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Book Description
This paper investigates the effects of unconventional monetary policy in a small open economy. Using recently proposed shadow interest rates to capture unconventional monetary policy at the zero lower bound (ZLB) we estimate a Bayesian structural vector autoregressive model for Canada - a useful case where foreign shocks can be proxied by U.S. variables alone. We find that, during the ZLB period, Canadian unconventional monetary policy increased output (measured by industrial production) by 0.013 percent per month on average while US unconventional monetary policy raised Canadian output by 0.127 percent per month on average. Our results demonstrate the effectiveness of domestic unconventional monetary policy and the strong positive spillover effects that foreign unconventional monetary policies can have in a small open economy.
Author:
Publisher:
ISBN: 9783957291035
Category :
Languages : de
Pages :
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Book Description
Author:
Publisher:
ISBN:
Category :
Languages : en
Pages : 42
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Book Description
Author: Naoyuki Yoshino
Publisher: Oxford University Press, USA
ISBN: 0198838107
Category : Business & Economics
Languages : en
Pages : 345
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Book Description
Barely two decades after the Asian financial crisis Asia was suddenly confronted with multiple challenges originating outside the region: the 2008 global financial crisis, the European debt crisis, and finally developed economies' implementation of unconventional monetary policies. The implementation of quantitative easing, ultra-low interest rate policies, and negative interest rate policies by a number of large central banks has given rise to concerns over financial stability and international capital flows. Macroeconomic Shocks and Unconventional Monetary Policy: Impacts on Emerging Markets explains how shocks stemming from the global financial crisis have affected macroeconomic and financial stability in emerging Asia. Macroeconomic Shocks and Unconventional Monetary Policy: Impacts on Emerging Markets brings together the most up-to-date knowledge impacts of recent macroeconomic shocks on Asia's real economy; the spillover effects of macroeconomic shocks on financial markets and flows in Asia; and key challenges for monetary, exchange rate, trade and macro prudential policies of developing Asian economies. It is authored by experts in the field of international macroeconomics from leading academic institutions, central banks, and international organizations including the International Monetary Fund, the Bank for International Settlement, and the Asian Development Bank Institute.
Author: Mr.Jorge A. Chan-Lau
Publisher: International Monetary Fund
ISBN: 1451922442
Category : Business & Economics
Languages : en
Pages : 20
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Book Description
The paper analyzes the effects of monetary policy in a dynamic model of a small open economy with cash and credit goods production, where government consumption is financed by seignorage. It shows that the interrelationships between the growth rate of the monetary aggregate and the technological properties of the economy have an important bearing on the existence and uniqueness of equilibrium, the optimal inflation rate, and the occurrence of explosive hyperinflations. In consequence, the paper concludes that monetary policy does matter in the long run.
Author: Cobus Cornelis Vermeulen
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
Following the Global Financial Crisis of 2007 { 2010, central banks around the world were forced into unprecedented policy interventions to stabilise asset markets and prevent the global nancial system from collapsing. Because interest rates around the world were at historical lows, \conventional" interest rate policy was not an option. Central banks, led by the US Federal Reserve, resorted to \unconventional" monetary policies, rst to stabilise markets during the height of the crisis, and then to support the economic recovery thereafter. The distinguishing characteristic of these unconventional policies was that they involved direct intervention by central banks in long-term xed income markets, such as government bonds and agency debt. This thesis considers the theoretical channels through which central bank purchases of long-term securities could impact (i) bond yields, (ii) other domestic asset markets, and (iii) spillovers to foreign countries. The theory is then tested and evaluated against the empirical evidence. Based on the empirical results, a simple closed-economy DSGE model is constructed. The model captures and illustrates the transmission from central bank asset purchase shocks to the aggregate economy. The asset purchase shock is subsequently converted to an endogenous balance sheet rule. Simulations show that combining this unconventional (balance sheet) rule with a conventional (short-term interest rate) rule yields a superior policy mix than under the conventional rule alone. Finally, the closed-economy model is extended to an open-economy framework, within which a similar balance sheet rule is evaluated in the context of international capital ows. Again, the combination of the balance sheet and interest rate policy is found to yield a superior outcome than interest rate policy alone. The contribution of this thesis is twofold. It contributes to the understanding of the impact of central bank interventions in xed income markets on long-term yields, as well as the externalities and spillovers to other asset markets. Furthermore, this thesis develops a robust and versatile framework, which is intuitively easy to grasp, within which various aspects of central bank balance sheet policy could be investigated. This thesis' main conclusion is that unconventional monetary policy could complement conventional policy under normal market conditions, and that unconventional policy need not be restricted to crisis times only.
Author: Charles T. Carlstrom
Publisher:
ISBN:
Category : Monetary policy
Languages : en
Pages : 27
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Book Description
Author: Yang Zhang
Publisher:
ISBN:
Category : Monetary policy
Languages : en
Pages :
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Book Description
In the first chapter zImpact of Quantitative Easing at the Zero Lower Bound (with J. Dorich, R. Mendes)y, we introduce imperfect asset substitution and segmented asset markets, along the lines of Andres et al. (2004), in an otherwise standard small open-economy model with nominal rigidities. We estimate the model using Canadian data. We use the model to provide a quantitative assessment of the macroeconomic impact of quantitative easing (QE) when the policy rate is at its effective lower bound. In the second chapter zImpact of Forward Guidance at the Zero Lower Boundy, I consider alternative monetary policy rules under commitment in a calibrated three-equation New Keynesian model and examine the extent to which forward guidance helps to mitigate the negative real impact of the zero lower bound. The simulation results suggest that the conditional statement policy prolongs the zero lower bound duration for an additional 4 quarters and reverses half of the decline in inflation associated with the lower bound. It even generates a period of overshooting in inflation three quarters after the initial negative demand shock. Alternatively, the effect of price-level targeting as a forward guidance policy at the zero lower bound is slightly different. In the third chapter zImpact of Quantitative Easing on Household Deleveragingy, I extend the DSGE model in the first chapter with some financial frictions to explore the effects of QE on asset prices and household balance sheet. There are two effects of QE on aggregate output originated from the model. First, QE leads to a decline in term premium, which increases current consumption relative to future consumption. Second, it leads to a lower loan to collateral value ratio and a decline in external finance premium. Favorable financing condition encourages further accumulation of household debt at cheaper rates, in turn, leads to an immediate higher household debt to income ratio. In the consideration of the future withdrawal of any stimulus provided from QE, this would pose greater challenges as it implies much intensive household deleveraging process. I provide some sensitivity analysis around key parameters of the model.
Author: Qianying Chen
Publisher: International Monetary Fund
ISBN: 148434071X
Category : Business & Economics
Languages : en
Pages : 32
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Book Description
We study the impact of the US quantitative easing (QE) on both the emerging and advanced economies, estimating a global vector error-correction model (GVECM) and conducting counterfactual analyses. We focus on the effects of reductions in the US term and corporate spreads. First, US QE measures reducing the US corporate spread appear to be more important than lowering the US term spread. Second, US QE measures might have prevented episodes of prolonged recession and deflation in the advanced economies. Third, the estimated effects on the emerging economies have been diverse but often larger than those recorded in the US and other advanced economies. The heterogeneous effects from US QE measures indicate unevenly distributed benefits and costs.
