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In: Sebastián A. Rey (2016). Theory of long-term interest rates, International Journal of Financial Engineering, Vol. 03, No. 03, 1650013. https://doi.org/10.1142/S2424786316500134
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In: Working papers 5,36
In: Working papers 175
In: IMF Working Paper, S. 1-25
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In: Business, technology and finance
Preface -- Chapter 1. Long-term interest rates: a survey / Council of Economic Advisors -- Chapter 2. The global saving glut and the U.S. current account deficit / Ben S. Bernanke -- Index
In: Contemporary economic policy: a journal of Western Economic Association International, Band 26, Heft 3, S. 398-408
ISSN: 1465-7287
Movements in long‐term interest rates Granger‐cause movements in the target federal funds rate, but not vice versa, during 1990–2001. This implies that changes in the monetary policy stance, as measured by the target rate, are predicted by the bond market. Moreover, even innovations to the target rate have little effect on long‐term interest rates. The policy instrument seems to be responding to information that is already impounded in the bond market. In sharp contrast, during an earlier period, changes in the target federal funds rate are mostly unanticipated by the bond market, and innovations to the policy target have a large and significant effect on long‐term interest rate. (JEL E52, E43)
In: Electronic version of an article published as [International Journal of Theoretical and Applied Finance, Band 23, Heft 1, S. 2020
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In: Journal of monetary economics, Band 7, Heft 1, S. 29-55
ISSN: 0304-3932
In: Politická ekonomie: teorie, modelování, aplikace, Band 71, Heft 6, S. 668-708
ISSN: 2336-8225
In: Balanced Growth, S. 23-42
In: Contributions to Economics; Economic Spillovers, Structural Reforms and Policy Coordination in the Euro Area, S. 55-106
In: Journal of post-Keynesian economics, Band 27, Heft 3, S. 533-539
ISSN: 1557-7821
In: Journal of Monetary Economics, Band 7, Heft 1, S. 29-55
In: The Journal of Fixed Income 2016, 26 (1) 61-73.
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In: IMF Working Papers v.Working Paper No. 14/189
This paper examines the transmission mechanism through which unconventional monetary policy affects long-term interest rates. I construct a real-time measure summarizing market projections of the magnitude and duration of the Federal Reserve's Large Scale Asset Purchases (LSAP) program, and analyze the determination of term premiums and expectations of future short-term interest rates in a sample spanning more than two decades. Empirical findings suggest that the LSAP has effectively lowered the long-term Treasury bond yields, through both ""signaling"" and ""portfolio balance"" channels. On t
In: CESifo Working Paper Series No. 4408
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