Research on the Determinants of Term Premium in Korean Long-term Rates and it’s Implication for an Unconventional Monetary Policy

2020 ◽  
Vol 34 (4) ◽  
pp. 27-59
Author(s):  
Hyoung Seok Oh
Keyword(s):  
Monetary Policy ◽  
Unconventional Monetary Policy ◽  
Term Premium

scholarly journals The Spillover Effects of the US Unconventional Monetary Policy: New Evidence from Asian Developing Countries

2020 ◽  
Vol 13 (8) ◽  
pp. 165
Author(s):  
Thi Tran ◽  
Hoang Pham
Keyword(s):  
Developing Countries ◽  
Monetary Policy ◽  
Interest Rates ◽  
Spillover Effects ◽  
Unconventional Monetary Policy ◽  
Equity Prices ◽  
Developing Markets ◽  
The Us ◽  
Asian Developing Countries

This paper aims to trace the monthly responses of equity prices, long-term interest rates, and exchange rates in Asian developing markets to the US unconventional monetary policy (UMP). The main research question is to explore whether UMP shocks exist in those markets. We also consider the differences in the mean responses of those asset prices between traditional and non-traditional monetary policy phases. To address such concerns, we employ a panel vector autoregression with exogenous variables (Panel VARX) model and estimate the model by the least-squares dummy variable (LSDV) estimator in three different periods spanning from 2004M2 to 2018M4. The first finding is that UMP shocks from the US are associated with a surge in equity prices, a decline in long-term interest rates, and an appreciation of currencies in Asian developing markets. In contrast, the conventional monetary policy shocks from the US seem to exert adverse effects on these recipient countries. These empirical results suggest that the policymakers in Asian developing countries should cautiously take into account the spillover effects from the US unconventional monetary policy once it is executed.

scholarly journals Danger to the Old Lady of Threadneedle Street? The Bank Restriction Act and the regime shift to paper money, 1797–1821

2019 ◽  
Vol 24 (2) ◽  
pp. 390-426 ◽  
Author(s):  
Patrick K O'Brien ◽  
Nuno Palma
Keyword(s):  
Monetary Policy ◽  
Regime Shift ◽  
Unconventional Monetary Policy ◽  
Paper Money ◽  
Bank Of England ◽  
Term Data

Abstract The Bank Restriction Act of 1797 was the unconventional monetary policy of its time. It suspended the convertibility of the Bank of England's notes into gold, a policy that lasted until 1821. The current historical consensus is that it was a result of the state's need to finance the war, France’s remonetization, a loss of confidence in the English country banks, and a run on the Bank of England’s reserves following a landing of French troops in Wales. We argue that while these factors help us understand the timing of the suspension, they cannot explain its success. We deploy new long-term data that leads us to a complementary explanation: the policy succeeded thanks to the reputation of the Bank of England, achieved through a century of prudential collaboration between the Bank and the Treasury.

The Response of Tail Risk Perceptions to Unconventional Monetary Policy

2016 ◽  
Vol 8 (2) ◽  
pp. 111-136 ◽  
Author(s):  
Masazumi Hattori ◽  
Andreas Schrimpf ◽  
Vladyslav Sushko
Keyword(s):  
Monetary Policy ◽  
Interest Rate ◽  
Risk Perceptions ◽  
Equity Market ◽  
Unconventional Monetary Policy ◽  
Tail Risk ◽  
Forward Guidance ◽  
The Impact ◽  
Future Path

We examine the impact of unconventional monetary policy (UMP) on stock market tail risk and risks of extreme interest rate movements. We find that UMP announcements substantially reduced option-implied equity market tail risks and interest rate risks. Most of the impact derives from forward guidance rather than asset purchase announcements. Communication about the future path of policy rates reduced volatility expectations of long-term rates and the associated risk premia. The reaction of equity market tail risk, in turn, points to the risk-taking channel of monetary policy, as the commitment to low funding rates may have relaxed financial intermediaries’ risk-bearing constraints. (JEL E52, E58, G12, G13, G14)

scholarly journals Unconventional Monetary Policy and Bank Lending Relationships

2020 ◽  
Author(s):  
Christophe Cahn ◽  
Anne Duquerroy ◽  
William Mullins
Keyword(s):  
Monetary Policy ◽  
Credit Ratings ◽  
Bank Lending ◽  
Relationship Lending ◽  
Unconventional Monetary Policy ◽  
Short Term ◽  
Lending Relationships ◽  
Policy Effects ◽  
Unique Variation

We explore how banks transmit central bank liquidity injections using unique variation in the ECB’s 2011-12 Very Long-Term Refinancing Operations (VLTROs) which affected lending to firms discontinuously across credit ratings (i.e., within banks). We show that banks transmit liquidity differently to multi-bank firms than to firms with only one bank. Single-bank firms receive longer-term relationship lending and increase investment, while multi-bank firms receive short-term transactions-style lending only. Policy effects are attributable to increasing the maturity of bank borrowing from the ECB in combination with allowing banks to use loans to firms as collateral for such borrowing.

SHORT-TERM AND LONG-TERM EFFECTS OF UNCONVENTIONAL MONETARY POLICY ON THE EQUITY MARKET

2015 ◽  
Vol 15 (2) ◽  
pp. 59-66
Author(s):  
Min-Ming Wen ◽  
Areli Baires ◽  
Yiyun Li ◽  
Aridai Fuente ◽  
Jingyu Zhao
Keyword(s):  
Monetary Policy ◽  
Equity Market ◽  
Unconventional Monetary Policy ◽  
Long Term Effects ◽  
Short Term

Unconventional monetary policy and negative interest rates: a Post-Keynesian perspective on the liquidity trap and euthanasia of the rentier

2019 ◽  
Vol 7 (2) ◽  
pp. 185-200
Author(s):  
Olivia Bullio Mattos ◽  
Felipe Da Roz ◽  
Fernanda Oliveira Ultremare ◽  
Guilherme Santos Mello
Keyword(s):  
Monetary Policy ◽  
Interest Rates ◽  
Full Employment ◽  
Capital Gains ◽  
Unconventional Monetary Policy ◽  
Short Term ◽  
Main Hypothesis ◽  
Liquidity Trap ◽  
Negative Interest Rates

This article discusses ‘unconventional’ monetary policy after the 2008 crisis. The focus is the original theoretical basis for such policy and possible Keynesian readings and criticisms. Drawing inspiration mainly from Keynes (1930; 1936) and Minsky (1975), the paper seeks to explain why ultra-low/negative interest rates neither caused ‘rentiers’ to die, nor achieved full employment. The main hypothesis goes in the direction pointed to by Keynes: the problem is the low marginal efficiency of capital, the liquidity trap, and the lack of active government fiscal policy, which should be used in conjunction with monetary policy that maintains low long-term interest rates in order to spur investment. Monetary policy and very low/negative interest rates seem insufficient to overcome low growth. They are also incapable, at least in the short term, of promoting euthanasia of the rentiers as current monetary policy allows financial institutions to benefit from the capital gains it spurs.

scholarly journals Evaluating the Unconventional Monetary Policy of the Bank of Japan: A DSGE Approach

2021 ◽  
Vol 14 (6) ◽  
pp. 253
Author(s):  
Rui Wang
Keyword(s):  
Monetary Policy ◽  
Interest Rate ◽  
Interest Rates ◽  
Simulation Analysis ◽  
Central Banks ◽  
Japanese Economy ◽  
Lower Sensitivity ◽  
Unconventional Monetary Policy ◽  
Bank Of Japan

When the nominal interest rate reaches the zero lower bound (ZLB), a conventional monetary policy, namely, the adjustment of short-term interest rate, may become impractical and ineffective for central banks. Therefore, quantitative easing (QE) is one of the few available policy options of central banks for stimulating the economy and dealing with deflationary pressure. Since February 1999, the Bank of Japan (BoJ) has conducted several unconventional monetary policy programs. Considering the scarce research in this field from a structural macroeconomic model approach, a medium-scale New Keynesian DSGE model with government bonds of different maturities was developed to check the portfolio rebalancing channel of quantitative qualitative easing (QQE) conducted by the BoJ from April 2013 on the basis of the assumption of imperfect asset substitutability. The model was calibrated on the basis of the structure of the Japanese economy in April 2013. The main conclusion is that the BoJ’s asset purchase has a real effect on pushing output and inflation higher, and long-term interest rates lower. Sensitivity simulation analysis shows that, given the same size of asset purchase, the persistence of asset purchase determines the peak effect in the short run. A long-lasting asset purchase can push up inflation higher, and long-term interest rates lower for a relatively longer period, but the long-run effect on output and investment does not have much difference. The policy implication for BoJ is just to announce a long-lasting QE program and make it credible to the market.

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