Journal ArticleDOI
Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound
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This paper employed an approximation that makes a nonlinear term structure model extremely tractable for analysis of an economy operating near the zero lower bound for interest rates, which can be used to summarize the macroeconomic effects of unconventional monetary policy.Abstract:
This paper employs an approximation that makes a nonlinear term structure model extremely tractable for analysis of an economy operating near the zero lower bound for interest rates. We show that such a model offers an excellent description of the data compared to the benchmark model and can be used to summarize the macroeconomic effects of unconventional monetary policy. Our estimates imply that the efforts by the Federal Reserve to stimulate the economy since July 2009 succeeded in making the unemployment rate in December 2013 1% lower, which is 0.13% more compared to the historical behavior of the Fed.read more
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Handbook of the Economics of Finance
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The Empirical Implications of the Interest-Rate Lower Bound
TL;DR: In this article, the authors quantify the size and nature of disturbances that pushed the US economy to the lower bound in late 2008 as well as the contribution of the lower-bound constraint to the resulting economic slump.
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Monetary Policy Spillovers and the Trilemma in the New Normal: Periphery Country Sensitivity to Core Country Conditions
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Safety, Liquidity, and the Natural Rate of Interest
TL;DR: In this article, the authors find that interest rates are low primarily because the premium for safety and liquidity has increased since the late 1990s, and to a lesser extent because economic growth has slowed.
References
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Time series analysis
TL;DR: A ordered sequence of events or observations having a time component is called as a time series, and some good examples are daily opening and closing stock prices, daily humidity, temperature, pressure, annual gross domestic product of a country and so on.
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Monetary Policy Shocks: What Have We Learned and to What End?
TL;DR: The authors reviewed recent research that grapples with the question: What happens after an exogenous shock to monetary policy? They argue that this question is interesting because it lies at the center of a particular approach to assessing the empirical plausibility of structural economic models that can be used to think about systematic changes in monetary policy institutions and rules.
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The Zero Bound on Interest Rates and Optimal Monetary Policy
TL;DR: The question of the proper conduct of monetary policy in the presence of a lower bound of zero for overnight nominal interest rates has recently become a topic of lively interest as mentioned in this paper, and the question of how policy should be conducted when the zero bound is reached or when the possibility of reaching it can no longer be ignored.
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Interpreting the macroeconomic time series facts: The effects of monetary policy☆
TL;DR: This article reviewed existing theory and evidence on the effects of monetary policy and presented new evidence, based on multivariate time series studies of several countries, and found that certain patterns in the data consistent with effective monetary policy are strikingly similar across countries.
Journal ArticleDOI
Term Premia and Interest Rate Forecasts in Affine Models
TL;DR: The authors examined the forecasting ability of the affine class of term structure models, where the cross-sectional and time-series characteristics of the term structure are linked in an internally consistent way.
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Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound
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