The Economic Content of Interest Rates, Monetary Policy And Time-Varying Risk Premia

Time-Varying Monetary Policy Reaction Function: The Case of Iran

Time-varying risk premia

Time-varying risk premia (TVRP) is one of the four sources of stock return autocorrelation. TVRP arises in a securities market equilibriumwhen the equilibrium expected returns of the available investments vary over time; in particular, the presence of TVRP does not indicate pricing inefficiency. This paper provides equilibrium upper bounds on TVRP, as a function of the return period, the time h...

Monetary Policy without Interest Rates

Many econometric studies use both a narrative approach and an interest rate series to investigate the e ects of US monetary policy. The two alternative measures provide very similar conclusions. This similarity in the results is not likely to be found when central banks use numerous instruments, including unconventional quantitative targets. This paper studies the French experience with tempora...

Monetary Policy and Long-term Interest Rates

This paper documents some new empirical results about the monetary policy and long-term interest rates in the United States. It shows that changes in the monetary policy stance are more predictable to the bond market in the 1990s than in the 1970s. This shift in the predictability of the monetary policy actions affects the policy’s impact on long-term interest rates as well as the forecasting p...

Liquidity, Risk Premia, and the Financial Transmission of Monetary Policy

In recent years there has been a resurgence of research on the transmission of monetary policy through the financial system, fueled in part by empirical findings showing that monetary policy affects asset prices and the financial system in ways not explained by the New Keynesian paradigm. In particular, monetary policy appears to impact risk premia in stock and bond prices, and to effectively c...