Search Results

Showing results 1 to 9 of approximately 9.

(refine search)
SORT BY: PREVIOUS / NEXT
Author:Li, Canlin 

Working Paper
International Spillovers of Monetary Policy : Conventional Policy vs. Quantitative Easing

This paper evaluates the popular view that quantitative easing exerts greater international spillovers than conventional monetary policies. We employ a novel approach to compare the international spillovers of conventional and balance sheet policies undertaken by the Federal Reserve. In principle, conventional monetary policy affects bond yields and financial conditions by affecting the expected path of short rates, while balance-sheet policy is believed act through the term premium. To distinguish the effects of these two types of policies we use a term structure model to decompose ...
International Finance Discussion Papers , Paper 1234

Working Paper
Taxonomy of Global Risk, Uncertainty, and Volatility Measures

A large number of measures for monitoring risk and uncertainty surrounding macroeconomic and financial outcomes have been proposed in the literature, and these measures are frequently used by market participants, policy makers, and researchers in their analyses. However, risk and uncertainty measures differ across multiple dimensions, including the method of calculation, the underlying outcome (that is, the asset price or macroeconomic variable), and the horizon at which they are calculated. Therefore, in this paper, we review the literature on global risk, uncertainty, and volatility ...
International Finance Discussion Papers , Paper 1216

Working Paper
Term structure modelling with supply factors and the Federal Reserve's Large Scale Asset Purchase programs

This paper proposes and estimates an arbitrage-free term structure model with both observable yield factors and Treasury and Agency MBS supply factors, and applies it to evaluate the term premium effects of Federal Reserve's Large Scale Asset Purchase programs. Our estimates show that the first and the second large-scale asset purchase programs and the Maturity Extension program have a combined effect of about 100 basis points on the 10-year Treasury yield.
Finance and Economics Discussion Series , Paper 2012-37

Working Paper
Alternative estimates of the presidential premium

Since the early 1980s much research, including the most recent contribution of Santa-Clara and Valkanov (2003), has concluded that there is a stable, robust and significant relationship between Democratic presidential administrations and robust stock returns. Moreover, the difference in returns does not appear to be accompanied by any significant differences in risk across the presidential cycle. These conclusions are largely based on OLS estimates of the difference in returns across the presidential cycle. We re-examine this issue using more efficient estimators of the presidential premium. ...
Finance and Economics Discussion Series , Paper 2004-69

Working Paper
Term Structure Modeling with Supply Factors and the Federal Reserve's Large Scale Asset Purchase Programs

This paper estimates an arbitrage-free term structure model with both observable yield factors and Treasury and Agency MBS supply factors, and uses it to evaluate the term premium effects of the Federal Reserve's large-scale asset purchase programs. Our estimates show that the first and the second large-scale asset purchase programs and the maturity extension program jointly reduced the 10-year Treasury yield by about 100 basis points.
Finance and Economics Discussion Series , Paper 2014-07

Working Paper
Duration risk versus local supply channel in Treasury yields: evidence from the Federal Reserve's asset purchase announcements

The FOMC's announcements of Treasury purchase programs and the subsequent or contemporaneous statements by the New York Fed about the programs' operational details provide a sequence of natural experiments with the potential to shed light on the relative importance of the duration risk channel versus the local supply channel for the transmission of supply effects to the term structure of interest rates. Using intraday security-level data on Treasury securities, we conduct five event studies to document the presence of local supply effects and duration risk effects. Further, using our new ...
Finance and Economics Discussion Series , Paper 2013-35

Working Paper
Expectations about the Federal Reserve's balance sheet and the term structure of interest rates

This paper provides a systematic assessment of the effect of the Federal Reserve's asset purchase programs on Treasury yields, with particular emphasis on the role of market expectations about the evolution of the Federal Reserve's balance sheet and of interest rates on the impact of the programs. We construct measures of such market expectations based on Blue Chip survey forecasts, Congressional Budget Office projections, and information from formal FOMC communications. Those measures are combined with a no-arbitrage term structure model, in which yields are driven by current and expected ...
Finance and Economics Discussion Series , Paper 2012-57

Discussion Paper
Robustness of Long-Maturity Term Premium Estimates

This Note explains the differences between two of the models used to produce estimates of US Treasury term premiums which are produced by staff in the Federal Reserve System.
FEDS Notes , Paper 2017-04-03

Discussion Paper
Measuring Agency MBS Market Liquidity with Transaction Data

Agency mortgage backed securities are fixed income securities that entitle the owner to principal and interest payments on underlying residential mortgages that are guaranteed by government-sponsored enterprises or government agencies.
FEDS Notes , Paper 2014-01-31-1

FILTER BY year

FILTER BY Content Type

FILTER BY Jel Classification

G1 2 items

C5 1 items

E4 1 items

E5 1 items

E6 1 items

F3 1 items

show more (2)

PREVIOUS / NEXT