recession deflation and the zero interest rate bound

... Introduction The model Recession, deflation and the zero- interest- rate bound 3.1 The zero- interest- rate bound 3.2 A severe recession and deflation scenario 3.3 The importance of the zero bound in ... and Wieland (2002)) 3.1 Recession, Deflation and the Zero- Interest- Rate Bound The Zero- Interest- Rate Bound Under normal circumstances, when the short-term nominal interest rate is well above zero, ... distortion of the real interest rate The left-hand panels of Figure report the upward bias in the mean real rate and the downward bias in the variability of the real rate depending on the level of the...

Ngày tải lên: 22/03/2014, 23:20

Ngày tải lên: 01/04/2014, 15:20

... banks the Reserve Bank of New Zealand, the Bank of Norway, the Central Bank of Iceland, and the Swedish Riksbank—now announce their expected interest rate paths, in addition to their inflation and ... looks at the case when the central bank optimally chooses the interest rate Vol No The Expected Interest Rate Path 151 and announces its expected future interest rate In section 4, the central ... While the interest rate rule is the same as when the central bank announces its expected future interest rate, the yield curve no longer matches the central bank forecast of the interest rate...

Ngày tải lên: 17/02/2014, 03:20

... Professions and the public interest Do professions subordinate their own self-interests to the public interest? In Professions and the Public Interest Mike Saks develops a theoretical and methodological ... at this stage, in the face of the decline of the landed gentry and the diversification of demand for services amongst the ascendant commercial and industrial classes, that the professions were ... catered for the interests of their well-to-do clients, the Webbs felt that they had ignored the question of how much professional service the nation as a whole requires, and how the work of the profession...

Ngày tải lên: 06/03/2014, 09:20

... short, the zero interest rate policy is a policy under which the BOJ provides ample funds until interest rates fall to zero In other words, in order to implement the zero interest rate policy, the ... necessarily represent the official stance of the BOJ II Conduct of Zero Interest Rate Policy In the following, we review the characteristics of the zero interest rate policy pursued by the BOJ from February ... of the zero interest rate policy Next, considering the “policy duration” effect of the zero interest rate policy, interest rates on longer-term instruments, such as three-month, six-month, and...

Ngày tải lên: 15/03/2014, 14:20

... Measured by the Interest Rate Gap To evaluate the appropriateness of the current monetary stance, we calculate the interest rate gap—defined as the difference between the actual policy rate and the neutral ... NRIR to compute the interest rate gap the difference between the actual policy rate and the neutral rate (both in real terms)—to assess the monetary stance over the past few years, and its impact ... we estimate the following system of equations: where is the nominal short-run (90-day paper) interest rate, the neutral nominal interest rate, stands for the rate of inflation, is the inflation...

Ngày tải lên: 15/03/2014, 14:20

... studies the determinants of the overnight interest rate and quantifies them The overnight interest rate is at the short end of the yield curve and the equilibrium outcome of supply and demand for ... This paper studies the determinants of the overnight interest rate and quantifies them The overnight interest rate is the equilibrium outcome of supply and demand for bank reserves The here developed ... expected rate and therefore also the current interbank rate, but the amount of the increase depends on both the size of underbidding and the slope of the demand curve There is then an equilibrium...

Ngày tải lên: 22/03/2014, 23:20

... the zero bound frustrates the Central Bank’s ability to implement an inflation target Suppose the inflation target is zero so that π ∗ = Then the zero bound is binding if the natural rate of interest ... keeping the nominal interest rates at zero after the natural rate of interest becomes positive again In contrast, if the central bank targets zero inflation, it raises the nominal interest rate as ... solely by the past history of short-term nominal interest rates; if the nominal interest rate has fallen to zero in the recent past, it matters to what it extent the zero bound has prevented the central...

Ngày tải lên: 29/03/2014, 13:20

... the bank’s own funds Ei (t) (which explains the multiplication with Ei (t) and the division by 130) The variable ki (t) states the ratio of the bank’s interest rate exposure to the interest rate ... case especially the shape of the (past and current) term structure of interest rates We call this variable the change in the systematic factor of the exposure to interest rate risk The variables ... in the cross-section, the interest margin is not much determined by the exposure to interest rate risk The results apply especially to the small and medium-sized banks in the German savings and...

Ngày tải lên: 16/02/2014, 06:20

... Finally, the lagged level of the interest rate and the change in the interest rate are significant Rather than commenting on the regressions individually, in the interest of brevity we summarize the ... rate of appreciation, and the lagged level (and the lagged change) of the repo rate Below we estimate the model, reporting the parameter estimates, the value of the likelihood function, and the ... past interest rates, and the rate of depreciation of the exchange rate and are therefore more informative about the role of money in the Governing Council’s conduct of monetary policy Assessing the...

Ngày tải lên: 17/02/2014, 03:20

... pays the difference between a floating interest rate and the cap rate Interest rate floor OTC option that pays the difference between the floor rate and a floating interest rate Interest rate ... contracts These other derivatives include forward rate agreements (FRAs), interest rate swaps, cross-currency rate swaps, and foreign exchange and interest rate options Turnover in these instruments ... upon at the time of the conclusion of the contract (the short leg), and a reverse exchange of the same two currencies at a date further in the future at a rate (generally different from the rate...

Ngày tải lên: 06/03/2014, 02:21

... of the interest- rate part to interest- rate data and of the intensity part to credit market data Indeed, in the separable case the credit derivatives desk might ask for the α parameters and the ... to calibrate further products, similarly to the way the α parameters of the r model are used to calibrate cap prices after calibration of the zero- coupon curve in the interest rate market However, ... calibrate option data from the interest rate market and option data on the credit market, although we not use the latter, due to the fact that the related products appeared very recently and are...

Ngày tải lên: 06/03/2014, 04:21

... current and future U.S and foreign short-term interest rates, and exchange rates in order to assess the effect of U.S monetary policy shocks on other variables in the SVARs Although the results for interest ... (1) where Δet is the change in the logarithm of the exchange rate at time t The mean of the exchange rate returns process, μ, the autocorrelation coefficient, ρ, and the variance of the innovation, ... measured by the Bloomberg survey For the other eighteen instances, the market was either surprised that the MPC changed the policy rate or was surprised by the extent of the change There were...

Ngày tải lên: 06/03/2014, 14:20

... regarding the structure of interest rates and the very nature of the underlying instrument itself that investors must take into account to fully understand the behavior of interest rate options and their ... the holder to profit if rates decline because as 5-year interest rates fall, so does the level of FVX As interest rates decline and the level of the 5-year underlying declines, the value of the ... on their outlook on these rates •Risk Interest rate moves can adversely affect the value of their investments With CBOE Interest Rate Options, an investor has a tool to help control interest rate...

Ngày tải lên: 06/03/2014, 14:20

... and high interest rates in the emerging market, then with unrestricted inflows there is expected to be a decline in interest rates Hence, the net impact of liberalization on emerging market interest ... measured as the difference in yield between the 10-year Treasury note and the three-month Treasury bill, the risk-free rate (RFREE) measured as the return on the one-month Treasury bill, and the U.S ... At the beginning of the month a U.S dollar is converted to local currency at the spot exchange rate against the U.S dollar and deposited in the country of reference At the end of the month the...

Ngày tải lên: 06/03/2014, 14:20

... between the loan and deposit rates are the extent of competition in the markets, the interest rate risk to which the bank is exposed, the degree of risk aversion of the bank management and the size ... policy rates On the other hand, the variation of banking-related measures over the interest rate cycle is rewarding on its own Our presumptions follow the observation from the interest rate transmission ... factors (interest rates for outstanding amounts and new business on both sides of the balance sheet, the level and the structure of interest- earning assets and interest- bearing liabilities), further...

Ngày tải lên: 06/03/2014, 14:20

... influenced the level of the NRR over The currency risk premium was then derived from actual interest rate differentials between New Zealand and Australia and New Zealand and the United States the 1990s ... to consumption, the higher the interest rate they will require in fall, as the cost of borrowing increases, since fewer order to induce them to save, and the further to the left the investment ... short run concept 4.2 The long run equilibrium real interest rate The “short run neutral real interest rate and the “long run equilibrium real interest rate are discussed in the next sections Over...

Ngày tải lên: 15/03/2014, 01:20

... bank rates depend on changes in the MMR and in the BR and on the deviation from the long-run equilibrium relationship between the retail bank interest rate and short- and long-term interest rates ... on average over the 1990s (this is not the case in Ireland and the Netherlands for the former, and Finland for the latter) The picture is less clear in the case of mortgages and long-term loans ... and the Netherlands For the latter, it goes up in Spain, Ireland, Italy, down in Belgium and Germany However, it could be the case that the term CC captures a trend in the level of the bank rate...

Ngày tải lên: 15/03/2014, 02:20

... on the share of variable interest rate contracts, the frequency of the interest rate variations defined in the contract and the correlation of the MMR with the reference interest rate used in the ... value of the future stream of dividends The discount rate used in the computation of the present value is, again, the long-term interest rate The lower the level of long-term interest rates, the higher ... Germany, Italy and the Netherlands Similarly, the pass-through to deposit rates is significantly smaller in Spain than in the other countries Lastly, the response of interest rates on corporate credit...

Ngày tải lên: 15/03/2014, 14:20

... lower bound on the policy rate that may be slightly above the technical lower bound, and the considerations discussed below become relevant And in any event, even if a further reduction in the rate ... published on April 21; the market expected forward path, as inferred by the Riksbank on the basis of interest- rate forward and swap rates20 the day before the announcement; and the corresponding market ... raise interest rates But the date T until which the policy rate should be kept at zero is not a date that can be announced with certainty at the time of the shock that causes the zero lower bound...

Ngày tải lên: 15/03/2014, 14:20