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What does Monetary Policy do to Long‐term Interest Rates at the Zero Lower Bound?

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Cited by:

  1. Michael A. S. Joyce & Nick McLaren & Chris Young, 2012. "Quantitative easing in the United Kingdom: evidence from financial markets on QE1 and QE2," Oxford Review of Economic Policy, Oxford University Press, vol. 28(4), pages 671-701, WINTER.
  2. Diana Hancock & Wayne Passmore, 2015. "How Does the Federal Reserve's Large-Scale Asset Purchases (LSAPs) Influence Mortgage-Backed Securities (MBS) Yields and U.S. Mortgage Rates?," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 43(4), pages 855-890, November.
  3. Céline Antonin & Christophe Blot & Paul Hubert & Fabien Labondance & Catherine Mathieu & Christine Rifflart & Vincent Touze, 2013. "Politiques monétaires : est-ce le début de la fin ?," Sciences Po publications info:hdl:2441/6ggbvnr6mun, Sciences Po.
  4. Bekaert, Geert & Hoerova, Marie & Lo Duca, Marco, 2013. "Risk, uncertainty and monetary policy," Journal of Monetary Economics, Elsevier, vol. 60(7), pages 771-788.
  5. Uluc Aysun, 2016. "The credit channel is alive at the zero lower bound but how does it operate? Firm level evidence on the asymmetric effects of U.S. monetary policy," Working Papers 2016-01, University of Central Florida, Department of Economics.
  6. Berndt, Antje & Yeltekin, Şevin, 2015. "Monetary policy, bond returns and debt dynamics," Journal of Monetary Economics, Elsevier, vol. 73(C), pages 119-136.
  7. Stephen Hansen & Michael McMahon, 2016. "Shocking Language: Understanding the Macroeconomic Effects of Central Bank Communication," NBER Chapters,in: NBER International Seminar on Macroeconomics 2015 National Bureau of Economic Research, Inc.
  8. Bauer, Michael D. & Neely, Christopher J., 2014. "International channels of the Fed's unconventional monetary policy," Journal of International Money and Finance, Elsevier, vol. 44(C), pages 24-46.
  9. John H. Huston & Roger W. Spencer, 2016. "The Wealth Effects of Quantitative Easing," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 44(4), pages 471-486, December.
  10. Fructuoso Borrallo & Ignacio Hernando & Javier Vallés, 2016. "The effects of us unconventional monetary policies in Latin America," Working Papers 1606, Banco de España;Working Papers Homepage.
  11. Gregor Bäurle & Daniel Kaufmann & Sylvia Kaufmann & Rodney W. Strachan, 2016. "Changing dynamics at the zero lower bound," Working Papers 16.02, Swiss National Bank, Study Center Gerzensee.
  12. Eksi, Ozan & Tas, Bedri Kamil Onur, 2017. "Unconventional monetary policy and the stock market’s reaction to Federal Reserve policy actions," The North American Journal of Economics and Finance, Elsevier, vol. 40(C), pages 136-147.
  13. Hachula, Michael & Rieth, Malte & Piffer, Michele, 2016. "Unconventional Monetary Policy, Fiscal Side Effects and Euro Area (Im)balances," Annual Conference 2016 (Augsburg): Demographic Change 145790, Verein für Socialpolitik / German Economic Association.
  14. Christophe Blot & Jérôme Creel & Paul Hubert & Fabien Labondance & Xavier Ragot, 2015. "The redistributive effects of QE," Sciences Po publications info:hdl:2441/16fo245k6a8, Sciences Po.
  15. Refet S. Gürkaynak & Jonathan H. Wright, 2013. "Identification and Inference Using Event Studies," Manchester School, University of Manchester, vol. 81, pages 48-65, September.
  16. Matthew Raskin, 2013. "The effects of the Federal Reserve's date-based forward guidance," Finance and Economics Discussion Series 2013-37, Board of Governors of the Federal Reserve System (U.S.).
  17. Haldane, Andrew & Roberts-Sklar, Matt & Wieladek, Tomasz & Young, Chris, 2016. "QE: the story so far," CEPR Discussion Papers 11691, C.E.P.R. Discussion Papers.
  18. Carlo Altavilla & Domenico Giannone, 2017. "The Effectiveness of Non‐Standard Monetary Policy Measures: Evidence from Survey Data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 32(5), pages 952-964, August.
  19. Yu, Edison, 2016. "Did quantitative easing work?," Economic Insights, Federal Reserve Bank of Philadelphia, vol. 1(1), pages 5-13, Q1.
  20. Foley-Fisher, Nathan & Ramcharan, Rodney & Yu, Edison, 2016. "The impact of unconventional monetary policy on firm financing constraints: Evidence from the maturity extension program," Journal of Financial Economics, Elsevier, vol. 122(2), pages 409-429.
  21. Massimo Guidolin & Alexei G. Orlov & Manuela Pedio, 2014. "Understanding the Impact of Monetary Policy Shocks on the Corporate Bond Market in Good and Bad Times: A Markov Switching Model," BAFFI CAREFIN Working Papers 1623, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
  22. Jakub Janus, 2016. "The Transmission Mechanism Of Unconventional Monetary Policy," Oeconomia Copernicana, Institute of Economic Research, vol. 7(1), pages 7-21, March.
  23. Lloyd, S. P., 2017. "Unconventional Monetary Policy and the Interest Rate Channel: Signalling and Portfolio Rebalancing," Cambridge Working Papers in Economics 1735, Faculty of Economics, University of Cambridge.
  24. Falagiarda, Matteo & Reitz, Stefan, 2013. "Announcements of ECB unconventional programs: Implications for the sovereign risk of Italy," Kiel Working Papers 1866, Kiel Institute for the World Economy (IfW).
  25. Christophe Blot & Jérôme Creel & Paul Hubert & Fabien Labondance, 2015. "The QE experience: worth a try?," Sciences Po publications info:hdl:2441/4qb2og10r48, Sciences Po.
  26. Falagiarda, Matteo & Reitz, Stefan, 2015. "Announcements of ECB unconventional programs: Implications for the sovereign spreads of stressed euro area countries," Journal of International Money and Finance, Elsevier, vol. 53(C), pages 276-295.
  27. César Carrera & Fernando Pérez Forero & Nelson Ramírez-Rondán, 2015. "Effects of U.S. Quantitative Easing on Latin American Economies," Working Papers 2015-35, Peruvian Economic Association.
  28. Xavier Timbeau, 2013. "La crise sur un plateau : perspectives 2013-2014," Sciences Po publications info:hdl:2441/6ggbvnr6mun, Sciences Po.
  29. Alexander Guarín & José Fernando Moreno & Hernando Vargas, 2014. "An Empirical Analysis of the Relationship between US and Colombian Long-Term Sovereign Bond Yields," ENSAYOS SOBRE POLÍTICA ECONÓMICA, BANCO DE LA REPÚBLICA - ESPE, vol. 32(74), pages 68-86, June.
  30. Guidolin, Massimo & Orlov, Alexei G. & Pedio, Manuela, 2014. "Unconventional monetary policies and the corporate bond market," Finance Research Letters, Elsevier, vol. 11(3), pages 203-212.
  31. Kiyotaka Nakashima & Masahiko Shibamoto & Koji Takahashi, 2017. "Risk-Taking Channel of Unconventional Monetary Policies in Bank Lending," Discussion Paper Series DP2017-24, Research Institute for Economics & Business Administration, Kobe University.
  32. repec:spo:wpecon:info:hdl:2441/6ggbvnr6munghes9ob627a1r2 is not listed on IDEAS
  33. Belke, Ansgar & Dubova, Irina & Volz, Ulrich, 2017. "Bond Yield Spillovers from Major Advanced Economies to Emerging Asia," GLO Discussion Paper Series 41, Global Labor Organization (GLO).
  34. Joseph E. Gagnon, 2016. "Quantitative Easing: An Underappreciated Success," Policy Briefs PB16-4, Peterson Institute for International Economics.
  35. Annette Meinusch & Peter Tillmann, 2014. "The Macroeconomic Impact of Unconventional Monetary Policy Shocks," MAGKS Papers on Economics 201426, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
  36. Haitsma, Reinder & Unalmis, Deren & de Haan, Jakob, 2016. "The impact of the ECB's conventional and unconventional monetary policies on stock markets," Journal of Macroeconomics, Elsevier, vol. 48(C), pages 101-116.
  37. Eric T. Swanson & John C. Williams, 2014. "Measuring the Effect of the Zero Lower Bound on Medium- and Longer-Term Interest Rates," American Economic Review, American Economic Association, vol. 104(10), pages 3154-3185, October.
  38. Simon Gilchrist & Egon Zakrajšek, 2013. "The Impact of the Federal Reserve's Large‐Scale Asset Purchase Programs on Corporate Credit Risk," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 45(s2), pages 29-57, December.
  39. repec:eee:jbfina:v:80:y:2017:i:c:p:176-202 is not listed on IDEAS
  40. Belke, Angar & Gros, Daniel & Osowski, Thomas, 2017. "The effectiveness of the Fed’s quantitative easing policy: New evidence based on international interest rate differentials," Journal of International Money and Finance, Elsevier, vol. 73(PB), pages 335-349.
  41. Anene, Dominic & D'Amico, Stefania, 2017. "A Tale of Four Tails: Inflation, the Policy Rate, Longer-Term Rates, and Stock Prices," Working Paper Series WP-2017-26, Federal Reserve Bank of Chicago.
  42. Gabriel Chodorow-Reich, 2014. "Effects of Unconventional Monetary Policy on Financial Institutions," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 45(1 (Spring), pages 155-227.
  43. Ozdagli, Ali K., 2013. "Not so fast: high-frequency financial data for macroeconomic event studies," Working Papers 13-19, Federal Reserve Bank of Boston.
  44. Guidolin, Massimo & Orlov, Alexei G. & Pedio, Manuela, 2017. "The impact of monetary policy on corporate bonds under regime shifts," Journal of Banking & Finance, Elsevier, vol. 80(C), pages 176-202.
  45. Kerstin Bernoth & Marcel Fratzscher & Philipp König, 2014. "Schwache Preisentwicklung und Deflationsgefahr im Euroraum: Grenzen der konventionellen Geldpolitik," DIW Wochenbericht, DIW Berlin, German Institute for Economic Research, vol. 81(12), pages 235-249.
  46. Lo Duca, Marco & Adam, Tomáš, 2017. "Modeling euro area bond yields using a time-varying factor model," Working Paper Series 2012, European Central Bank.
  47. Belke, Ansgar & Gros, Daniel & Osowski, Thomas, 2016. "Did quantitative easing affect interest rates outside the US? New evidence based on interest rate differentials," CEPS Papers 11266, Centre for European Policy Studies.
  48. Antonio Diez de los Rios & Maral Shamloo, 2017. "Quantitative Easing and Long-Term Yields in Small Open Economies," IMF Working Papers 17/212, International Monetary Fund.
  49. Kitsul, Yuriy & Wright, Jonathan H., 2013. "The economics of options-implied inflation probability density functions," Journal of Financial Economics, Elsevier, vol. 110(3), pages 696-711.
  50. Xin Zhang & Christoph Bertsch & Isaiah Hull, 2017. "Monetary Normalizations and Consumer Credit: Evidence from Fed Liftoff and Online Lending," 2017 Meeting Papers 442, Society for Economic Dynamics.
  51. Schlepper, Kathi & Riordan, Ryan & Hofer, Heiko & Schrimpf, Andreas, 2017. "Scarcity effects of QE: A transaction-level analysis in the Bund market," Discussion Papers 06/2017, Deutsche Bundesbank.
  52. Xu, Ying & La, Hai Anh, 2016. "Spillovers of the United States’ Unconventional Monetary Policy to Emerging Asia: The Bank Lending Channel," ADBI Working Papers 619, Asian Development Bank Institute.
  53. Massimo Ferrari & Kristyna Ters, 2017. "The benefits of using large high frequency financial datasets for empirical analyses: Two applied cases," IFC Bulletins chapters,in: Bank for International Settlements (ed.), Statistical implications of the new financial landscape, volume 43 Bank for International Settlements.
  54. repec:eee:jmacro:v:52:y:2017:i:c:p:56-74 is not listed on IDEAS
  55. Christophe Blot & Jérôme Creel & Paul Hubert & Fabien Labondance, 2015. "Que peut-on attendre de l’assouplissement quantitatif de la BCE ?," Revue de l'OFCE, Presses de Sciences-Po, vol. 0(2), pages 265-290.
  56. Scharnagl, Michael & Stapf, Jelena, 2014. "Inflation, deflation, and uncertainty: What drives euro area option-implied inflation expectations and are they still anchored in the sovereign debt crisis?," Discussion Papers 24/2014, Deutsche Bundesbank.
  57. Chauvet, Marcelle & Gabriel, Stuart & Lutz, Chandler, 2016. "Mortgage default risk: New evidence from internet search queries," Journal of Urban Economics, Elsevier, vol. 96(C), pages 91-111.
  58. Boubaker, Sabri & Gounopoulos, Dimitrios & Nguyen, Duc Khuong & Paltalidis, Nikos, 2017. "Assessing the effects of unconventional monetary policy and low interest rates on pension fund risk incentives," Journal of Banking & Finance, Elsevier, vol. 77(C), pages 35-52.
  59. repec:eee:reveco:v:51:y:2017:i:c:p:174-192 is not listed on IDEAS
  60. Kaoru Hosono & Shogo Isobe, "undated". "The Financial Market Impact of Unconventional Monetary Policies in the U.S., the U.K., the Eurozone, and Japan," Discussion papers ron259, Policy Research Institute, Ministry of Finance Japan.
  61. Rogers, John H. & Scotti, Chiara & Wright, Jonathan H., 2014. "Evaluating Asset-Market Effects of Unconventional Monetary Policy: A Cross-Country Comparison," International Finance Discussion Papers 1101, Board of Governors of the Federal Reserve System (U.S.).
  62. Sameer Khatiwada, 2017. "Quantitative Easing by the Fed and International Capital Flows," IHEID Working Papers 02-2017, Economics Section, The Graduate Institute of International Studies.
  63. Eric T. Swanson, 2016. "Measuring the Effects of Unconventional Monetary Policy on Asset Prices," Central Banking, Analysis, and Economic Policies Book Series,in: Elías Albagli & Diego Saravia & Michael Woodford (ed.), Monetary Policy through Asset Markets: Lessons from Unconventional Measures and Implications for an Integrated World, edition 1, volume 24, chapter 4, pages 105-130 Central Bank of Chile.
  64. Jean-Sébastien Fontaine, 2012. "Estimating the Policy Rule from Money Market Rates when Target Rate Changes Are Lumpy," Staff Working Papers 12-41, Bank of Canada.
  65. Masazumi Hattori & Andreas Schrimpf & Vladyslav Sushko, 2016. "The Response of Tail Risk Perceptions to Unconventional Monetary Policy," American Economic Journal: Macroeconomics, American Economic Association, vol. 8(2), pages 111-136, April.
  66. Salachas, Evangelos N. & Laopodis, Nikiforos T. & Kouretas, Georgios P., 2017. "The bank-lending channel and monetary policy during pre- and post-2007 crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 47(C), pages 176-187.
  67. Bowman, David & Londono, Juan M. & Sapriza, Horacio, 2015. "U.S. unconventional monetary policy and transmission to emerging market economies," Journal of International Money and Finance, Elsevier, vol. 55(C), pages 27-59.
  68. Rakesh Mohan & Muneesh Kapur, 2014. "Monetary Policy Coordination and the Role of Central Banks," IMF Working Papers 14/70, International Monetary Fund.
  69. John D. Burger & Francis E. Warnock & Veronica Cacdac Warnock, 2017. "The Effects of U.S. Monetary Policy on Emerging Market Economies' Sovereign and Corporate Bond Markets," NBER Working Papers 23628, National Bureau of Economic Research, Inc.
  70. Barnes, Michelle L., 2014. "Let's talk about it: what policy tools should the Fed "normally" use?," Current Policy Perspectives 14-12, Federal Reserve Bank of Boston.
  71. Kontonikas, Alexandros & MacDonald, Ronald & Saggu, Aman, 2013. "Stock market reaction to fed funds rate surprises: State dependence and the financial crisis," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4025-4037.
  72. Emi Nakamura & Jón Steinsson, 2013. "High Frequency Identification of Monetary Non-Neutrality: The Information Effect," NBER Working Papers 19260, National Bureau of Economic Research, Inc.
  73. Djuric, Uros & Neugart, Michael, 2017. "Helicopter money: survey evidence on expectation formation and consumption behavior," Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking 168062, Verein für Socialpolitik / German Economic Association.
  74. Boris Hofmann & Feng Zhu, 2013. "Central bank asset purchases and inflation expectations," BIS Quarterly Review, Bank for International Settlements, March.
  75. Glick, Reuven & Leduc, Sylvain, 2015. "Unconventional monetary policy and the dollar: conventional signs, unconventional magnitudes," Working Paper Series 2015-18, Federal Reserve Bank of San Francisco.
  76. Matteo Falagiarda, 2014. "Evaluating quantitative easing: a DSGE approach," International Journal of Monetary Economics and Finance, Inderscience Enterprises Ltd, vol. 7(4), pages 302-327.
  77. McInish, Thomas & Neely, Christopher J. & Planchon, Jade, 2017. "Unconventional monetary Policy and Long Yields During QE1: Learning from the Shorts," Working Papers 2017-31, Federal Reserve Bank of St. Louis.
  78. Scharnagl, Michael & Stapf, Jelena, 2015. "Inflation, deflation, and uncertainty: What drives euro-area option-implied inflation expectations, and are they still anchored in the sovereign debt crisis?," Economic Modelling, Elsevier, vol. 48(C), pages 248-269.
  79. Kimura Takeshi & Nakajima Jouchi, 2016. "Identifying conventional and unconventional monetary policy shocks: a latent threshold approach," The B.E. Journal of Macroeconomics, De Gruyter, pages 277-300.
  80. Kiley, Michael T., 2016. "Monetary policy statements, treasury yields, and private yields: Before and after the zero lower bound," Finance Research Letters, Elsevier, vol. 18(C), pages 285-290.
  81. Anaya, Pablo & Hachula, Michael & Offermanns, Christian J., 2017. "Spillovers of U.S. unconventional monetary policy to emerging markets: The role of capital flows," Journal of International Money and Finance, Elsevier, vol. 73(PB), pages 275-295.
  82. Martien Lamers & Frederik Mergaerts & Elien Meuleman & Rudi Vander Vennet, 2016. "The trade-off between monetary policy and bank stability," Working Paper Research 308, National Bank of Belgium.
  83. Carpenter, Seth & Demiralp, Selva & Ihrig, Jane & Klee, Elizabeth, 2015. "Analyzing Federal Reserve asset purchases: From whom does the Fed buy?," Journal of Banking & Finance, Elsevier, vol. 52(C), pages 230-244.
  84. repec:spo:wpecon:info:hdl:2441/6ggbvnr6munghes9oasij6sc6 is not listed on IDEAS
  85. repec:eee:macchp:v2-415 is not listed on IDEAS
  86. Mamatzakis, Emmanuel & Bermpei, Theodora, 2016. "What is the effect of unconventional monetary policy on bank performance?," Journal of International Money and Finance, Elsevier, vol. 67(C), pages 239-263.
  87. Carrera, César & Pérez-Forero, Fernando & Ramírez-Rondán, Nelson, 2014. "Effects of the U.S. quantitative easing on the Peruvian economy," Working Papers 2014-017, Banco Central de Reserva del Perú.
  88. Unalmis, Deren & Unalmis, Ibrahim, 2015. "The Effects of Conventional and Unconventional Monetary Policy Surprises on Asset Markets in the United States," MPRA Paper 62585, University Library of Munich, Germany.
  89. Dominika Brozda, 2016. "Transmission Mechanism Of The Federal Reserve System’S Monetary Policy In The Conditions Of Zero Bound On Nominal Interest Rates," Equilibrium. Quarterly Journal of Economics and Economic Policy, Institute of Economic Research, vol. 11(4), pages 751-767, December.
  90. repec:eee:jimfin:v:75:y:2017:i:c:p:109-127 is not listed on IDEAS
  91. Alexandros Kontonikas & Paulo Maio & Zivile Zekaite, 2016. "Monetary Policy and Corporate Bond Returns," Working Papers 2016_05, Business School - Economics, University of Glasgow.
  92. Sun, Xinxin & Lu, Xinsheng & Yue, Gongzheng & Li, Jianfeng, 2017. "Cross-correlations between the US monetary policy, US dollar index and crude oil market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 467(C), pages 326-344.
  93. António Afonso, & Manish K. Singh, 2016. "Is the supply of long-term debt independent of the term premia? Evidence from Portugal," Working Papers Department of Economics 2016/11, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa.
  94. Eser, Fabian & Schwaab, Bernd, 2016. "Evaluating the impact of unconventional monetary policy measures: Empirical evidence from the ECB׳s Securities Markets Programme," Journal of Financial Economics, Elsevier, vol. 119(1), pages 147-167.
  95. repec:sbe:breart:v:36:y:2016:i:2:a:46421 is not listed on IDEAS
  96. Wu, Wenbin, 2016. "Are financial markets less responsive to monetary policy shocks at the zero lower bound?," Economics Letters, Elsevier, vol. 145(C), pages 258-261.
  97. repec:chb:bcchsb:v24c08pp257-283 is not listed on IDEAS
  98. Simon Gilchrist & Vivian Z. Yue & Egon Zakrajšek, 2016. "The Response of Sovereign Bond Yields to U.S. Monetary Policy," Central Banking, Analysis, and Economic Policies Book Series,in: Elías Albagli & Diego Saravia & Michael Woodford (ed.), Monetary Policy through Asset Markets: Lessons from Unconventional Measures and Implications for an Integrated World, edition 1, volume 24, chapter 8, pages 257-283 Central Bank of Chile.
  99. Prabu A, Edwin & Bhattacharyya, Indranil & Ray, Partha, 2016. "Is the stock market impervious to monetary policy announcements: Evidence from emerging India," International Review of Economics & Finance, Elsevier, vol. 46(C), pages 166-179.
  100. Bernhard, Severin & Ebner, Till, 2017. "Cross-border spillover effects of unconventional monetary policies on Swiss asset prices," Journal of International Money and Finance, Elsevier, vol. 75(C), pages 109-127.
  101. Boubaker, Sabri & Gounopoulos, Dimitrios & Nguyen, Duc Khuong & Paltalidis, Nikos, 2015. "Assessing the effects of unconventional monetary policy on pension funds risk incentives," MPRA Paper 73398, University Library of Munich, Germany, revised Aug 2016.
  102. Tim Bollerslev & Jia Li & Yuan Xue, 2016. "Volume, Volatility and Public News Announcements," CREATES Research Papers 2016-19, Department of Economics and Business Economics, Aarhus University.
  103. Erik Gilje & Robert Ready & Nikolai Roussanov, 2016. "Fracking, Drilling, and Asset Pricing: Estimating the Economic Benefits of the Shale Revolution," NBER Working Papers 22914, National Bureau of Economic Research, Inc.
  104. Kiyotaka Nakashima & Masahiko Shibamoto & Koji Takahashi, 2017. "Identifying Unconventional Monetary Policy Shocks," Discussion Paper Series DP2017-05, Research Institute for Economics & Business Administration, Kobe University, revised Apr 2017.
  105. Burak Eroglu & Secil Yildirim-Karaman, 2017. "Responses Of Term Structure Of Interest Rates And Asset Prices To Monetary Policy Shocks: Evidence From Turkey," Working Papers 1705, The Center for Financial Studies (CEFIS), Istanbul Bilgi University.
  106. Meinusch, Annette & Tillmann, Peter, 2016. "The macroeconomic impact of unconventional monetary policy shocks," Journal of Macroeconomics, Elsevier, vol. 47(PA), pages 58-67.
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