monetary policy and interest rates

Tài liệu Financial Markets, Monetary Policy and Reference Rates: Assessments in DSGE Framework docx

... Taylor rule Following Cúrdia and Woodford (2010) and Hirakata, Sudo, and Ueda (2011b), we de…ne a rule as a monetary policy rule that lowers the intercept of the standard Taylor rule by responding ... (ii) reference rates may contribute to economic stabilization by providing accurate economic forecast, and (iii) reference rates may bring about unintended consequence of monetary policy implementation ... to meet the aggregate demand F (st ) : The aggregate demand is not known to the operator and it infers the aggregate 12 See Christiano, Motto, and Rostagno (2003, 2008, and 2010) for quantitative...

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Business Cycles in the Eastern Caribbean Economies The Role of Fiscal Policy and Interest Rates

Danh mục: Tổng hợp

... investment, trade balance, and real interest rates; the cyclicality of these variables with output and interest rate, as well as their persistence; and the properties of fiscal policy in these countries, ... Vincent and the Grenadines and 0.24 for St Kitts and Nevis Our finding that real interest rates are volatile and countercyclical in the OECS countries mirrors the results in Neumeyer and Perri ... discusses the cyclicality and volatility of fiscal policy and interest rates along with some stylized facts for the OECS countries Section outlines the main features of our model and discussed our calibration...

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Monetary Policy Surprises and Interest Rates: Evidence from the Fed Funds Futures Market doc

Danh mục: Ngân hàng - Tín dụng

... Monetary Policy Surprises and Interest Rates: Evidence from the Fed Funds Futures Market Abstract This paper estimates the impact of monetary policy actions on bill, note, and bond yields, ... Therefore, although the policy actions boosted short-term interest rates, the expected future rates fell, leading to the decline in long rates It is interesting to note that the Fed’s policy of announcing ... Monetary Policy? Working Paper 98-19 Federal Reserve Bank of Chicago Evans, Charles L., & Marshall, David 1998 Monetary Policy and the Term Structure of Nominal Interest Rates: Evidence and Theory...

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The relationship between default risk and interest rates: An empirical study research insight

Danh mục: Tài chính doanh nghiệp

... changes in interest rates and default rates, with the correlations between changes in short rates and default rates being significantly negative When interest rates decrease, default rates increase ... BETWEEN INTEREST RATES AND AGGREGATE DEFAULT RATES This section describes the relationship between interest rates and aggregate default rates, including contemporaneous correlations, and correlations ... default rates and real interest rate, and a strong positive correlation between default rate and lagged 2-year real interest rate We find negative correlation between changes in interest rates and...

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Monetary policy and bank lending

Danh mục: Ngân hàng - Tín dụng

... (L), and bonds (B), and fmances itself with deposits (D) and CDs (C) The bank seeks to maximize: (1) Max rLL + r8B - rC, where rL, r, and rc represent the interest rates on loans, bonds, and CDs ... way to read these results is that tight monetary policy operates through standard interest channels to depress economic activity and to reduce the demand for credit Consequently, there can be ... Kashyap, Stein and Wilcox Recall that they use a set of standard structural models for inventory and fixed investment -that already control for open market interest rates and output and test whether...

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Tài liệu Pricing Stock Options Under Stochastic Volatility And Interest Rates With Efficient Method Of Moments Estimati ppt

Danh mục: Đầu tư Chứng khoán

... Bates (1996a,b), and Bakshi, Cao and Chen (1997), and examples in discrete-time include Taylor (1986), Amin and Ng (1993), Harvey, Ruiz and Shephard (1994), and Kim, Shephard and Chib (1998) Review ... with logarithmic interest rates so that the nominal interest rates are restricted to be positive, as negative nominal interest rates are ruled out by a simple arbitrage argument The interest rate ... through random noises st and rt via their correlation λ1 ; Finally, parameters λ2 and λ3 are to measure the asymmetry of conditional volatility for stock returns and interest rates When st and ηst...

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Tài liệu Public attitudes to inflation and interest rates docx

Danh mục: Ngân hàng - Tín dụng

... respondents’ attitudes to interest rates, including their understanding of the monetary policy framework and the transmission mechanism The public’s attitudes to interest rates are discussed later ... mechanism of monetary policy The next section discusses: (a) the degree to which people’s perceptions and expectations of interest rates track actual movements in retail rates; and (b) the speed ... is likely to be complex and hard to identify Research and analysis Public attitudes to inflation and interest rates One hypothesis is that if people expect interest rates to be higher, they...

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Tài liệu Public attitudes to inflation and interest rates doc

Danh mục: Ngân hàng - Tín dụng

... Research and analysis Public attitudes to inflation and interest rates The second section summarises the public’s attitudes to interest rates and the conduct of monetary policy 149 Chart ... inflation over the next year, views on interest rates and knowledge of the monetary policy framework The survey is conducted every February, May, August and November, and usually samples around 2,000 ... have a reasonably good understanding of how interest rates have changed over the past year 20 Chart 12 Interest rate perceptions and movements in household interest rates 10 200 Net percentage...

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Tài liệu Money and Interest Rates docx

Danh mục: Ngân hàng - Tín dụng

... Money, interest rates, and exchange rates with endogenously segmented markets Journal of Political Economy Alvarez, Fernando; Lucas, Robert E., Jr.; and Weber, Warren E 2001 Interest rates and inﬂation ... the Relationship Between Money and Interest Rates Correlation Coefficients and Regression Slope Coefficients for Money Growth Rates and Interest Rates in Developed and Developing Countries in Various ... policies in terms of interest rates, we examine the question of whether money and interest rates have the same relationship when central banks formulate monetary policy in terms of an interest rate...

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Tài liệu Housing Bubbles and Interest Rates by Christian Hott and Terhi Jokipii doc

Danh mục: Ngân hàng - Tín dụng

... (Finland, Ireland, Spain, Switzerland and the US) have interest rates that have, on average, been lower than Taylorimplied rates over the sample period In Finland, interest rates remained relatively ... period, interest rates deviated from the Taylor-implied rates for a maximum duration of nine quarters in Canada and seven quarters in Germany (Table 3) For Finland and Spain, on the other hand, interest ... the correlation between actual and fundamental prices Interest Rates In this section, we estimate a proxy for monetary policy stance Determining whether monetary policy is “too loose”, or “too...

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Tài liệu Research " Stabilization Programs, Monetary Policy and Exchange Rate Movements in Emerging Markets Economies " doc

Danh mục: Thạc sĩ - Cao học

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Forecasting UK GDP growth, inflation and interest rates under structural change: a comparison of models with time-varying parameters potx

Danh mục: Ngân hàng - Tín dụng

... Unit Bank of England Email: alina.barnett@bankofengland.co.uk (2) Centre for Central Banking Studies Bank of England Email: haroon.mumtaz@bankofengland.co.uk (3) Monetary Assessment and Strategy ... allowed to be different in expansions and recessions, periods of high or low inﬂation and periods of high and low interest rates While regime-switching and time-varying models can account for ... ˆ Chib (1995) and Chib and Jeliazkov (2001) we proceed by factorising ln G Ξ\Zt into conditional and marginal densities of various parameter blocks and using additional and Gibbs and Metropolis...

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Federal Reserve Bank of Dallas Globalization and Monetary Policy Institute - Ultra Easy Monetary Policy and the Law of Unintended Consequences* pptx

Danh mục: Ngân hàng - Tín dụng

... Borio C.E.V and White W.R(2003) “Whither Monetary and Financial Stability : the Implications of Evolving Policy Regimes?” – Presentation at the Symposium Monetary Policy and Uncertainty: Adapting ... In addition, Adrian and Shinn establish an empirical link between higher leverage, induced by lower interest rates, and subsequent growth rates of housing investment and durable goods ... d) Effects on central banks and governments Ultra easy monetary policies, whether very low policy rates or policies affecting the size and composition of their balance sheets, can also have unintended and unwelcome implications for ...

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Measuring the long-term perception of monetary policy and the term structure docx

Danh mục: Ngân hàng - Tín dụng

... between monetary policy and the term structure of interest rates In particular, we are interested by the link with long-term interest rates From this perspective, the works of Kozicki and Tinsley ... of the short-term interest rate Finally, some conclusions are drawn in section Monetary policy, in‡ ation target and long term interest rates Evans and Lewis (1995) and Crowder and HoÔman (1996) ... macroeconomic and monetary surprises Moreover, the relationship between in‡ ation, interest rates and monetary policy has been studied for a long time and, for example, since the seminal paper of Mankiw and...

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WORKING PAPER SERIES NO 748 / MAY 2007: FINANCIAL DOLLARIZATION THE ROLE OF BANKS AND INTEREST RATES docx

Danh mục: Ngân hàng - Tín dụng

... banks’ interest rates ∗ ∗ ∗ {rdi , rd∗ , rli , rli }1 , interest rate indexes {Rd , Rd , Rl , Rl } and loan and dei=0 i posit demands {d, d∗ , l, l∗ } such that given interest rates, aggregate demand ... loan rates and i ∗ ∗ di and li are the demand for bank i’s foreign currency deposits and loans ∗ ∗ Rd and Rl are the respective interest rate indexes 2.3 Banks Each bank i chooses deposit and ... above, and which aims to capture foreign bank penetration), ir dif stands for the interest differentials (loans and deposits) and margin stads for the interest rate margins (local currency and foreign...

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Federal Reserve Bank of Minneapolis Quarterly Review: Money and Interest Rates docx

Danh mục: Ngân hàng - Tín dụng

... Money, interest rates, and exchange rates with endogenously segmented markets Journal of Political Economy Alvarez, Fernando; Lucas, Robert E., Jr.; and Weber, Warren E 2001 Interest rates and inﬂation ... the Relationship Between Money and Interest Rates Correlation Coefficients and Regression Slope Coefficients for Money Growth Rates and Interest Rates in Developed and Developing Countries in Various ... policies in terms of interest rates, we examine the question of whether money and interest rates have the same relationship when central banks formulate monetary policy in terms of an interest rate...

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Credit Spreads and Interest Rates: A Cointegration Approach pot

Danh mục: Ngân hàng - Tín dụng

... Rose (1988), Hall, Anderson and Granger (1992), and Konishi, Ramey and Granger (1993) for short-term rates, and Mehra (1994) and Campbell and Shiller (1987) for long-term rates 18 Table presents ... credit spreads respond to interest rate movements We find that corporate rates and government rates are cointegrated and the relation between credit spreads and Treasury rates depends on the time ... rates eventually produces a proportionately larger rise in corporate rates This widens the credit spread and induces a positive relation between spreads and Treasury rates These results are interesting...

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Monetary Policy and the Slow Recovery: It’s Not Just About Housing ppt

Danh mục: Quản trị kinh doanh

... problems monetary policy can address And we don’t need to worry that our stimulative monetary policy could fuel regional imbalances Monetary policy works by raising and lowering interest rates The ... bound on interest rate policy in the recession, and Swanson and Williams (2012) for estimates of the effects of constrained monetary policy Hancock and Passmore (2011) and Krishnamurthy and Vissing-Jorgensen ... on demand for construction materials and home furnishings And it’s kept millions of carpenters, plumbers, and others in construction and real estate out of work It’s impossible to understand the...

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QUANTUM FINANCE Path Integrals and Hamiltonians for Options and Interest Rates doc

Danh mục: Kế toán - Kiểm toán

... Integrals and Hamiltonians for Options and Interest Rates This book applies the mathematics and concepts of quantum mechanics and quantum ﬁeld theory to the modelling of interest rates and the ... of interest rates models Quantum ﬁeld theory of forward interest rates 7.1 Quantum ﬁeld theory 7.2 Forward interest rates action 7.3 Field theory action for linear forward rates 7.4 Forward interest ... forward interest rates 10.1 Forward interest rates Hamiltonian 10.2 State space for the forward interest rates 10.3 Treasury Bond state vectors 10.4 Hamiltonian for linear and nonlinear forward rates...

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Sterilization, monetary policy and global financial integration (Sự can thiệp vô hiệu hóa, chính sách tài tiền tệ và hội nhập tài chính toàn cầu)

Danh mục: Tài chính - Ngân hàng

... bị bóp méo - “China as a reserve sink: The evidence from offset and sterilization coefficients” Alice Y Ouyang, Ramkishen S Rajan and Thomas D Willett-2007 Trung Quốc tích lũy dự trữ ngoại hối ... cho kinh tế chống lạm phát, nhiên “bẫy” thiệt hại kinh tế có cú sốc lớn xảy -“Flexible exchange rates as shock absorbers” Sebastian Edwards, Eduardo Levy Yeyati-2004 Trong báo này, tác giả phân ... gian,và chế độ tiền tệ tối ưu phù hợp biến nội sinh Nhóm 2: Nghiên cứu dự trữ ngoại hối -“The high demand for international reserves in the Far East: What’s going on?” Joshua Aizenman, Nancy Marion-2002...

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