Under bond-rate transmission of monetary policy, the authors show that a generalized Taylor Principle applies, in which the average anticipated path of policy responses to inflation is subject to a lower bound of unity. This result helps explain how bond rates may exhibit stable responses to inflation, even in periods of passive policy. Another possible explanation is time-varying term premiums with risk pricing that depends on inflation. The authors present a no-arbitrage model of the term structure with horizon-dependent policy perceptions and time-varying term premiums to illustrate the mechanics and provide empirical results that support these transmission channels.
This paper presents the novel results from an internationally coordinated project by the International Banking Research Network (IBRN) on the cross-border transmission of conventional and unconventional monetary policy through banks. Teams from seventeen countries use confidential micro-banking data for the years 2000 through 2015 to explore the international transmission of monetary policies of the United States, the euro area, Japan, and the United Kingdom. Two other studies use international data with different degrees of granularity. International spillovers into lending to the private sector do occur, especially for U.S. policies, and bank-specific heterogeneity influences the magnitudes of transmission. The effects are supportive of the international bank lending channel and the portfolio channel of monetary policy transmission. They also show that the frictions that banks face matter; in particular, foreign currency funding and hedging considerations can be a key source of heterogeneity. The forms of bank balance sheet heterogeneity that differentiate spillovers across banks are not uniform across countries. International spillovers into lending can be large for some banks, even while the average international spillovers of policies into nonbank lending generally are not large.
Väitöskirja ilmestyy avoimena verkkojulkaisuna osoitteessa: http://urn.fi/URN:NBN:fi:bof-202206031258 ; Tässä väitöskirjassa analysoidaan rahapolitiikan välittymistä. Useita erilaisia empiirisiä menetelmiä hyödyntäen tutkitaan, kuinka tavanomainen ja epätavanomainen rahapolitiikka välittyvät eri makrotaloudellisiin ja rahoituksellisiin muuttujiin. Ensimmäisessä osatyössä analysoidaan rahapolitiikan vaikutusta osakemarkkinoiden riskipreemioiden aikarakenteeseen. Piilevä aikarakenne ratkaistaan uudenlaisella tavalla hyödyntämällä osakeanalyytikoiden osinkoennusteita sekä osinkofutuureja. Tulokset osoittavat, että rahapolitiikka vaikuttaa eri diskonttaushorisonttien riskipreemioihin eri tavoin. Rahapolitiikan keventäminen alentaa lyhyen horisontin riskipreemiota ja nostaa kaukaisten horisonttien riskipreemioita. Vaikutus keskimääräiseen riskipreemioon on positiivinen. Toisessa osatyössä tarkastellaan kohdennettujen pitempiaikaisten jälleenrahoitusoperaatioiden vaikutusta pankkien luotonantoon. Tulokset viittaavat siihen, että kohdennetut operaatiot kasvattavat pankkien luotonantoa yrityksille. Positiivisesta vaikutuksesta kotitalouslainanantoon ei kuitenkaan löydy näyttöä. Kolmannessa osatyössä tarkastellaan tavanomaisen rahapolitiikan vaikutuksia vuoden 2008 finanssikriisin ja äärimmäisten alhaisten korkojen aikana. Useassa aiemmassa tutkimuksessa tullaan tulokseen, että tavanomaisten rahapolitiikkasokkien vaikutukset pysyivät lähes ennallaan koko finanssikriisin ajan ja sen jälkeen. Kolmannessa osatyössä tarkastellaan tutkimuskysymystä uudelleen. Tulokset viittaavat siihen, että teollisuustuotannon ja työttömyyden impulssivastefunktiot muuttuivat voimakkaasti finanssikriisin jälkeen. ; This doctoral dissertation analyses the transmission of monetary policy. It applies a variety of empirical methods to study how conventional and unconventional monetary policy measures transmit t different macroeconomic and financial variables. The first article analyses the effect of monetary policy on the term structure of stock ...
The paper shows that US monetary policy has been an important determinant of global equity markets. Analysing 50 equity markets worldwide, we find that returns fall on average around 3.8% in response to a 100 basis point tightening of US monetary policy, ranging from a zero response in some to a reaction of 10% or more in other countries, as well as significant cross-sector heterogeneity. Distinguishing different transmission channels, we find that in particular the transmission via US and foreign short-term interest rates and the exchange rate play an important role. As to the determinants of the strength of transmission to individual countries, we test the relevance of their macroeconomic policies and the degree of real and financial integration, thus linking the strength of asset price transmission to underlying trade and asset holdings, and find that in particular the degree of global integration of countries – and not a country's bilateral integration with the United States – is a key determinant for the transmission process.
The transmission mechanism of monetary policy has received extensive treatment in the macroeconomic literature. Most models currently used for macroeconomic analysis exclude money or else model money demand as entirely endogenous. Nevertheless, academic research and many textbooks continue to use the money multiplier concept in discussions of money. We explore the institutional structure of the transmission mechanism beginning with open market operations through to money and loans to document that the mechanism does not work through the standard multiplier model or the bank lending channel. Our analysis, however, does not reflect on the existence of a broader credit channel.
