ERN: Monetary Policy (Topic)最新文献

{"title":"Effect of the Zero Lower Bound on Bond Yield Sensitivity to News in Canada in Comparison with the UK and US","authors":"R. Moessner","doi":"10.2139/ssrn.2336995","DOIUrl":"https://doi.org/10.2139/ssrn.2336995","url":null,"abstract":"The interest rate channel of monetary policy works both through short- and long-term interest rates. At the zero lower bound of the policy rate, monetary policy can still be effective through unconventional monetary policy measures. We study whether the sensitivity of Canadian government bond yields to domestic and US macroeconomic data surprises changed at the zero lower bound, and compare the results with those for the United Kingdom and the United States. We find that the sensitivity of government bond yields to domestic economic news was reduced only at shorter maturities in Canada than in the United Kingdom and the United States. Moreover, we find that it was reduced less strongly in Canada than in the United Kingdom. This suggests that in Canada monetary policy lost less of its effectiveness than in the United Kingdom, and only up to shorter horizons than in the United Kingdom and the United States.","PeriodicalId":111923,"journal":{"name":"ERN: Monetary Policy (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-09-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130468020","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"An Examination of the Differential Impact of Monetary Policy Announcements and Explanatory Minutes Releases on the Australian Interest Rate Futures Market","authors":"Bronwyn McCredie, P. Docherty, S. Easton, Katherine Uylangco","doi":"10.2139/ssrn.2312254","DOIUrl":"https://doi.org/10.2139/ssrn.2312254","url":null,"abstract":"Unlike US and European jurisdictions, Australian monetary policy announcements are not followed promptly by projections materials or statements that explain the decision process. This information is disclosed two weeks later when the explanatory minutes of the Reserve Bank board meeting are released. This paper is therefore the first study to exploit the unique features of the Australian monetary policy environment in order to examine the differential impact of monetary policy announcements and explanatory statements on the Australian interest rate futures market. We find that both monetary policy announcements and explanatory minutes releases have a significant impact on the returns and volatility of Australian interest rate futures contracts. When this impact is differentiated, the informational content of explanatory minutes releases is shown to elicit a larger response in returns. Further, the impact of monetary policy announcements is demonstrated to be affected by conditioning on the state of the economy. Specifically, returns respond asymmetrically to interest rate changes, intensify during the Global Financial Crisis, and are moderated by sentiment.","PeriodicalId":111923,"journal":{"name":"ERN: Monetary Policy (Topic)","volume":"106 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-08-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116217864","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Prediction and Simulation Using Simple Models Characterized by Nonstationarity and Seasonality","authors":"Norman R. Swanson, Richard Urbach","doi":"10.2139/ssrn.965975","DOIUrl":"https://doi.org/10.2139/ssrn.965975","url":null,"abstract":"In this paper, we provide new evidence on the empirical usefulness of various simple seasonal models, and underscore the importance of carefully designing criteria by which one judges alternative models. In particular, we underscore the importance of both choice of forecast or simulation horizon and choice between minimizing point or distribution based loss measures. Our empirical analysis centers around the implementation of a series of simulation and prediction experiments, as well as a discussion of the stochastic properties of seasonal unit root models. Our prediction experiments are based on an analysis of a group of 14 variables which have been chosen to closely mimic the set of indicators used by the Federal Reserve to help in setting U.S. monetary policy, and our simulation experiments are based on a comparison of simulated and historical distributions of said variables using the testing approach of Corradi and Swanson (2007a). A key impetus for this paper stems from the fact that various financial service companies routinely create “economic scenarios”, whereby seasonal and nonstationary financial and economic variables such as those examined here are simulated (and predicted) using relatively simple time series models. These “economic scenarios” are subsequently used in risk management and asset allocation, as is often mandated by various world financial regulatory authorities. Our findings suggest that a simple version of the seasonal unit root (SUROOT) model performs very well in predicting 8 of 14 variables, when the forecast horizon is 1-step ahead. However, for horizons greater than one-step ahead, our SUROOT model performs poorly when used for prediction, suggesting that parameter estimation error is crucial to understanding the empirical performance of such models. This “parameter estimation error” result is confirmed via a series of Monte Carlo experiments. Simulation experiments yield similar conclusions, although SUROOT models in this case are useful for constructing “forward” conditional distributions at 1- and 3-step ahead horizons. Interestingly, simple periodic autoregressions do not have this property, and are found to perform very well in both prediction and simulation experiments, at all horizons up to 60months ahead.","PeriodicalId":111923,"journal":{"name":"ERN: Monetary Policy (Topic)","volume":"2 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-08-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131814591","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Monetary Policy with Asset-Backed Money","authors":"D. Andolfatto, Aleksander Berentsen, Christopher J. Waller","doi":"10.2139/ssrn.2343361","DOIUrl":"https://doi.org/10.2139/ssrn.2343361","url":null,"abstract":"We study the use of asset-backed money in a neoclassical growth model with illiquid capital. A mechanism is delegated control of productive capital and issues claims against the revenue it earns. These claims constitute a form of asset-backed money. The mechanism determines (i) the number of claims outstanding, (ii) the dividends paid to claim holders, and (iii) the structure of redemption fees. We find that for capital-rich economies, the first-best allocation can be implemented and price stability is optimal. However, for sufficiently capital-poor economies, achieving the first-best allocation requires a strictly positive rate of inflation. In general, the minimum inflation necessary to implement the first-best allocation is decreasing in capital wealth.","PeriodicalId":111923,"journal":{"name":"ERN: Monetary Policy (Topic)","volume":"40 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121023510","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"A Mundell-Fleming Study of Japan's Monetary Expansion","authors":"R. Garagulagian","doi":"10.2139/ssrn.2292348","DOIUrl":"https://doi.org/10.2139/ssrn.2292348","url":null,"abstract":"With the new government, Japan has announced plans for massive monetary expansion through expansion of money base. In this paper after reviewing Japan’s monetary policy I use Mundell-Fleming model under assumptions of high capital mobility and flexible exchange rates to demonstrate the changes affiliated with Japan’s monetary expansion.","PeriodicalId":111923,"journal":{"name":"ERN: Monetary Policy (Topic)","volume":"32 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-07-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132213889","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Monetary Policy, Stock Prices and Central Banks – Cross-Country Comparisons of Cointegrated VAR Models","authors":"A. Belke, M. Wiedmann","doi":"10.2139/ssrn.2310007","DOIUrl":"https://doi.org/10.2139/ssrn.2310007","url":null,"abstract":"In this paper, we analyze the long-run behavior and short-run dynamics of stock markets across some selected developed and emerging economies – namely the United States, the Euro Area, Japan, the United Kingdom, Australia, South Korea, Thailand and Brazil – in the Cointegrated Vector-Autoregressive (CVAR) framework. The main purpose is to assess empirically if liquidity conditions play a significant role for stock market developments. As an innovation, liquidity conditions enter the analysis from three angles: in the form of a broad monetary aggregate, the interbank overnight rate and net capital flows which in our case stands for the share of global liquidity that arrives in the recipient economy. A second aim is to check empirically whether central banks are able to serve as a driver of the stock market as it, for instance, seems to be the case in late 2012 and 2013 in the wake of the forward guidance conveyed by central banks worldwide.","PeriodicalId":111923,"journal":{"name":"ERN: Monetary Policy (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115795170","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Stock Returns and the U.S. Dollar: The Importance of Monetary Policy","authors":"J. Hughen","doi":"10.2139/ssrn.2286437","DOIUrl":"https://doi.org/10.2139/ssrn.2286437","url":null,"abstract":"The relation between the dollar’s value and stock prices is controversial. Our analysis shows that returns were 2.6 times higher when the dollar was trending up versus down. Our key insight is that dollar trends should be evaluated in light of monetary policy. While stocks returns have been relatively high when the dollar was appreciating, the difference in returns under tight and loose monetary policies was 9%. When the dollar was in a downtrend, the difference in stocks returns under different monetary policies was 17%.","PeriodicalId":111923,"journal":{"name":"ERN: Monetary Policy (Topic)","volume":"233 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-06-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130622248","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Money and Output: The Missing Links: A Time Series Analysis","authors":"A. Faure","doi":"10.2139/SSRN.2275852","DOIUrl":"https://doi.org/10.2139/SSRN.2275852","url":null,"abstract":"There is an immense body of literature on the relationship of money and output, with result-integrity depending on the aggregates used. This paper proposes an alternative two-step approach, based on the reality that: (1) money creation is just the outcome of new bank loans extended, and (2) the (net) new demand for bank loans, when satisfied by the banking sector, parallels the growth in nominal GDP in the long-term – because, mainly, economic units borrow to consume (C) or invest (I), the major contributors to nominal GDP. The new deposits created are M1 deposits, but they can swiftly shift to M2-M1 or M3-M2, reflecting portfolio – or “demand for money” – decisions. Therefore, mining for an association between M1 and real GDP growth is not fruitful. The direct link between the monetary and real sectors lies is the association of new net bank loans to the private sector (the outcome of which is money creation) with nominal GDP growth: the R2 of the South African data (no massaging; quarterly; 1965-2012) is 0.99. The relationship in the short-term is less well correlated. The long- and short-term associations must be a fully considered Step 1, because it contains the seeds of the answer to Step 2: the translation of nominal GDP growth into real GDP growth and inflation, that is, the trade-off between these related aggregates. This article offers a time series analysis of Step 1, based on South African data.","PeriodicalId":111923,"journal":{"name":"ERN: Monetary Policy (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-06-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125800752","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Demand and Supply Factors in the Term Structure of Interest Rates","authors":"Chen Guo","doi":"10.2139/ssrn.2273735","DOIUrl":"https://doi.org/10.2139/ssrn.2273735","url":null,"abstract":"This paper corrects the no arbitrage condition in Vasicek (1977) by pointing out that the instantaneous spot rate is logically zero. The corrected no arbitrage condition admits an extremely simple solution, which allows the latent state factors to be accurately identified from the observable yields and unambiguously interpreted as the demand and supply factors. This solution can be interpreted as a continuous time version of the preferred habitat hypothesis of Modigliani and Sutch (1966), because the demand and supply factors are equivalent, by a uniform scale, to the preferred habitats of randomly arrived lenders and borrowers.","PeriodicalId":111923,"journal":{"name":"ERN: Monetary Policy (Topic)","volume":"58 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-06-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125158680","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Analyzing Time-Frequency Relationship between Interest Rate, Stock Price and Exchange Rate Through Continuous Wavelet","authors":"A. Tiwari, A. Andrieș, Iulian Ihnatov","doi":"10.2139/ssrn.2272631","DOIUrl":"https://doi.org/10.2139/ssrn.2272631","url":null,"abstract":"In this study we investigate and identify the patterns of co-movement of interest rate, stock price and exchange rate in India in the period between July 1997 and December 2010 using the cross-wavelet power, the cross-wavelet coherency, and the phase difference methodologies. Our empirical findings suggest that stock prices, exchange rates and interest rates are linked. The cross wavelet results show that stock price movements are lagging both to the exchange rate and interest rate fluctuations. The interest rate lead over the stock price movements is even clearer, especially after 2006, and it suggests that the stock market follows the interest rate signals. Comparing results of WTC and XWT, we find very clear results of phase difference of lead–lag relationship between stock prices, exchange rates and interest rates.","PeriodicalId":111923,"journal":{"name":"ERN: Monetary Policy (Topic)","volume":"1980 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-05-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132899826","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}