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Author : Gianni Amisano
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (11 download)
Download or read book Uncertainty Shocks, Monetary Policy and Long-term Interest Rates written by Gianni Amisano and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Sangyup Choi
Publisher : International Monetary Fund
ISBN 13 : 1498356303
Total Pages : 26 pages
Book Rating : 4.4/5 (983 download)
Download or read book Uncertainty and Unemployment written by Sangyup Choi and published by International Monetary Fund. This book was released on 2015-02-23 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study the role of uncertainty shocks in explaining unemployment dynamics, separating out the role of aggregate and sectoral channels. Using S&P500 data from the first quarter of 1957 to third quarter of 2014, we construct separate indices to measure aggregate and sectoral uncertainty and compare their effects on the unemployment rate in a standard macroeconomic vector autoregressive (VAR) model. We find that aggregate uncertainty leads to an immediate increase in unemployment, with the impact dissipating within a year. In contrast, sectoral uncertainty has a long-lived impact on unemployment, with the peak impact occurring after two years. The results are consistent with a view that the impact of aggregate uncertainty occurs through a “wait-and-see” mechanism while increased sectoral uncertainty raises unemployment by requiring greater reallocation across sectors.
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 : Mr.Tao Wu
Publisher : International Monetary Fund
ISBN 13 : 1498317243
Total Pages : 49 pages
Book Rating : 4.4/5 (983 download)
Download or read book Unconventional Monetary Policy and Long-Term Interest Rates written by Mr.Tao Wu and published by International Monetary Fund. This book was released on 2014-10-22 with total page 49 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the transmission mechanism through which unconventional monetary policy affects long-term interest rates. I construct a real-time measure summarizing market projections of the magnitude and duration of the Federal Reserve's Large Scale Asset Purchases (LSAP) program, and analyze the determination of term premiums and expectations of future short-term interest rates in a sample spanning more than two decades. Empirical findings suggest that the LSAP has effectively lowered the long-term Treasury bond yields, through both "signaling" and "portfolio balance" channels. On the other hand, the Fed's "forward guidance" also leads to gradual extension of market projections for the duration of the LSAP program, thereby enhancing the LSAP's effect to keep term premiums low. Estimation results also reveal a diminished effectiveness of the LSAP during QE III. Finally, model simulations underscore the importance of policy transparency in minimizing unnecessary market turbulence and ensuring a timely and smooth exit of the unconventional monetary policy stimulus.
Author : Brent Bundick
Publisher :
ISBN 13 :
Total Pages : 35 pages
Book Rating : 4.:/5 (13 download)
Download or read book Forward Guidance, Monetary Policy Uncertainty, and the Term Premium written by Brent Bundick and published by . This book was released on 2017 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine the macroeconomic and term-premia implications of monetary policy uncertainty shocks. Using Eurodollar options, we employ the VIX methodology to measure implied volatility about future short-term interest rates at various horizons. We identify monetary policy uncertainty shocks using the unexpected changes in this term structure of implied volatility around monetary policy announcements. Two principal components succinctly characterize these changes around policy announcements, which have the interpretation as shocks to the level and slope of the term structure of implied interest rate volatility. We find that an unexpected decline in the slope of implied volatility lowers term premia in longer-term bond yields and leads to higher economic activity and inflation. Our results suggest that forward guidance about future monetary policy can materially affect bond market term premia, even without large scale asset purchases.
Author : Povilas Lastauskas
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (123 download)
Download or read book Global Impacts of US Monetary Policy Uncertainty Shocks written by Povilas Lastauskas and published by . This book was released on 2020 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Mr.Troy Matheson
Publisher : International Monetary Fund
ISBN 13 : 1498324851
Total Pages : 12 pages
Book Rating : 4.4/5 (983 download)
Download or read book News and Monetary Shocks at a High Frequency written by Mr.Troy Matheson and published by International Monetary Fund. This book was released on 2014-09-12 with total page 12 pages. Available in PDF, EPUB and Kindle. Book excerpt: We develop a simple approach to identify economic news and monetary shocks at a high frequency. The approach is used to examine financial market developments in the United States following the Federal Reserve’s May 22, 2013 taper talk suggesting that it would begin winding down its quantitative easing program. Our findings show that the sharp rise in 10-year Treasury bond yields immediately after the taper talk was largely due to monetary shocks, with positive economic news becoming increasingly important in subsequent months.
Author : Michael D. Bordo
Publisher : Hoover Press
ISBN 13 : 0817921362
Total Pages : 328 pages
Book Rating : 4.8/5 (179 download)
Download or read book The Structural Foundations of Monetary Policy written by Michael D. Bordo and published by Hoover Press. This book was released on 2018-03-01 with total page 328 pages. Available in PDF, EPUB and Kindle. Book excerpt: In The Structural Foundations of Monetary Policy, Michael D. Bordo, John H. Cochrane, and Amit Seru bring together discussions and presentations from the Hoover Institution's annual monetary policy conference. The conference participants discuss long-run monetary issues facing the world economy, with an emphasis on deep, unresolved structural questions. They explore vital issues affecting the Federal Reserve, the United States' central bank. They voice concern over the Fed's independence, governance, and ability to withstand future shocks and analyze the effects of its monetary policies and growing balance sheet in the wake of the 2008 financial crisis. The authors ask a range of questions that get to the heart of twenty-first-century monetary policy. What should the role of the Fed be? Which policies and strategies will mitigate the risks of the next crisis and at the same time spur innovation and job creation? How can new technology make the Fed's payment system safer, faster, and more efficient? What does the emergence of crypto-currencies such as Bitcoin mean for competition and stability? How can the Fed defend itself against exploitation and politicization? Finally they propose reforms to ensure that the Fed will remain independent, stable, strong, and resilient in an unpredictable world.
Author : Valeriu Nalban
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book Uncertainty Shocks and the Monetary-macroprudential Policy Mix written by Valeriu Nalban and published by . This book was released on 2022 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Yeonggyu Yun
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book US Monetary Policy Uncertainty Spillover and the Role of Exchange Rate Regime written by Yeonggyu Yun and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study spillover of monetary policy uncertainty shock from the US to other economies with different exchange rate regimes. A surge of monetary policy uncertainty in the US incurs contractionary consequences in other economies and decreases output, consumption, and stock market prices. Such effect is prevalent in fixed exchange rate regimes while flexible exchange rate regimes do not undergo the economic downturn. This is coupled with elevated uncertainty in fixed exchange rate regimes, while floating exchange rate regimes do not exhibit any change in uncertainty. We attribute this to the nature of flexible exchange rate regime and interpret that monetary autonomy in flexible regimes prevents direct spillover of foreign uncertainty shocks, especially those associated with interest rates. Unlike previous studies which point out the shock-absorbing role of flexible exchange rates via exchange rate depreciation, which we call the “exchange rate channel,” we focus on how monetary autonomy of flexible rate regime shuts down the transmission of monetary policy uncertainty from the US to local economy, the “uncertainty channel.” We show that shutting down the “uncertainty channel” dominates the “exchange rate channel” in flexible exchange rate regimes in terms of mitigating the spillover effects of foreign uncertainty shock.
Author : Mr.Hideaki Hirata
Publisher : International Monetary Fund
ISBN 13 : 1475523629
Total Pages : 47 pages
Book Rating : 4.4/5 (755 download)
Download or read book Global House Price Fluctuations written by Mr.Hideaki Hirata and published by International Monetary Fund. This book was released on 2013-02-06 with total page 47 pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine the properties of house price fluctuations across 18 advanced economies over the past 40 years. We ask two specific questions: First, how synchronized are housing cycles across these countries? Second, what are the main shocks driving movements in global house prices? To address these questions, we first estimate the global components in house prices and various macroeconomic and financial variables. We then evaluate the roles played by a variety of global shocks, including shocks to interest rates, monetary policy, productivity, credit, and uncertainty, in explaining house price fluctuations using a wide range of FAVAR models. We find that house prices are synchronized across countries, and the degree of synchronization has increased over time. Global interest rate shocks tend to have a significant negative effect on global house prices whereas global monetary policy shocks per se do not appear to have a sizeable impact. Interestingly, uncertainty shocks seem to be important in explaining fluctuations in global house prices.
Author : Eduard Jan Bomhoff
Publisher : North Holland
ISBN 13 :
Total Pages : 358 pages
Book Rating : 4.:/5 (44 download)
Download or read book Monetary Uncertainty written by Eduard Jan Bomhoff and published by North Holland. This book was released on 1983 with total page 358 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Peter J. N. Sinclair
Publisher : Routledge
ISBN 13 : 1135179778
Total Pages : 402 pages
Book Rating : 4.1/5 (351 download)
Download or read book Inflation Expectations written by Peter J. N. Sinclair and published by Routledge. This book was released on 2009-12-16 with total page 402 pages. Available in PDF, EPUB and Kindle. Book excerpt: Inflation is regarded by the many as a menace that damages business and can only make life worse for households. Keeping it low depends critically on ensuring that firms and workers expect it to be low. So expectations of inflation are a key influence on national economic welfare. This collection pulls together a galaxy of world experts (including Roy Batchelor, Richard Curtin and Staffan Linden) on inflation expectations to debate different aspects of the issues involved. The main focus of the volume is on likely inflation developments. A number of factors have led practitioners and academic observers of monetary policy to place increasing emphasis recently on inflation expectations. One is the spread of inflation targeting, invented in New Zealand over 15 years ago, but now encompassing many important economies including Brazil, Canada, Israel and Great Britain. Even more significantly, the European Central Bank, the Bank of Japan and the United States Federal Bank are the leading members of another group of monetary institutions all considering or implementing moves in the same direction. A second is the large reduction in actual inflation that has been observed in most countries over the past decade or so. These considerations underscore the critical – and largely underrecognized - importance of inflation expectations. They emphasize the importance of the issues, and the great need for a volume that offers a clear, systematic treatment of them. This book, under the steely editorship of Peter Sinclair, should prove very important for policy makers and monetary economists alike.
Author : Ann-Charlotte Eliasson
Publisher : International Monetary Fund
ISBN 13 : 1451849710
Total Pages : 61 pages
Book Rating : 4.4/5 (518 download)
Download or read book Simple Monetary Policy Rules Under Model Uncertainty written by Ann-Charlotte Eliasson and published by International Monetary Fund. This book was released on 1999-05-01 with total page 61 pages. Available in PDF, EPUB and Kindle. Book excerpt: Using stochastic simulations and stability analysis, the paper compares how different monetary rules perform in a moderately nonlinear model with a time-varying nonaccelerating-inflation-rate-of-unemployment (NAIRU). Rules that perform well in linear models but implicitly embody backward-looking measures of real interest rates (such as conventional Taylor rules) or substantial interest rate smoothing perform very poorly in models with moderate nonlinearities, particularly when policymakers tend to make serially correlated errors in estimating the NAIRU. This challenges the practice of evaluating rules within linear models, in which the consequences of responding myopically to significant overheating are extremely unrealistic.
Author : John B. Taylor
Publisher : University of Chicago Press
ISBN 13 : 0226791262
Total Pages : 460 pages
Book Rating : 4.2/5 (267 download)
Download or read book Monetary Policy Rules written by John B. Taylor and published by University of Chicago Press. This book was released on 2007-12-01 with total page 460 pages. Available in PDF, EPUB and Kindle. Book excerpt: This timely volume presents the latest thinking on the monetary policy rules and seeks to determine just what types of rules and policy guidelines function best. A unique cooperative research effort that allowed contributors to evaluate different policy rules using their own specific approaches, this collection presents their striking findings on the potential response of interest rates to an array of variables, including alterations in the rates of inflation, unemployment, and exchange. Monetary Policy Rules illustrates that simple policy rules are more robust and more efficient than complex rules with multiple variables. A state-of-the-art appraisal of the fundamental issues facing the Federal Reserve Board and other central banks, Monetary Policy Rules is essential reading for economic analysts and policymakers alike.
Author : Angelo Ranaldo
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (931 download)
Download or read book Monetary Policy Effects on Long-term Rates and Stock Prices written by Angelo Ranaldo and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Markus Leippold
Publisher :
ISBN 13 :
Total Pages : 59 pages
Book Rating : 4.:/5 (13 download)
Download or read book Government Policy Uncertainty and the Yield Curve written by Markus Leippold and published by . This book was released on 2017 with total page 59 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study the impact of economic policy uncertainty on the term structure of nominal interest rates. We develop a general equilibrium model, in which both the government and the central bank policy decisions are driven by uncertainty shocks. Our affine yield curve model captures both the shape of the interest rate term structure as well as the hump-shape of bond yield volatilities. Our theoretical predictions are strongly supported by the data. Higher economic policy uncertainty leads to a significant decline in yield levels, induces a hump-shaped increase in bond yield volatility, and increases bond risk premia, especially for longer maturities.
