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  1. Monetary Policy, Segmentation, and the Term Structure
    Author: Kekre, Rohan; Lenel, Moritz; Mainardi, Federico
    Published: April 2024
    Publisher:  National Bureau of Economic Research, Cambridge, Mass

    We develop a segmented markets model which rationalizes the effects of monetary policy on the term structure of interest rates. When arbitrageurs' portfolio features positive duration, an unexpected rise in the short rate lowers their wealth and... more

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    Sächsische Landesbibliothek - Staats- und Universitätsbibliothek Dresden
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    Universitätsbibliothek Freiburg
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    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    Staats- und Universitätsbibliothek Hamburg Carl von Ossietzky
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    Technische Informationsbibliothek (TIB) / Leibniz-Informationszentrum Technik und Naturwissenschaften und Universitätsbibliothek
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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    We develop a segmented markets model which rationalizes the effects of monetary policy on the term structure of interest rates. When arbitrageurs' portfolio features positive duration, an unexpected rise in the short rate lowers their wealth and raises term premia. A calibration to the U.S. economy accounts for the transmission of monetary shocks to long rates. We discuss the additional implications of our framework for state-dependence in policy transmission, the volatility and slope of the yield curve, and trends in term premia accompanying trends in the natural rate

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: NBER working paper series ; no. w32324
    Subjects: Geldpolitik; Geldpolitische Transmission; Zinsstruktur; Marktsegmentierung; Financial Markets and the Macroeconomy; Comparative or Joint Analysis of Fiscal and Monetary Policy; Stabilization; Treasury Policy; Asset Pricing; Trading Volume; Bond Interest Rates
    Scope: 1 Online-Ressource, illustrations (black and white)
    Notes:

    Hardcopy version available to institutional subscribers