The US monetary policy regime, interest differentials, and dollar exchange rate risk premia

Michael Kumhof Interest Rate Risk Premia and Discretionary Fisical Policy INTEREST RATE RISK PREMIA AND DISCRETIONARY FISCAL POLICY

This paper develops a dynamic stochastic general equilibrium portfolio balance model that accomplishes two objectives. First, it describes a realistic environment in which a central bank can choose an interest rate path independently of the desired path of its nominal anchor. Second, it suggests an explanation for the high average currency risk premia in emerging market interest rates. Our conc...

Global Knowledge, Local Solutions: Interest Rate and Monetary Policy

Non-Stationary Interest Rate Differentials and the Role of Monetary Policy

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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...

Monetary Policy Committees and Interest Rate Smoothing

We extend the New Keynesian Monetary Policy literature relaxing the assumption that the decisions are taken by a single policymaker, considering instead that monetary policy decisions are taken collectively in a committee. We introduce a Monetary Policy Committee (MPC), whose members have different preferences between output and inflation variability and have to vote on the level of the interes...