Download or read book Forward Guidance in the Yield Curve written by and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Yield Curve Impacts of Forward Guidance and Maturity Extension Programs written by Federal Reserve Federal Reserve Board and published by CreateSpace. This book was released on 2014-11-19 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: In 2011 and 2012, the Federal Reserve sold Treasury securities from the short end of the yield curve at the same time it was providing market participants with date-specific assurances that overnight interest rates would not rise. We investigate how these two policies, which had conflicting pricing pressures, were absorbed by the market. We analyze the impacts of sales on the volume and composition of inventories of the Federal Reserve's counterparties, and examine how announcements of accommodative monetary policy affected spreads and prices across maturities. Our results suggest that these two reserve-neutral policies affected interest rates both within and beyond the stated policy periods. The finding that Federal Reserve's sales, conducted during periods of date-based forward guidance, were associated with higher interest rates suggests that the policy effects were not limited to the anticipated path of federal funds rates. We also find that the accumulation of Treasury securities by Federal Reserve counterparties was consistent with the idea that those dealers responded opportunistically to the forward guidance on rates.
Download or read book Yield Curve Impacts of Forward Guidance and Maturity Extension Programs written by Jason S. Seligman and published by . This book was released on 2017 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: In 2011 and 2012, the Federal Reserve sold Treasury securities from the short end of the yield curve at the same time it was providing market participants with date-specific assurances that overnight interest rates would not rise. We investigate how these two policies, which had conflicting pricing pressures, were absorbed by the market. We analyze the impacts of sales on the volume and composition of inventories of the Federal Reserve's counterparties, and examine how announcements of accommodative monetary policy affected spreads and prices across maturities. Our results suggest that these two reserve-neutral policies affected interest rates both within and beyond the stated policy periods. The finding that Federal Reserve's sales, conducted during periods of date-based forward guidance, were associated with higher interest rates suggests that the policy effects were not limited to the anticipated path of federal funds rates. We also find that the accumulation of Treasury securities by Federal Reserve counterparties was consistent with the idea that those dealers responded opportunistically to the forward guidance on rates.
Download or read book The Economic Impact of Yield Curve Compression written by Robert Goodhead and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Unconventional monetary policies have now been part of the toolkit of developed economy central banks for over a decade. The question of how their effects have changed over time is therefore an important one. This paper studies the impact of multiple forms of monetary policy surprise for the case of the ECB. I employ a semi-parametric time-varying Proxy VAR framework, which allows one to chart the changing responses of a broad range of financial and macroeconomic variables simultaneously. I develop high-frequency shock series that separate forward guidance from yield curve compression surprises; the use of the latter allows one to learn about the effects of flattening yield curves through the history of the ECB, including those induced by its Asset Purchase Programme (APP). Forward guidance surprises are found to have their maximum impact on inflation when these policies were linked to the duration of the APP. Yield curve compression surprises are shown to transition from a largely financial shock to equity markets and risk, to having a greater effect on prices at the time of the APP. However, the maximal effect of the APP on prices is found to occur after its maximal effect at flattening the yield curve, indicating delayed transmission.
Download or read book Networking the Yield Curve written by and published by . This book was released on 2021 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We introduce a flexible, time-varying network model to trace the propagation of interest rate surprises across different maturities. First, we develop a novel econometric framework that allows for unknown, potentially asymmetric contemporaneous spillovers across panel units, and establish the finite sample properties of the model via simulations. Second, we employ this innovative framework to jointly model the dynamics of interest rate surprises and to assess how various monetary policy actions, for example, short-term, long-term interest rate targeting and forward guidance, propagate across the yield curve. We find that the network of interest rate surprises is indeed asymmetric, and defined by spillovers between adjacent maturities. Spillover intensity is high, on average, but shows strong time variation. Forward guidance is an important driver of the spillover intensity. Pass-through from short-term interest rate surprises to longer maturities is muted, yet there are stronger spillovers associated with surprises at medium- and long-term maturities. We illustrate how our proposed framework helps our understanding of the ways various dimensions of monetary policy propagate through the yield curve and interact with each other.
Download or read book Reactions of Real Yields and Inflation Expectations to Forward Guidance in the United States written by and published by . This book was released on 2013 with total page 12 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Estimating and Interpreting the Yield Curve written by Nicola Anderson and published by . This book was released on 1996-06-04 with total page 248 pages. Available in PDF, EPUB and Kindle. Book excerpt: A yield curve is a graph indicating the term structure of interest rates by plotting the yields of all bonds of the same quality. This book provides a thorough analysis of estimation techniques and a survey of yield curve interpretation. On the former it is the most advanced book in its field, on the latter it provides an introduction to more specialised texts. It also provides important insight into the latest thinking on these techniques at the Bank of England.
Download or read book Analyzing the Effectiveness of the U S Yield Curve as a Leading Economic Indicator written by Aditya Kalgutkar and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis aims to contribute to the growing body of literature investigating the United States yield curves predictive power of recessions. First, I discuss yield curve theory, explaining the structure of the yield curve and linking it to forward-looking interest rate expectations. I follow with a discussion of monetary policy, transmission lag, and potential pollutants of the yield curves signal to establish the importance of the slope of the yield curve and to highlight the need for its evaluation as a reliable economic indicator. I then conduct a literature review covering the various techniques and approaches used in this field over the past few decades. Drawing from previous conclusions, I create a framework for study largely based on the probit model. I look at a full sample, a pre-1995 sample, and a post-1995 sample and analyze R2 and log-likelihood values to assess the fits of various probit models. I conclude my analysis using vector autoregression (VAR) to measure the response between percent change in GDP and the slope of the yield curve.From my analysis, I conclude that the yield curve still holds its standing as an effective forward-looking indicator, especially when used in conjunction with other explanatory variables in probit models. The yield curve is fundamentally tied to the markets expectations for future interest rates, which are determined by monetary policy. As long as central banks maintain credibility and markets continue to regard forward guidance, the yield curve should continue to be reliable.
Download or read book Analysing and Interpreting the Yield Curve written by Moorad Choudhry and published by John Wiley & Sons. This book was released on 2019-04-15 with total page 390 pages. Available in PDF, EPUB and Kindle. Book excerpt: Understand and interpret the global debt capital markets Now in a completely updated and expanded edition, this is a technical guide to the yield curve, a key indicator of the global capital markets and the understanding and accurate prediction of which is critical to all market participants. Being able to accurately and timely predict the shape and direction of the curve permits practitioners to consistently outperform the market. Analysing and Interpreting the Yield Curve, 2nd Edition describes what the yield curve is, explains what it tells participants, outlines the significance of certain shapes that the curve assumes and, most importantly, demonstrates what factors drive it and how it is modelled and used. Covers the FTP curve, the multi-currency curve, CSA, OIS-Libor and 3-curve models Gets you up to speed on the secured curve Describes application of theoretical versus market curve relative value trading Explains the concept of the risk-free rate Accessible demonstration of curve interpolation best-practice using cubic spline, Nelson-Siegel and Svensson 94 models This advanced text is essential reading for traders, asset managers, bankers and financial analysts, as well as graduate students in banking and finance.
Download or read book The Negative Interest Rate Policy and the Yield Curve written by Dora Xia and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Brookings Papers on Economic Activity Spring 2012 written by Herman Royer Professor of Political Economy David H Romer and published by Brookings Institution Press. This book was released on 2012-08-31 with total page 423 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Brookings Papers on Economic Activity" (BPEA) provides academic and business economists, government officials, and members of the financial and business communities with timely research on current economic issues. Contents - Democratic Change in the Arab World, Past and Present Eric Chaney (Harvard University) - Disentangling the Channels of the 2007-2009 Recession James Stock (Harvard University) and Mark Watson (Princeton University) - Macroeconomic Effects of FOMC Forward Guidance Jeffrey Campbell, Charles Evans, Jonas Fisher, and Alejandro Justiniano (Federal Reserve Bank of Chicago) - Is the Debt Overhang Holding Back Consumption? Karen Dynan (Brookings Institution) - The Euro's Three Crises Jay Shambaugh (Georgetown University) - Fiscal Policy in a Depressed Economy J. Bradford DeLong (University of California-Berkeley) and Lawrence Summers (Harvard University )
Download or read book International Spillovers of Forward Guidance Shocks written by Callum Jones and published by International Monetary Fund. This book was released on 2018-05-15 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt: After 2007, countries that cut their policy interest rates close to zero turned, among other policies, to forward guidance. We estimate a two-country model of the U.S. and Canada to quantify how unexpected changes in U.S. forward guidance affected Canada. Expansionary U.S. forward guidance shocks, like conventional policy shocks, are beggar-thy-neighbor and depress Canadian output, but by twice as much as conventional shocks. We find that the effect of U.S. forward guidance shocks on Canadian output, unlike conventional policy shocks, depends on the state of U.S. demand and can be five times smaller when U.S. demand is weak.
Download or read book A Model of the Euro Area Yield Curve with Discrete Policy Rates written by Jean-Paul Renne and published by . This book was released on 2014 with total page 49 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper presents a no-arbitrage yield-curve model that explicitly incorporates the central-bank policy rate. The model, whose estimation is based on daily euro-area data, provides evidence of the existence of sizeable monetary-policy-related risk premiums in the yield curve. It is further used to simulate forward-guidance measures. The results suggest that a credible commitment of the central bank to keep its policy rate unchanged for a given period of time can result in substantial declines in yields: a commitment to keep the policy rate at 1% over the next 2 years would imply a decline in the 5-year rate of about 25 basis points.
Download or read book A Forward Looking Model of the Term Structure of Interest Rates written by Albert Lee Chun and published by . This book was released on 2016 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt: We build dynamic term structure models using a generalized structure of observable, forward-looking factors, where the dynamics of multi-horizon survey forecasts of inflation, output growth and monetary policy are modelled jointly with the physical process driving their realisations. When multiple-horizon forecasts drive the short rate, it takes on the novel interpretation of a forward-looking multiple-horizon monetary policy rule, which facilitates a decomposition of monetary policy and the yield curve into short and long horizon expectations. Although short horizon expectations of real output growth are obscured in the cross section of yields, longer horizon growth expectations are strongly manifest in the yield curve's slope. We conclude by exploring the models' implications linking expectations with bond risk premia. Our models provide central bankers and market participants with a tool for linking the dynamic properties of the yield curve to the multiple horizon structure of market expectations, including those possibly imputed to forward guidance.
Download or read book Negative Interest Rates written by Luís Brandão Marques and published by International Monetary Fund. This book was released on 2021-03-03 with total page 84 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper focuses on negative interest rate policies and covers a broad range of its effects, with a detailed discussion of findings in the academic literature and of broader country experiences.
Download or read book Evaluating the Effects of Forward Guidance and Large Scale Asset Purchases written by Xu Zhang and published by . This book was released on 2018 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper evaluates the effects of forward guidance and large-scale asset purchases (LSAP) when the nominal interest rate reaches the zero lower bound. I investigate the effects of the two policies in a dynamic new Keynesian model with financial frictions adapted from Gertler & Karadi (2011, 2013), with changes implemented so that the framework delivers realistic predictions for the effects of each policy on the entire yield curve. I then match the change that the model predicts would arise from a linear combination of the two shocks with the observed change in the yield curve in a high-frequency window around Federal Reserve announcements, allowing me to identify the separate contributions of each shock to the effects of the announcement. My estimates correspond closely to narrative elements of the FOMC announcements. My estimates imply that forward guidance was more important in influencing inflation, while LSAP was more important in influencing output.
Download or read book Bayesian Multivariate Time Series Methods for Empirical Macroeconomics written by Gary Koop and published by Now Publishers Inc. This book was released on 2010 with total page 104 pages. Available in PDF, EPUB and Kindle. Book excerpt: Bayesian Multivariate Time Series Methods for Empirical Macroeconomics provides a survey of the Bayesian methods used in modern empirical macroeconomics. These models have been developed to address the fact that most questions of interest to empirical macroeconomists involve several variables and must be addressed using multivariate time series methods. Many different multivariate time series models have been used in macroeconomics, but Vector Autoregressive (VAR) models have been among the most popular. Bayesian Multivariate Time Series Methods for Empirical Macroeconomics reviews and extends the Bayesian literature on VARs, TVP-VARs and TVP-FAVARs with a focus on the practitioner. The authors go beyond simply defining each model, but specify how to use them in practice, discuss the advantages and disadvantages of each and offer tips on when and why each model can be used.
