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  1. Why have interest rates fallen far below the return on capital
    Author: Marx, Magali; Mojon, Benoît; Velde, François R.
    Published: [2017]
    Publisher:  Banque de France, [Paris]

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    Language: English
    Media type: Book
    Format: Online
    Series: Working paper / Banque de France ; #630 (May 2017)
    Subjects: secular stagnation; interest rates; risk; return on capital
    Scope: 1 Online-Ressource (circa 29 Seiten), Illustrationen
  2. Can banks placate knowledgeable depositors by offering higher interest rates during a banking crisis?
    Author: Boyle, Glenn W.; Stover, Roger D.; Tiwana, Amrit; Zhylyevskyy, Oleksandr
    Published: 4-20-2018
    Publisher:  Iowa State University, Department of Economics, Ames, Iowa

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    Series: Working paper / Iowa State University, Department of Economics ; number 18007
    Subjects: interest rates; deposit withdrawals; banking crisis; conjoint analysis
    Scope: 1 Online-Ressource (circa 42 Seiten), Illustrationen
  3. Structural factor analysis of interest rate pass through in four large Euro Area economies
    Author: Banerjee, Anindya; Bystrov, Victor; Mizen, Paul
    Published: 2017
    Publisher:  Department of Economics and Finance, School of Business, University of Canterbury, Christchurch, New Zealand

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    Series: Working paper / Department of Economics and Finance, School of Business, University of Canterbury ; no. 2017, 7
    Subjects: monetary policy; dynamic factor models; interest rates; pass through
    Scope: 1 Online-Ressource (circa 48 Seiten), Illustrationen
  4. Sovereign bonds since Waterloo
    Author: Meyer, Josefin; Reinhart, Carmen M.; Trebesch, Christoph
    Published: February 2019
    Publisher:  National Bureau of Economic Research, Cambridge, MA

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    Series: Working paper series / National Bureau of Economic Research ; 25543
    Subjects: Öffentliche Anleihe; Internationale Staatsschulden; Rendite; Risikoprämie; Wirtschaftsgeschichte; USA; Großbritannien; sovereign debt; default; risk premiums; investor returns; interest rates; portfolio; yields; coupons; recovery
    Scope: 43, 33 Seiten, Illustrationen
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    Erscheint auch als Online-Ausgabe
  5. News shock spillovers
    how the euro area responds to expected fed policy
    Author: Rudel, Paul; Tillmann, Peter
    Published: [2024]
    Publisher:  Philipps-University Marburg, School of Business and Economics, Marburg

    Monetary policy increasingly relies on steering market expectations about future policy. This paper identifies a monetary policy news shock based on a VAR model. A monetary news shock is equivalent to new information about the Fed's future monetary... more

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    Monetary policy increasingly relies on steering market expectations about future policy. This paper identifies a monetary policy news shock based on a VAR model. A monetary news shock is equivalent to new information about the Fed's future monetary policy becoming available today. One example of a monetary news shock is a forward guidance announcement, where the Fed unveils its prospectively (binding) monetary policy, today. In this paper, we study the spillover effects of news shocks. We estimate the response of the euro area to an expected future policy tightening of the Fed. The U.S. news shock improves sentiment and business cycle expectations in the euro area, which is consistent with the notion of the Fed revealing favorable news by a tightening announcement. We also distinguish the news shock from a conventional U.S. policy surprise and find that they lead to diverging responses in the euro area.

     
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    hdl: 10419/301240
    Series: Joint discussion paper series in economics ; no. 2024, 13
    Subjects: News shocks; spillovers; forward guidance; monetary policy; interest rates; expectations; central bank information effects
    Scope: 1 Online-Ressource (circa 35 Seiten), Illustrationen
  6. International investment income
    patterns, drivers, and heterogeneous sensitivities
    Author: Donato, Giovanni; Tille, Cédric
    Published: [2024]
    Publisher:  Graduate Institute of International and Development Studies, International Economics Department, Geneva, Switzerland

    Financial globalization has led to a large increase in international asset holdings. While the rise of associated dividend and interest flows has until now been muted by the decreasing trend in interest rates, this pattern could change, leading to a... more

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    Financial globalization has led to a large increase in international asset holdings. While the rise of associated dividend and interest flows has until now been muted by the decreasing trend in interest rates, this pattern could change, leading to a larger role of investment income flows in the balance of payments. We use a broad sample of countries to document the heterogeneous evolution of the various components of investment income flows, with a rising role of FDI and equity income, especially in advanced economies. We then assess the impact of various variables on yields with a panel analysis. Various drivers have highly heterogeneous effects across investment categories and country groups, often impacting the yields on both assets and liabilities. This translates into substantial heterogeneity in the response of countries' income balance, due to different compositions of asset and liabilities. This heterogeneity is amplified if we consider country-specific estimates in complement to the panel ones. Focusing on the impact of changes in interest rates, we find that higher rates only had a limited impact in the 2013 taper tantrum, investment income balances are likely to benefit from higher US rates in the current phase of higher rates, with offsetting effects of higher domestic rates.

     
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    hdl: 10419/301216
    Series: Working paper series / Graduate Institute of International and Development Studies, International Economics Department ; no. HEIDWP2024, 13
    Subjects: Financial integration; primary investment income flows; interest rates; exchange rates
    Scope: 1 Online-Ressource (circa 71 Seiten), Illustrationen
  7. A Nexus or not?
    a first examination of cost-of-living concern, neighbourhood perceptions, active travel, and wellbeing in cities
    Author: Beck, Matthew; Greaves, Stephen
    Published: December 2024
    Publisher:  Institute of Transport and Logistics Studies, Sydney, NSW, Australia

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    hdl: 2123/33274
    Series: Working paper / Institute of Transport and Logistics Studies, The Australian Key Centre in Transport and Logistics Management, The University of Sydney ; ITLS-WP-24, 23
    Subjects: Cost of living; housing stress; inflation; interest rates; travel behaviour; trip making
    Scope: 1 Online-Ressource (circa 29 Seiten), Illustrationen
  8. How can a decline in R* be reversed?
    productivity, retirement age, and the green transition
    Author: Holzmann, Robert; Breitenfellner, Andreas; Pointner, Wolfgang; Raggl, Anna; Sellner, Richard; Silgoner, Maria Antoinette; Stelzer, Anna; Stiglbauer, Alfred
    Published: [2024]
    Publisher:  Oesterreichische Nationalbank, Vienna, Austria

    The room for maneuver of monetary policy and the relevance of the zero lower bound of nominal interest rates are largely determined by the level of and the outlook for the natural rate of interest (R*), i.e. the unobservable equilibrium interest rate... more

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    The room for maneuver of monetary policy and the relevance of the zero lower bound of nominal interest rates are largely determined by the level of and the outlook for the natural rate of interest (R*), i.e. the unobservable equilibrium interest rate that neither stimulates nor contracts the economy. Available estimates suggest that the rate has declined substantially over the last decades and even centuries. The literature on the potential drivers of this decline - both macroeconomic and financial - finds that demographic factors, real GDP trend growth, and total factor productivity have the most robust links with R*. Generally, the decline in R* was less pronounced in emerging market economies. We discuss three policies aimed at re-increasing R*, which promise to amplify the distance to the zero lower bound and therefore increase monetary policy space: (1) One promising route is boosting productivity via increased diffusion and deployment of digitalization and AI, and potentially also through transitioning toward a more climate-friendly economy. (2) Reforming the pension system, specifically raising the retirement age, could have strong transitory and even longer-term positive effects on R*. (3) The comparative advantage of the Global South is clean energy. Capital flows from the Global North to the Global South to finance investments in renewable energy may offer immense potential for unlocking productivity gains due to cheaper energy, less uncertainty, and higher returns.

     
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    Series: Occasional paper / ÖNB, Oesterreichische Nationalbank ; no. 9 (October 2024)
    Subjects: interest rates; productivity; innovation; aging; climate change
    Scope: 1 Online-Ressource (circa 41 Seiten)
  9. Central bank collateral policy and credit pricing
    evidence from Finland
    Author: Paavola, Aleksi; Voutilainen, Ville
    Published: 15 July 2024
    Publisher:  Bank of Finland, Helsinki

    We study the effect of collateral eligibility of corporate loans on the pricing of these loans by banks in Finland. Speciftcally, we investigate whether loans that are pledgeable as collateral for central bank borrowing have lower liquidity premia... more

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    We study the effect of collateral eligibility of corporate loans on the pricing of these loans by banks in Finland. Speciftcally, we investigate whether loans that are pledgeable as collateral for central bank borrowing have lower liquidity premia and thus lower interest rates. For identiftcation, we utilize two unanticipated changes in the collateral framework of the Bank of Finland after the COVID-19 pandemic in 2020 and loanlevel corporate credit data from the Finnish implementation of Anacredit. Our main result is that we do not ftnd evidence that collateral pool expansions by the central bank signiftcantly affected interest rates paid by borrowers. The result contrasts with recent ftndings that imply signiftcant effects of similar collateral pool expansions on credit supply. We hypothesize that differences in the institutional setting and economic environment between countries may explain the contradictory results. Our ftndings show that collateral policies may not have similar effects on credit pricing in all circumstances.

     
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    hdl: 10419/300517
    Series: Bank of Finland research discussion papers ; 2024, 7
    Subjects: monetary policy; collateral framework; credit pricing; interest rates; eligibility
    Scope: 1 Online-Ressource (circa 54 Seiten), Illustrationen
  10. Estimating the OIS term premium with analyst expectation surveys
    Author: Barahona, Ricardo; Rodríguez-Moreno, María
    Published: 2024
    Publisher:  Banco de España, Madrid

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    Series: Documentos ocasionales / Banco de España ; no. 2410
    Subjects: affine term structure model; interest rates; survey expectations
    Scope: 1 Online-Ressource (circa 22 Seiten), Illustrationen
  11. Global asset prices and FOMC announcements
    Author: Hausman, Joshua; Wongswan, Jon
    Published: 2006
    Publisher:  Board of Governors of the Federal Reserve System, Washington, DC

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    Series: International finance discussion papers ; 886
    Other subjects: Array
    Scope: 58 S., graph. Darst.
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  12. A model of market surprises
    Published: June 2007
    Publisher:  Bank of England, London

    "This paper presents a theory to link improvements in transparency about monetary policy objectives to improvements in transparency about monetary policy actions and then to the conditional volatility of market expectations of policy rates.... more

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    "This paper presents a theory to link improvements in transparency about monetary policy objectives to improvements in transparency about monetary policy actions and then to the conditional volatility of market expectations of policy rates. Crucially, policy announcements act not just as an instrument but also as a beacon that can potentially communicate information to agents about the policymakers' reactions to shocks. When the objectives of policymakers are not made transparent, agents are more likely to interpret any accommodation to price shocks as indicating that policymakers are following their own unobserved suboptimal objectives. Policymakers in these regimes are therefore less inclined to be transparent in their explanations. Conversely when policy objectives are more clearly defined, policymakers become more transparent in their explanations too. Then, the less markets will be surprised by interest rate announcements. I show that happens at a diminishing rate: as transparency is improved further from already high levels, there is less of a reduction in the variance of market surprises. The reason is that agents know that they can rely more on the monetary policy beacon in very transparent regimes. Hence they become more active in their decision-making and policymakers take that extra sensitivity into account. The model illustrates the gains to having clearly defined policy objectives. It also explains how a continued occurrence of market surprises, after an initial large reduction, could be consistent with the greater transparency and more precisely formed inflation expectations."--Bank of England web site

     
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    Series: Working paper / Bank of England ; 327
    Subjects: Politische Entscheidung; Geldpolitik; Zins; Prinzipal-Agent-Theorie
    Other subjects: Array
    Scope: Online-Ressource, 38 S. = 365 K, Text, graph. Darst.
  13. Cash-in-the-market pricing and optimal resolution of bank failures
    Published: June 2007
    Publisher:  Bank of England, London

    "This paper presents a theory to link improvements in transparency about monetary policy objectives to improvements in transparency about monetary policy actions and then to the conditional volatility of market expectations of policy rates.... more

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    "This paper presents a theory to link improvements in transparency about monetary policy objectives to improvements in transparency about monetary policy actions and then to the conditional volatility of market expectations of policy rates. Crucially, policy announcements act not just as an instrument but also as a beacon that can potentially communicate information to agents about the policymakers' reactions to shocks. When the objectives of policymakers are not made transparent, agents are more likely to interpret any accommodation to price shocks as indicating that policymakers are following their own unobserved suboptimal objectives. Policymakers in these regimes are therefore less inclined to be transparent in their explanations. Conversely when policy objectives are more clearly defined, policymakers become more transparent in their explanations too. Then, the less markets will be surprised by interest rate announcements. I show that happens at a diminishing rate: as transparency is improved further from already high levels, there is less of a reduction in the variance of market surprises. The reason is that agents know that they can rely more on the monetary policy beacon in very transparent regimes. Hence they become more active in their decision-making and policymakers take that extra sensitivity into account. The model illustrates the gains to having clearly defined policy objectives. It also explains how a continued occurrence of market surprises, after an initial large reduction, could be consistent with the greater transparency and more precisely formed inflation expectations."--Bank of England web site

     
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    Language: English
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    Format: Online
    Series: Working paper / Bank of England ; 328
    Subjects: Bankenliquidität; Bankenkrise; Bankenregulierung; Bankinsolvenz; Theorie
    Other subjects: Array
    Scope: Online-Ressource, 66 S. = 438 K, Text, graph. Darst.
  14. Productivity and welfare
    an application to the Spanish banking industry
    Author: Martín Oliver, Alfredo; Ruano, Sonia; Salas-Fumás, Vicente
    Published: 2014
    Publisher:  Banco de España, Madrid

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    Series: Documentos de trabajo / Banco de España, Eurosistema ; no. 1426
    Subjects: banking spatial competition; bank branch productivity; interest rates; branch dynamics; bank economic profits
    Scope: 1 Online-Ressource (circa 43 Seiten), Illustrationen
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    Zusammenfassung in spanischer Sprache
  15. Do markets learn to rationally expect US interest rates?
    evidence from survey data
    Author: Prat, Georges; Uctum, Remzi
    Published: [2016]
    Publisher:  Université de Paris Ouest Nanterre La Défense, Nanterre

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    Series: Working paper / EconomiX ; 2016, 19
    Subjects: expectation formation; interest rates; dynamic heterogeneity; survey data
    Scope: 1 Online-Ressource (circa 37 Seiten), Illustrationen
  16. Taxonomy of global risk, uncertainty, and volatility measures
    Author: Datta, Deepa Dhume; Londono, Juan M.; Sun, Bo; Beltran, Daniel; Ferreira, Thiago; Iacoviello, Matteo; Jahan-Parvar, Mohammad R.; Li, Canlin; Giudice Rodriguez, Marius del; Rogers, John H.
    Published: 2017
    Publisher:  Board of Governors of the Federal Reserve System, [Washington, DC]

    A large number of measures for monitoring risk and uncertainty surrounding macroeconomic and financial outcomes have been proposed in the literature, and these measures are frequently used by market participants, policy makers, and researchers in... more

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    A large number of measures for monitoring risk and uncertainty surrounding macroeconomic and financial outcomes have been proposed in the literature, and these measures are frequently used by market participants, policy makers, and researchers in their analyses. However, risk and uncertainty measures differ across multiple dimensions, including the method of calculation, the underlying outcome (that is, the asset price or macroeconomic variable), and the horizon at which they are calculated. Therefore, in this paper, we review the literature on global risk, uncertainty, and volatility measures drawing on internal and external academic research as well as ongoing monitoring conducted by the Federal Reserve Board's economics divisions to catalog measures by method of data collection, computation, and subject. We first explore a set of non asset-marketbased measures of risk and uncertainty, including news-based and survey-based uncertainty measures of monetary policy and macroeconomic outcomes. We then turn to asset-market-based measures of risk uncertainty for equity prices, interest rates, currencies, oil prices, and inflation

     
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    Series: International finance discussion papers ; number1216 (November 2017)
    FRB International Finance Discussion Paper ; No. 1216
    Subjects: Risk; uncertainty; volatility; monetary policy; geopolitical risk; equities; interest rates; exchange rates; commodities; inflation; variance risk premium
    Scope: 1 Online-Ressource (circa 49 Seiten), Illustrationen
  17. Key determinants of net interest margin of EU banks in the zero lower bound of interest rates
    Author: Hanzlík, Petr; Teplý, Petr
    Published: [2019]
    Publisher:  Institute of Economic Studies, Faculty of Social Sciences, Charles University in Prague, Prague

    In this paper, we analyse a relationship between net interest margin (NIM) of EU banks and market interest rates in a low-interest rate environment. We contribute to the literature when examining a large sample of annual data on 629 banks from EU... more

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    In this paper, we analyse a relationship between net interest margin (NIM) of EU banks and market interest rates in a low-interest rate environment. We contribute to the literature when examining a large sample of annual data on 629 banks from EU member countries during the 2011-2016 period, which also covers the period of zero and negative rates. We test three hypotheses and come to the three main conclusions. First, NIM eroded during the whole observed period for all types of investigated banks. Second, a higher market concentration, proxied by the Herfindahl index, leads to higher NIM. Finally, we show a positive concave relationship of NIM with short-term interest rate observed in previous studies, which supports the suspected non-linearity in situation of zero lower bound of interest rates. Contrary to other researchers, we find a negative relationship between NIM and the yield curve slope.

     
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    hdl: 10419/203220
    Series: IES working paper ; 2019, 2
    Subjects: banks; net interest margin; Herfindahl index; interest rates; profitability; system GMM
    Scope: 1 Online-Ressource (circa 31 Seiten), Illustrationen
  18. Are bond markets really overpriced
    the case of the US
    Author: Clostermann, Jörg; Seitz, Franz
    Published: Dezember 2005
    Publisher:  Fachhochschule Ingolstadt, Ingolstadt

    In the present paper we analyse whether fundamental macroeconomic factors, temporary influences or more structural factors have contributed to the recent decline in bond yields in the US. For that purpose, we start with a very general model of... more

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    In the present paper we analyse whether fundamental macroeconomic factors, temporary influences or more structural factors have contributed to the recent decline in bond yields in the US. For that purpose, we start with a very general model of interest rate determination in which risk premia are captured via the macroeconomic (policy) environment. The empirical part consists of a cointegration analysis with an error correction mechanism from the mid 80s until 2005. We are able to establish a stable long-run relationship and find that the behaviour of bond rates in the last few years may well be explained by macroeconomic factors. These are driven by core price developments, monetary policy reflected in short-term interest rates and the business cycle. A changed structural demand for bonds does not seem to be at work. The existing overestimation of bond yields is not unusual historically. Finally, our bond yield equation outperforms a random walk model in different out-of-sample exercises.

     
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    hdl: 10419/202563
    Series: Working papers / University of Applied Sciences Ingolstadt ; Heft Nr. 11
    Subjects: bond yields; interest rates; cointegration; inflation; forecasting
    Scope: 1 Online-Ressource (circa 23 Seiten), Illustrationen
  19. The dynamic impact of FX interventions on financial markets
    Author: Menkhoff, Lukas; Rieth, Malte; Heidland, Tobias
    Published: 2019
    Publisher:  Verein für Socialpolitik, [Leipzig]

    Evidence on the effectiveness of FX interventions in the prevailing higher frequency approaches leaves a gap at horizons going beyond a few days. This is addressed by identifying a structural vector autoregressive model for the daily frequency with... more

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    Evidence on the effectiveness of FX interventions in the prevailing higher frequency approaches leaves a gap at horizons going beyond a few days. This is addressed by identifying a structural vector autoregressive model for the daily frequency with an external instrument. Using Japanese data, we find that FX interventions significantly affect exchange rates, although the effect is smaller than in emerging markets, and this impact persists for up to a year. There is no major effect on interest rates, but stock prices increase in line with currency devaluation, in particular those of large (exporting) firms. The results qualitatively hold for US and UK interventions.

     
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    hdl: 10419/203504
    Series: Array ; Array
    Subjects: Foreign exchange intervention; structural VAR; exchange rates; interest rates; stock prices
    Scope: 1 Online-Ressource (circa 40 Seiten), Illustrationen
  20. Examining the relationships between land values and credit availability
    Author: Sant'Anna, Ana Cláudia; Cowley, Cortney; Katchova, Ani
    Published: 2020
    Publisher:  Federal Research Bank of Kansas City, Kansas City, Mo.

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    Series: KcFED research working papers ; RWP 20, 02 (May 2020)
    Subjects: Ag Credit Survey; farm loans; fixed effects; interest rates; land values
    Scope: 1 Online-Ressource (circa 24 Seiten), Illustrationen
  21. What drove the rise in bank lending rates in Lithuania during the low-rate era?
    Author: Karmelavičius, Jaunius; Mikaliūnaitė-Jouvanceau, Ieva; Buteikis, Andrius
    Published: [2022]
    Publisher:  Bank of Lithuania, Vilnius

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    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 11159/12453
    Series: Occasional paper series / Lietuvos Bankas ; no. 43 (2022)
    Subjects: interest rates; loan pricing; banking; concentration; capital requirements
    Scope: 1 Online-Ressource (circa 44 Seiten), Illustrationen
  22. The multifaceted impact of US trade policy on financial markets
    Author: Boer, Lukas; Menkhoff, Lukas; Rieth, Malte
    Published: 2021
    Publisher:  DIW Berlin, German Institute for Economic Research, Berlin

    We study the multifaceted effects of trade policy shocks on financial markets using a structural vector autoregression identified via event day heteroskedasticity. We find that restrictive US trade policy shocks affect US and international stock... more

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    We study the multifaceted effects of trade policy shocks on financial markets using a structural vector autoregression identified via event day heteroskedasticity. We find that restrictive US trade policy shocks affect US and international stock prices heterogeneously, but generally negatively. They increase market uncertainty, lower US interest rates, and lead to an appreciation of the US -Dollar. The effects are significant for several weeks or quarters. Decomposing the trade policy shocks further suggests that trade policy uncertainty dominates tariff level effects. Chinese trade policy shocks against the US further hurt US stocks.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/259822
    Edition: This (updated) version: May 2022
    Series: Discussion papers / Deutsches Institut für Wirtschaftsforschung ; 1956
    Subjects: Außenwirtschaftspolitik; Aktienmarkt; Wechselkurs; Zins; Wirkungsanalyse; VAR-Modell; USA; China; Trade policy shock; structural VAR; stock prices; exchange rates; interest rates; heteroskedasticity
    Scope: 1 Online-Ressource (circa 76 Seiten), Illustrationen
  23. Excess liquidity and the usefulness of the money multiplier
    Author: Berk, Jan Marc; End, Jan-Willem van den
    Published: 2022
    Publisher:  De Nederlandsche Bank NV, Amsterdam, The Netherlands

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    Language: English
    Media type: Book
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    Series: Working paper / De Nederlandsche Bank NV ; no. 740 (March 2022)
    Subjects: monetary policy; interest rates; money multipliers
    Scope: 1 Online-Ressource (circa 38 Seiten), Illustrationen
  24. Of interest?
    estimating the average interest rate on debt across firms and over time
    Author: Fabling, Richard
    Published: May 2021
    Publisher:  Motu Economic and Public Policy Research, Wellington, New Zealand

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Motu working paper ; 21, 05
    Subjects: Finance constraints; interest rates; risk premia; Longitudinal Business Database
    Scope: 1 Online-Ressource (circa 40 Seiten), Illustrationen
  25. Pass-through from policy rate to retail interest rates in Zambia
    Author: Ngoma, Cleopatra; Chanda, Cosam
    Published: June 2022
    Publisher:  African Economic Research Consortium, Nairobi, Kenya

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    Language: English
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    ISBN: 9789966612021
    Series: Research paper / African Economic Research Consortium ; 503
    Subjects: Pass-through; monetary policy rate; interest rates; vector error correction model
    Scope: 1 Online-Ressource (circa 42 Seiten), Illustrationen