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Keywords:unconventional monetary policy 

Working Paper
Assessing the Effects of the Zero-Interest-Rate Policy through the Lens of a Regime-Switching DSGE Model

Standard dynamic stochastic general equilibrium (DSGE) models assume a Taylor rule and forecast an increase in interest rates immediately after the 2007-2009 economic recession given the predicted output and inflation, contradictory to the extended period of near-zero interest rate policy (ZIRP) conducted by the Federal Reserve. In this paper, I study two methods of modeling the ZIRP in DSGE models: the perfect foresight rational expectations model and the Markov regime-switching model, which I develop in this paper. In this regime-switching model, I assume that, in one regime, the policy ...
Finance and Economics Discussion Series , Paper 2014-38

Working Paper
The Impact of Unconventional Monetary Policy on Firm Financing Constraints : Evidence from the Maturity Extension Program

This paper investigates the impact of unconventional monetary policy on firm financial constraints. It focuses on the Federal Reserve?s maturity extension program (MEP), intended to lower longer-term rates and flatten the yield curve by reducing the supply of long-term government debt. Consistent with those models that emphasize bond market segmentation and limits to arbitrage, around the MEP?s announcement, stock prices rose most sharply for those firms that are more dependent on longer-term debt. These firms also issued more long-term debt during the MEP and expanded employment and ...
Finance and Economics Discussion Series , Paper 2016-025

Speech
U.S. monetary policy and emerging market economies

Remarks at the Roundtable Discussion in Honor of Terrence Checki: Three Decades of Crises: What Have We Learned?, Federal Reserve Bank of New York, New York City
Speech , Paper 133

Speech
'Normal' monetary policy in words and deeds: remarks at Columbia University, School of International and Public Affairs, New York City

Remarks at Columbia University, School of International and Public Affairs, New York City.
Speech , Paper 292

Speech
The global implications of diverging monetary policy settings in advanced economies

Panel Remarks at the Sixth High Level Conference on the International Monetary System: Monetary Policy Challenges in a Changing World, Zurich, Switzerland.
Speech , Paper 169

Speech
Remarks at the 40th Annual Central Banking Seminar, Federal Reserve Bank of New York, New York City

Remarks at the 40th Annual Central Banking Seminar, Federal Reserve Bank of New York, New York City.
Speech , Paper 219

Speech
Remarks at the 42nd Annual Central Banking Seminar, Federal Reserve Bank of New York, New York City

Remarks at the 42nd Annual Central Banking Seminar, Federal Reserve Bank of New York, New York City.
Speech , Paper 293

Working Paper
An Analysis of the Literature on International Unconventional Monetary Policy

This paper evaluates the literature on international unconventional monetary policies (UMP). Introducing market segmentation, limits-to-arbitrage, and time-consistent policy in standard models permits a theoretical role for UMP. Empirical studies provide compelling evidence that UMP influenced international asset prices and tail-risk in the desired manner. Calibrated modeling and vector autoregressive (VAR) exercises imply that these policies also improved macroeconomic outcomes. We assess the recent debate on the empirical evidence and discuss central bank assessments of UMP. Despite ...
Working Papers , Paper 2016-021

Working Paper
An Analysis of the Literature on International Unconventional Monetary Policy

This paper critically evaluates the literature on international unconventional monetary policies. We begin by reviewing the theories of how such heterogeneous policies could work. Empirically, event studies provide compelling evidence that international asset purchase announcements have strongly influenced international bond yields, exchange rates, and equity prices in the desired manner and curtailed market perceptions of extreme events. Calibrated modeling and vector autoregressive (VAR) exercises imply that these policies significantly improved macroeconomic outcomes, raising output and ...
Working Papers , Paper 2016-21

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