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Interest Rate Channel of Monetary Policy Transmission Mechanisms: What Do We Know About it? 货币政策传导机制的利率通道:我们对它的认识?
ERN: Monetary Policy (Topic) Pub Date : 2015-06-25 DOI: 10.2139/ssrn.2623036
G. Ndubuisi
{"title":"Interest Rate Channel of Monetary Policy Transmission Mechanisms: What Do We Know About it?","authors":"G. Ndubuisi","doi":"10.2139/ssrn.2623036","DOIUrl":"https://doi.org/10.2139/ssrn.2623036","url":null,"abstract":"While Fiscal Policy seems to have lost its potency as a viable economic policy instrument, Monetary Policy seems to be the mainstay policy of directing modern economies. However, the channel, through which this is achieved has been a subject of debate in Economics. This paper extensively reviews the theoretical framework and selected literatures on interest rate channel of monetary policy transmission mechanisms (a channel that has won popular attention). The literatures reviewed shows that (i) there are other channels besides the interest rate channels and it is likely the case to see more than one channel operational in a country (ii) A likely precondition for interest rate channel is a strong financial system. (iii) Monetary Transmission Mechanisms is likely an evolutionary and regional specific phenomenon than a static and general phenomenon (iv) Above all else, the interest rate channel remains operational in the today’s world.","PeriodicalId":111923,"journal":{"name":"ERN: Monetary Policy (Topic)","volume":"3 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-06-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123963953","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}
引用次数: 5
Does Bank Supervision Impact Bank Loan Growth? 银行监管是否影响银行贷款增长?
ERN: Monetary Policy (Topic) Pub Date : 2015-05-11 DOI: 10.2139/ssrn.2603850
P. Kupiec, Yan Y. Lee, Claire M. Rosenfeld
{"title":"Does Bank Supervision Impact Bank Loan Growth?","authors":"P. Kupiec, Yan Y. Lee, Claire M. Rosenfeld","doi":"10.2139/ssrn.2603850","DOIUrl":"https://doi.org/10.2139/ssrn.2603850","url":null,"abstract":"We estimate the impact on individual bank loan growth caused by supervisory restrictions associated with a poor bank examination rating. We use a novel approach to control for bank loan demand variation and estimate a fixed-effect model using an unbalanced panel with over 443,000 bank-quarter observations from the period 1994-2011. Our estimates show that supervisory restrictions have a large negative impact on bank loan growth after controlling for the impact of monetary policy, bank capital and liquidity conditions and any voluntary reduction in lending triggered by weak legacy loan portfolio performance or other bank losses.","PeriodicalId":111923,"journal":{"name":"ERN: Monetary Policy (Topic)","volume":"18 9","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-05-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132984283","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}
引用次数: 2
Self-Fulfilling Debt Crises: Can Monetary Policy Really Help? 自我实现的债务危机:货币政策真的有用吗?
ERN: Monetary Policy (Topic) Pub Date : 2015-05-01 DOI: 10.3386/W21158
P. Bacchetta, E. Perazzi, Eric van Wincoop
{"title":"Self-Fulfilling Debt Crises: Can Monetary Policy Really Help?","authors":"P. Bacchetta, E. Perazzi, Eric van Wincoop","doi":"10.3386/W21158","DOIUrl":"https://doi.org/10.3386/W21158","url":null,"abstract":"This paper examines quantitatively the potential for monetary policy to avoid self-fulfilling sovereign debt crises. We combine a version of the slow-moving debt crisis model proposed by Lorenzoni and Werning (2014) with a standard New Keynesian model. We consider both conventional and unconventional monetary policy. Under conventional policy the central bank can preclude a debt crisis through inflation, lowering the real interest rate and raising output. These reduce the real value of the outstanding debt and the cost of new borrowing, and increase tax revenues and seigniorage. Unconventional policies take the form of liquidity support or debt buyback policies that raise the monetary base beyond the satiation level. We find that generally the central bank cannot credibly avoid a self-fulfilling debt crisis. Conventional policies needed to avert a crisis require excessive inflation for a sustained period of time. Unconventional monetary policy can only be effective when the economy is at a structural ZLB for a sustained length of time.","PeriodicalId":111923,"journal":{"name":"ERN: Monetary Policy (Topic)","volume":"31 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126580407","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}
引用次数: 19
Did Large-Scale Asset Purchases Work? 大规模资产购买奏效了吗?
ERN: Monetary Policy (Topic) Pub Date : 2015-05-01 DOI: 10.2139/ssrn.2589707
A. Popescu
{"title":"Did Large-Scale Asset Purchases Work?","authors":"A. Popescu","doi":"10.2139/ssrn.2589707","DOIUrl":"https://doi.org/10.2139/ssrn.2589707","url":null,"abstract":"This paper analyzes the effects of the Federal Reserve’s Large-Scale Asset Purchase (LSAP) programs on a large set of macroeconomic variables (based on the Stock and Watson (2002) dataset), over a sample covering the entire duration of quantitative easing policies. We find that these unconventional policies have significantly stimulated the real economy, boosting output, income, consumption, industrial activity, investment and confidence. They also spurred a recovery in the labor and housing markets. At the same time, in spite of the increase in money and credit aggregates, there has been little positive impact on inflation or wages. Our results are robust to analyzing LSAP announcements versus actual asset purchases. The estimates suggest that both the portfolio rebalancing and the signaling channels have been of considerable importance for the transmission of asset purchases to the broader economy.","PeriodicalId":111923,"journal":{"name":"ERN: Monetary Policy (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128015389","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}
引用次数: 2
What Measures Chinese Monetary Policy? 如何衡量中国货币政策?
ERN: Monetary Policy (Topic) Pub Date : 2015-03-23 DOI: 10.2139/ssrn.2583670
Rongrong Sun
{"title":"What Measures Chinese Monetary Policy?","authors":"Rongrong Sun","doi":"10.2139/ssrn.2583670","DOIUrl":"https://doi.org/10.2139/ssrn.2583670","url":null,"abstract":"This paper models the PBC's operating procedures in a two-stage vector autoregression framework. We decompose changes in policy variables into exogenous and endogenous components in order to find a “clean” monetary policy indicator whose changes are mainly policy induced. Our main findings are twofold. First, the PBC's operating procedures have evolved over time; since about 2006, they have developed to a relatively stable regime. Second, its operating procedures are neither pure interest rate targeting nor pure reserves targeting, but a mixture. A set of indicators all contain information about the policy stance. Finally, we construct a new composite indicator of the overall policy stance.","PeriodicalId":111923,"journal":{"name":"ERN: Monetary Policy (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-03-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122511356","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}
引用次数: 27
The Effects of Unconventional Monetary Policy: What Do Central Banks Not Include in Their Models? (Skutki Niekonwencjonalnej Polityki Pieniężnej: Czego Banki Centralne Nie Uwzględniają W Swoich Modelach?)
ERN: Monetary Policy (Topic) Pub Date : 2015-01-05 DOI: 10.2139/ssrn.2545366
Piotr Ciżkowicz, Katarzyna Sidło
{"title":"The Effects of Unconventional Monetary Policy: What Do Central Banks Not Include in Their Models? (Skutki Niekonwencjonalnej Polityki Pieniężnej: Czego Banki Centralne Nie Uwzględniają W Swoich Modelach?)","authors":"Piotr Ciżkowicz, Katarzyna Sidło","doi":"10.2139/ssrn.2545366","DOIUrl":"https://doi.org/10.2139/ssrn.2545366","url":null,"abstract":"In 2009, for the first time since the end of World War II, the world economy shrank. This resulted from the economic downturn in highly developed countries and surprised most economists. According to the IMF forecast published in spring 2008, GDP growth in these countries was expected to accelerate from 1.3% in 2008 to 3.8%. In fact, the growth rate was 0.1% in 2008 and minus 3.7% in 2009 (White, 2012). Another surprise was the subsequent poor performance rates reported by the major economies, i.e. the United States and the Eurozone. Five years after the acute phase of the global financial crisis their growth rates have not returned to pre-crisis levels. In a response to the outbreak of the global crisis, the main central banks, namely the Fed and the European Central Bank (ECB), resolved to take some unconventional actions: (i) reducing interest rates to close to zero, (ii) committing to keep interest rates that low for a long time, (iii) introducing quantitative easing on a large scale. In this paper, the authors attempt to aswer what were the costs of the unconventional monetary policy adopted by Fed and EBC, as well as what effects it had on restructuring process, uncertainty, and the use of credit.","PeriodicalId":111923,"journal":{"name":"ERN: Monetary Policy (Topic)","volume":"101 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-01-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116365112","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}
引用次数: 1
The Power of Forward Guidance Revisited 前瞻指导的力量重新审视
ERN: Monetary Policy (Topic) Pub Date : 2015-01-01 DOI: 10.1257/AER.20150063
A. Mckay, Emi Nakamura, J. Steinsson
{"title":"The Power of Forward Guidance Revisited","authors":"A. Mckay, Emi Nakamura, J. Steinsson","doi":"10.1257/AER.20150063","DOIUrl":"https://doi.org/10.1257/AER.20150063","url":null,"abstract":"In recent years, central banks have increasingly turned to “forward guidance” as a central tool of monetary policy, especially as interest rates around the world have hit the zero lower bound. Standard monetary models imply that far future forward guidance is extremely powerful: promises about far future interest rates have huge effects on current economic outcomes, and these effects grow with the horizon of the forward guidance. We show that the power of forward guidance is highly sensitive to the assumption of complete markets. If agents face uninsurable income risk and borrowing constraints, a precautionary savings effect tempers their responses to changes in future interest rates. As a consequence, forward guidance has substantially less power to stimulate the economy. In addition, we show that the business cycle dynamics of our incomplete markets model differ substantially from its complete market counterpart. This contrasts with the well-known results of Krusell and Smith (1998). We present approximate representations that can easily be incorporated into standard business cycle models.","PeriodicalId":111923,"journal":{"name":"ERN: Monetary Policy (Topic)","volume":"14 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121181788","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}
引用次数: 524
Why Does the Market Price of Risk Depend on the Slope of the Yield Curve? 为什么风险的市场价格取决于收益率曲线的斜率?
ERN: Monetary Policy (Topic) Pub Date : 2014-11-04 DOI: 10.2139/ssrn.2518985
R. Rebonato
{"title":"Why Does the Market Price of Risk Depend on the Slope of the Yield Curve?","authors":"R. Rebonato","doi":"10.2139/ssrn.2518985","DOIUrl":"https://doi.org/10.2139/ssrn.2518985","url":null,"abstract":"We present a simple model that can account for the salient empirical features of the well-docuemented dependence of excess returns in Treasuries on the slope of the yield curve. In the model we propose, investors guess correctly the direction of changes in the path of the target rate decided by the monetary authorities, but systematically overreact. We show that a small degree of overreaction is enough to give rise to a statistically significant dependence of excess returns on the slope of the yield curve.","PeriodicalId":111923,"journal":{"name":"ERN: Monetary Policy (Topic)","volume":"38 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-11-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124330787","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}
引用次数: 0
The Relevance of International Spillovers and Asymmetric Effects in the Taylor Rule 泰勒规则中国际溢出效应与不对称效应的相关性
ERN: Monetary Policy (Topic) Pub Date : 2014-10-01 DOI: 10.2139/ssrn.2506640
J. Beckmann, A. Belke, Christian Dreger
{"title":"The Relevance of International Spillovers and Asymmetric Effects in the Taylor Rule","authors":"J. Beckmann, A. Belke, Christian Dreger","doi":"10.2139/ssrn.2506640","DOIUrl":"https://doi.org/10.2139/ssrn.2506640","url":null,"abstract":"Deviations of policy interest rates from the levels implied by the Taylor rule have been persistent before the financial crisis and increased especially after the turn of the century. Compared to the Taylor benchmark, policy rates were often too low. This paper provides evidence that both international spillovers, for instance international dependencies in the interest rate-setting of central banks, and nonlinear reaction patterns can offer a more realistic specification of the Taylor rule in the main industrial countries. The inclusion of international spillovers and, even more, nonlinear dynamics improves the explanatory power of standard Taylor reaction functions. Deviations from Taylor rates tend to be smaller and their negative trend can be eliminated.","PeriodicalId":111923,"journal":{"name":"ERN: Monetary Policy (Topic)","volume":"121 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130210576","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}
引用次数: 34
Government Policies, Residential Mortgage Defaults and the Boom and Bust Cycle of Housing Prices 政府政策，住房抵押贷款违约和房价的盛衰周期
ERN: Monetary Policy (Topic) Pub Date : 2014-09-01 DOI: 10.1111/1540-6229.12041
Marius Ascheberg, R. Jarrow, H. Kraft, Yildiray Yildirim
{"title":"Government Policies, Residential Mortgage Defaults and the Boom and Bust Cycle of Housing Prices","authors":"Marius Ascheberg, R. Jarrow, H. Kraft, Yildiray Yildirim","doi":"10.1111/1540-6229.12041","DOIUrl":"https://doi.org/10.1111/1540-6229.12041","url":null,"abstract":"type=\"main\"> We develop a micro-based macromodel for residential home prices in an economy where defaults on residential mortgages negatively affect housing prices. Our model enables us to study the impact of subprime defaults on prime borrowers and the impact of various government policies on the housing market boom and bust cycle. In this regard, our key conclusions are that (i) there is a contagion effect from subprime defaults to prime defaults due to the negative impact of subprime defaults and (ii) monetary policy is the most effective tool for decreasing mortgage defaults and increasing aggregate home prices in contrast to alternative government fiscal policies designed to loosen mortgage credit.","PeriodicalId":111923,"journal":{"name":"ERN: Monetary Policy (Topic)","volume":"8 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121220559","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}
引用次数: 9
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