scholarly journals The Effects of Monetary Policy Regime Shifts on the Term Structure of Interest Rates

2011 ◽  
Author(s):  
Azamat Abdymomunov ◽  
Kyu Ho Kang
Keyword(s):  
Monetary Policy ◽  
Interest Rates ◽  
Term Structure ◽  
Regime Shifts ◽  
Policy Regime

scholarly journals The effects of monetary policy regime shifts on the term structure of interest rates

2015 ◽  
Vol 19 (2) ◽  
Author(s):  
Azamat Abdymomunov ◽  
Kyu Ho Kang
Keyword(s):  
Monetary Policy ◽  
Interest Rates ◽  
Term Structure ◽  
Regime Shifts ◽  
Policy Regime ◽  
Policy Regimes ◽  
Term Structure Model ◽  
Price Of Risk ◽  
Free Dynamic ◽  
Do So

AbstractWe investigate how the entire term structure of interest rates is influenced by changes in monetary policy regimes. To do so, we develop and estimate an arbitrage-free dynamic term-structure model which accounts for regime shifts in monetary policy and price of risk. Our results for US data from 1985 through 2008 indicate that (

Central Bank Liquidity Management and the Signal Extraction Problem on the Money Market / Die Liquiditätssteuerung der Notenbank und das Signal-extraktionsproblem am Geldmarkt

2000 ◽  
Vol 220 (3) ◽  
pp. 284-301
Author(s):  
Ulrich Bindseil
Keyword(s):  
Monetary Policy ◽  
Central Bank ◽  
Interest Rates ◽  
Term Structure ◽  
Management Strategies ◽  
Money Market ◽  
Signal Extraction ◽  
Maintenance Period ◽  
Liquidity Management ◽  
Expectation Theory

Summary Understanding the factors determining overnight rates is crucial both for central bankers and private market participants, since, assuming the validity of the expectation theory of the term structure of interest rates, expectations with regard to this “monadic” maturity should determine longer term rates, which are deemed to be relevant for the transmission of monetary policy. The note proposes a simple model of the money market within a two-day long reserve maintenance period to derive relationships between the relevant quantities, expectations concerning these quantities for the rest of the reserve maintenance period, and overnight rates. It is argued that a signal extraction problem faced by banks when observing quantities such as their aggregate reserve holdings and allotment amounts of monetary policy operations is at the core of these relationships. The usefulness of the model is illustrated by applying it to the analysis of three alternative liquidity management strategies of a central bank.

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