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Author : Kenneth N. Kuttner
Publisher :
ISBN 13 :
Total Pages : 22 pages
Book Rating : 4.:/5 (247 download)
Download or read book Monetary Policy Surprises and Interest Rates written by Kenneth N. Kuttner and published by . This book was released on 2000 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Kenneth N. Kuttner
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (247 download)
Download or read book Monetary Policy Surprises and Interest Rates written by Kenneth N. Kuttner and published by . This book was released on 2000 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : International Monetary Fund
Publisher : International Monetary Fund
ISBN 13 : 1451975198
Total Pages : 29 pages
Book Rating : 4.4/5 (519 download)
Download or read book Anticipation and Surprises in Central Bank Interest Rate Policy written by International Monetary Fund and published by International Monetary Fund. This book was released on 1998-04-01 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt: Market reaction to a change in official interest rates will depend on the extent to which the change is anticipated, and on how it is interpreted as a signal of future policy. In this paper, a technique is developed to separate the anticipated and unanticipated components of such changes and is applied to estimate the response of Euro-deutsch mark interest rates to adjustments in the Bundesbank’s Lombard and discount rates. The results shed light on the efficiency of this market and on the scope for policy signaling by the central bank.
Author : Ann Marie Meulendyke
Publisher :
ISBN 13 : 9781297048388
Total Pages : 246 pages
Book Rating : 4.0/5 (483 download)
Download or read book U.S. Monetary Policy and Financial Markets - Scholar's Choice Edition written by Ann Marie Meulendyke and published by . This book was released on 2015-02-16 with total page 246 pages. Available in PDF, EPUB and Kindle. Book excerpt: This work has been selected by scholars as being culturally important, and is part of the knowledge base of civilization as we know it. This work was reproduced from the original artifact, and remains as true to the original work as possible. Therefore, you will see the original copyright references, library stamps (as most of these works have been housed in our most important libraries around the world), and other notations in the work. This work is in the public domain in the United States of America, and possibly other nations. Within the United States, you may freely copy and distribute this work, as no entity (individual or corporate) has a copyright on the body of the work. As a reproduction of a historical artifact, this work may contain missing or blurred pages, poor pictures, errant marks, etc. Scholars believe, and we concur, that this work is important enough to be preserved, reproduced, and made generally available to the public. We appreciate your support of the preservation process, and thank you for being an important part of keeping this knowledge alive and relevant.
Author : Mr.Lars E. O. Svensson
Publisher : International Monetary Fund
ISBN 13 : 1451853750
Total Pages : 76 pages
Book Rating : 4.4/5 (518 download)
Download or read book Estimating and Interpreting Forward Interest Rates written by Mr.Lars E. O. Svensson and published by International Monetary Fund. This book was released on 1994-09-01 with total page 76 pages. Available in PDF, EPUB and Kindle. Book excerpt: The use of forward interest rates as a monetary policy indicator is demonstrated, using Sweden 1992-1994 as an example. The forward rates are interpreted as indicating market expectations of the time-path of future interest rates, future inflation rates, and future currency depreciation rates. They separate market expectations for the short-, medium-, and long-term more easily than the standard yield curve. Forward rates are estimated with an extended and more flexible version of Nelson and Siegel’s functional form.
Author : Michael D. Bauer
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (131 download)
Download or read book A Reassessment of Monetary Policy Surprises and High-Frequency Identification written by Michael D. Bauer and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: High-frequency changes in interest rates around FOMC announcements are an important tool for identifying the effects of monetary policy on asset prices and the macroeconomy. However, some recent studies have questioned both the exogeneity and the relevance of these monetary policy surprises as instruments, especially for estimating the macroeconomic effects of monetary policy shocks. For example, monetary policy surprises are correlated with macroeconomic and financial data that is publicly available prior to the FOMC announcement. We address these concerns in two ways: First, we expand the set of monetary policy announcements to include speeches by the Fed Chair, which doubles the number and importance of announcements; Second, we explain the predictability of the monetary policy surprises in terms of the "Fed response to news" channel of Bauer and Swanson (2021) and account for it by orthogonalizing the surprises with respect to macroeconomic and financial data that pre-date the announcement. Our subsequent reassessment of the effects of monetary policy yields two key results: First, estimates of the high-frequency effects on asset prices are largely unchanged; Second, estimates of the effects on the macroeconomy are substantially larger and more significant than what previous studies using high-frequency data have typically found.
Author : Andrew Swiston
Publisher : International Monetary Fund
ISBN 13 :
Total Pages : 30 pages
Book Rating : 4.:/5 (318 download)
Download or read book Where Have the Monetary Surprises Gone? The Effects of FOMC Statements written by Andrew Swiston and published by International Monetary Fund. This book was released on 2007-07 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the impact of central bank communication on market expectations of monetary policy and long-term interest rates by comparing Federal Open Market Committee (FOMC) action dates when a policy statement was made to dates before statements were issued. Increased communication has been associated with a reduction in the magnitude of short-term monetary surprises; a greater flow of information about the long-term path of policy that is distinct from the short-term surprise; and a larger role for these long-term surprises in the determination of long-term interest rates.
Author : Carlos Caceres
Publisher : International Monetary Fund
ISBN 13 : 1475543069
Total Pages : 46 pages
Book Rating : 4.4/5 (755 download)
Download or read book U.S. Monetary Policy Normalization and Global Interest Rates written by Carlos Caceres and published by International Monetary Fund. This book was released on 2016-09-29 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: As the Federal Reserve continues to normalize its monetary policy, this paper studies the impact of U.S. interest rates on rates in other countries. We find a modest but nontrivial pass-through from U.S. to domestic short-term interest rates on average. We show that, to a large extent, this comovement reflects synchronized business cycles. However, there is important heterogeneity across countries, and we find evidence of limited monetary autonomy in some cases. The co-movement of longer term interest rates is larger and more pervasive. We distinguish between U.S. interest rate movements that surprise markets versus those that are anticipated, and find that most countries receive greater spillovers from the former. We also distinguish between movements in the U.S. term premium and the expected path of risk-free rates, concluding that countries respond differently to these shocks. Finally, we explore the determinants of monetary autonomy and find strong evidence for the role of exchange rate flexibility, capital account openness, but also for other factors, such as dollarization of financial system liabilities, and the credibility of fiscal and monetary policy.
Author : V. Vance Roley
Publisher :
ISBN 13 :
Total Pages : 26 pages
Book Rating : 4.3/5 (9 download)
Download or read book Unanticipated Money and Interest Rates written by V. Vance Roley and published by . This book was released on 1984 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt: Evidence on the relationship between unanticipated money and interestrates has been provided by two types of studies. First, several researchers have investigated the relationship using quarterly data. Second, a number of researchers have examined the effect of money announcement surprises on interest rates. In both instances, the correlation between money surprises and interest rates has usually been found to be non-negative.This paper first provides an interpretation of the correlation between unanticipated money and interest rates in terms of Federal Reserve policy objectives and operating procedures. Then, the correlation of unanticipated money and both short- and long-term interest rates is examined over weekly intervals, combining several aspects of the previous quarterly and announcement studies. In addition, the distinction between unpredicted and unperceived money also is considered.
Author : Marcello Pericoli
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (878 download)
Download or read book Macroeconomic and Monetary Policy Surprises and the Term Structure of Interest Rates written by Marcello Pericoli and published by . This book was released on 2013 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Hakan Berument
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (13 download)
Download or read book US Monetary Policy Surprises and Foreign Interest Rates written by Hakan Berument and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper assesses the response of a set of emerging markets' domestic interest rates to the US monetary policy surprises within a dynamic framework. Monthly data from Algeria, Bahrain, Israel, Jordan, Kuwait, Tunisia and Turkey for the 1989:03 to 2005:12 period reveal positive effects of the unanticipated Federal Funds target changes on the short-term interest rates of these countries. When we look at the effect of US monetary policy surprises for different Turkish interest rates, the evidence is robust for the 3 and 12-month rates, but government controlled interbank and treasury auction rates have reverse positions.
Author : Michiel De Pooter
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (13 download)
Download or read book Monetary Policy Surprises and Monetary Policy Uncertainty written by Michiel De Pooter and published by . This book was released on 2020 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In this note we find that after a given monetary policy surprise, primary dealers--key intermediaries in interest rate markets--tend to adjust their positions in the U.S. Treasury market and their exposures to interest rates more when the prevailing level of policy uncertainty is low than when it is high.
Author : Refet S. Gürkaynak
Publisher :
ISBN 13 :
Total Pages : 68 pages
Book Rating : 4.E/5 ( download)
Download or read book Do Actions Speak Louder Than Words? written by Refet S. Gürkaynak and published by . This book was released on 2004 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Iryna Kaminska
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (124 download)
Download or read book Monetary Policy Surprises and Their Transmission Through Term Premia and Expected Interest Rates written by Iryna Kaminska and published by . This book was released on 2020 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Philipp Engler
Publisher : International Monetary Fund
ISBN 13 :
Total Pages : 36 pages
Book Rating : 4.4/5 (2 download)
Download or read book Spillovers to Emerging Markets from US Economic News and Monetary Policy written by Philipp Engler and published by International Monetary Fund. This book was released on 2023-05-19 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: When the U.S. economy sneezes, do emerging markets catch a cold? We show that economic news, and not just monetary policy, in the United States affects financial conditions in emerging markets. News about U.S. employment has the strongest effects, followed by news about economic activity and about vaccines during the COVID-19 pandemic. News about inflation has instead limited effects on average. A key channel of international transmission of U.S. economic news appears to be the risk perceptions or risk aversion of international investors. We also show that some of the transmission of U.S. economic news occurs independently of the U.S. monetary policy reaction. Finally, we expand on evidence that financial conditions in the U.S. and emerging markets respond differently to U.S. monetary policy surprises, depending on the reaction of US stock prices.
Author : Frederic Lambert
Publisher : International Monetary Fund
ISBN 13 : 1498363563
Total Pages : 40 pages
Book Rating : 4.4/5 (983 download)
Download or read book The Effects of Unconventional Monetary Policies on Bank Soundness written by Frederic Lambert and published by International Monetary Fund. This book was released on 2014-08-13 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: Unconventional monetary policy is often assumed to benefit banks. However, we find little supporting evidence. Rather, we find some evidence for heightened medium-term risks. First, in an event study using a novel instrument for monetary policy surprises, we do not detect clear effects of monetary easing on bank stock valuation but find a deterioration of medium-term bank credit risk in the United States, the euro area, and the United Kingdom. Second, in panel regressions using U.S. banks’ balance sheet information, we show that bank profitability and risk taking are ambiguously affected, while balance sheet repair is delayed.
Author : Lars Winkelmann
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (891 download)
Download or read book ECB Monetary Policy Surprises Identification Through Cojumps in Interest Rates written by Lars Winkelmann and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
