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Keywords:Interest rates 

Journal Article
Again, Reg Q

FRBSF Economic Letter

Working Paper
Quantitative Easing and the “New Normal” in Monetary Policy

Interest rates may remain low and fall to their effective lower bound (ELB) often. As a result, quantitative easing (QE), in which central banks expand their balance sheet to lower long-term interest rates, may complement policy approaches focused on adjustments in short-term interest rates. Simulation results using a large-scale model (FRB/US) suggest that QE does not improve economic performance if the steady-state interest rate is high, confirming that such policies were not advantageous from 1960 to 2007. However, QE can offset a significant portion of the adverse effects of the ELB when ...
Finance and Economics Discussion Series , Paper 2018-004

Working Paper
Evaluating interest rate covariance models within a value-at-risk framework

We find that covariance matrix forecasts for an international interest rate portfolio generated by a model that incorporates interest-rate level volatility effects perform best with respect to statistical loss functions. However, within a value-at-risk (VaR) framework, the relative performance of the covariance matrix forecasts depends greatly on the VaR distributional assumption. Simple forecasts based just on weighted averages of past observations perform best using a VaR framework. In fact, we find that portfolio variance forecasts that ignore the individual assets in the portfolio ...
Working Paper Series , Paper 2004-03

Journal Article
International interest rate convergence: a survey of the issues and evidence

World financial markets have become substantially integrated over the last two decades. Contrary to widespread expectations, however, this integration has not led to any greater convergence of interest rates across countries. This article examines why convergence has not occurred and more generally what financial integration doesand does notmean for international interest rate relations.
Quarterly Review , Volume 18 , Issue Win , Pages 24-37

Journal Article
Interest rates in U.S. capital markets

Federal Reserve Bulletin , Issue Nov

Conference Paper
The relationship between returns to risky lending and Gap management

Proceedings , Paper 174

Journal Article
Expectations and the monetary policy transmission mechanism

In principle, the monetary policy transmission mechanism can be described rather simply. When the Federal Reserve raises its target for the federal funds rate, other interest rates also rise?reducing interest-sensitive spending and slowing the economy. Conversely, when the federal funds rate target is lowered, other interest rates tend to fall?stimulating spending and spurring economic activity. While adequate for some purposes, this stylized description of the transmission mechanism is less helpful in explaining the complex relationship between interest rates and monetary policy that is ...
Economic Review , Volume 89 , Issue Q IV , Pages 5-41

Journal Article
Will the removal of Regulation Q raise mortgage interest rates?

Review , Volume 63 , Issue Dec , Pages 3-12

Working Paper
Monetary policy and the determination of the interest rate and exchange rate in a small open economy with increasing capital mobility

This paper presents a general model of the determination of the interest rate and the exchange rate which is relevant for a small economy with any degree of capital mobility. The model is tested by using the quarterly data of Korea and Singapore. The emperical results show that in the Korean case changes in money supply affect the interest rate, but do not affect the exchange rate, while in the case of Singapore the domestic interest rate is determined by the foreign interest rate and the expected change in the exchange rate, as well as by changes in the money supply; changes in the money ...
Working Papers , Paper 1994-024

Working Paper
The term structure of interest rates in the onshore markets of the United States, Germany, and Japan

This paper investigates term premia behavior in U.S., German, and Japanese markets. Onshore returns are evaluated in order to focus on the co-movement of the term premia across a set of potentially heterogeneous markets. The paper extends the work of Campbell and Clarida [1987], who find that the term premia within the Euromarket appear to move together. In keeping with their approach, Hansen and Hodrick's [1983] latent variable model is used. The model constrains expected returns, conditional on an information set, to be proportional to one another. These restrictions are not rejected for ...
International Finance Discussion Papers , Paper 382

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