[PDF] Top 20 Zero lower bound, unconventional monetary policy and indicator properties of interest rate spreads

... growth rate of industrial production is serially correlated and thus its own past values are themselves informative about future industrial production growth, it is natural to use an autoregressive (AR) model as a ... See full document

... the zero lower bound period, the sample begins in the month in which the call rate (or short-term interest rate) falls below 50 basis points, following Iwata and Wu [8] and ... See full document

... synthetic indicator of monetary ...shadow policy rate that can be directly compared to the federal funds ...of monetary policy ...funds rate hits the zero ... See full document

... Monetary policy has been highly accommodative in the current ...funds rate reached its effective lower bound, the Federal Reserve turned to unconventional monetary ... See full document

... target rate itself should have an influence on the ...important policy instrument are daily repo auctions with one-week ...repo rate governs the one-week repo rate in the interbank money ... See full document

... U.S. monetary policy ...of monetary policy on local currency bond ...and interest rates play sig- nificant roles in explaining sovereign bond ...bond spreads in emerging ...bond ... See full document

... defines monetary policy based on the deviations of output and inflation from their respective targets, is a popular benchmark for assessing the monetary policy stance of central banks ... See full document

... to monetary policy changes in ...interbank rate, repo rate and Tbill rate had a positive effect on both the lending rate and deposit ...in monetary policy rates ... See full document

... Exchange rate targeting has become an important issue since in many developing middle-income countries governments have often chosen, while implementing anti-inflationary policies, to maintain a low level of the ... See full document

... In our baseline simulation, the central bank accumulates assets over four quarters and holds the balance sheet constant for the next two years, before gradually winding down the program over two additional years. This ... See full document

... LATW policy does not have a significant effect on the banks’ productivity cutoff due to the absence of capital requirements – the capital ratio remains ...CCB policy directly affects the banking variables, ... See full document

... the lower bound is ...the monetary au- thority credibly commits to a price-level targeting rule, such a rule yields lower variability of in‡ation and of nominal interest ...the ... See full document

... conventional monetary policies have become impotent, because nominal interest rates are at or near zero: injecting monetary base into the economy has no effect, because base and bonds are ... See full document

... term spreads. 22 The level regression suggests that low spreads lead to lower output in the ...term spreads should result in higher investment (assuming it depends on long-term rates) and thus ... See full document

... the monetary policy supports this broad objective by focusing its efforts to promote price ...of monetary policy stabilization efforts may reflect both political and economic ...of ... See full document

... Figure 2 implies two interesting features of our model. First, the presence of ZLB causes kinked policy function of inflation with steeper slope within the negative TFP range. Second, if there is upward rigidity ... See full document

... developed unconventional monetary policies, many of which were ...conventional monetary policy under a Taylor ...for unconventional monetary policy in simple New Keynesian ... See full document

... ‘Outright Monetary Transactions (OMTs), under which it would buy the debt of problem states on secondary markets, in principle without ...Yield spreads fell ... See full document

... funds rate was near zero; however, the deflation pressure was still high as banks cut ...and policy makers on how the central bank’s policy should be designed when the interest ... See full document

... future rate and variation in the implied volatility of 10-year rate around each FOMC ...two policy instruments which are time series of policy rate surprises and time series of ... See full document