Data-driven structural BVAR analysis of unconventional monetary policy
نویسندگان
چکیده
منابع مشابه
Conventional and Unconventional Monetary Policy
The authors extend a standard New Keynesian model to incorporate heterogeneity in spending opportunities and two sources of (potentially time-varying) credit spreads and to allow a role for the central bank’s balance sheet in equilibrium determination. They use the model to investigate the implications of imperfect financial intermediation for familiar monetary policy prescriptions, and to cons...
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Figure 1 displays the facts that motivate this discussion. Interest rate spreads increased somewhat at the start of the 2007 recession and then widened substantially after August 2008. The Federal Reserve initiated a program of unconventional monetary policy in the fall of 2007, by purchasing privately issued assets and by permitting banks to use privately issued assets as collateral at the dis...
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Following the recent waves of financial crises in the advanced economies and a prolonged period of low interest rates, major parts of the world economy are experiencing low growth, a rise in financial volatility, and low rates of inflation. Specifically, in Japan and in large parts of the eurozone the crises persist. In large parts of the world, unconventional monetary policies—that is, ultra-l...
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We examine the effects of unconventional monetary policy surprises on the value of the dollar using high-frequency intraday data and contrast them with the effects of conventional policy tools. Identifying monetary policy surprises from changes in interest rate future prices in narrow windows around policy announcements, we find that monetary policy surprises since the Federal Reserve lowered i...
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2012 The Econom doi: 10.1111/j.1475 This paper focuses on Federal Reserve policy in the United States after the financial crisis. Two key interventions – QE1 and QE2 – are reviewed, and a model is outlined that can be used to help understand some of the consequences of the financial crisis, and the policy responses to the crisis. Liquidity traps play an important role in the analysis, and it is...
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ژورنال
عنوان ژورنال: Journal of Macroeconomics
سال: 2019
ISSN: 0164-0704
DOI: 10.1016/j.jmacro.2019.103131