Interest Rate Transmission And Volatility Transmission Along The Yield Curve PDF Download
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Author | : Mr.Emre Alper |
Publisher | : International Monetary Fund |
Total Pages | : 29 |
Release | : 2016-09-08 |
Genre | : Business & Economics |
ISBN | : 1475535376 |
Download Monetary Policy Implementation and Volatility Transmission along the Yield Curve Book in PDF, ePub and Kindle
This paper analyzes the degree to which volatility in interbank interest rates leads to volatility in financial instruments with longer maturities (e.g., T-bills) in Kenya since 2012, year in which the monetary policy framework switched to a forward-looking approach, relative to seven other inflation targeting (IT) countries (Ghana, Hungary, Poland, South Africa, Sweden, Thailand, and Uganda). Kenya shows strong volatility transmission and high persistence similar to other countries in transition to a more forward-looking monetary policy framework. These results emphasize the importance of a strong commitment to an interbank rate as an operational target and suggest that the central bank could reduce uncertainty in short-term yields significantly by smoothing out the overnight interest rates around the policy rate.
Author | : Sanvi Avouyi-Dovi |
Publisher | : |
Total Pages | : 23 |
Release | : 1999 |
Genre | : Banks and banking |
ISBN | : |
Download Interest Rate Transmission and Volatility Transmission Along the Yield Curve Book in PDF, ePub and Kindle
Author | : Sanvi Avouyi-Dovi |
Publisher | : |
Total Pages | : 23 |
Release | : 1999 |
Genre | : Banks and banking |
ISBN | : |
Download Interest Rate Transmission and Volatility Transmission Along the Yield Curve Book in PDF, ePub and Kindle
Author | : Juan Ayuso |
Publisher | : |
Total Pages | : 40 |
Release | : 1994 |
Genre | : Foreign exchange |
ISBN | : |
Download Volatility Transmission Along the Money Market Yield Curve Book in PDF, ePub and Kindle
Author | : C. Emre Alper |
Publisher | : |
Total Pages | : 30 |
Release | : 2016 |
Genre | : |
ISBN | : |
Download Monetary Policy Implementation and Volatility Transmission Along the Yield Curve Book in PDF, ePub and Kindle
This paper analyzes the degree to which volatility in interbank interest rates leads to volatility in financial instruments with longer maturities (e.g., T-bills) in Kenya since 2012, year in which the monetary policy framework switched to a forward-looking approach, relative to seven other inflation targeting (IT) countries (Ghana, Hungary,Poland, South Africa, Sweden, Thailand, and Uganda). Kenya shows strong volatility transmission and high persistence similar to other countries in transition to a more forward-looking monetary policy framework. These results emphasize the importance of a strong commitment to an interbank rate as an operational target and suggest that the central bank could reduce uncertainty in short-term yields significantly by smoothing out the overnight interest rates around the policy rate.
Author | : Sanvi Avouyi-Dovi |
Publisher | : |
Total Pages | : 23 |
Release | : 1999 |
Genre | : |
ISBN | : |
Download Interest Rate Transmission and Volatility Transmissiona Along the Yield Curve Book in PDF, ePub and Kindle
Author | : Felix Geiger |
Publisher | : Springer Science & Business Media |
Total Pages | : 320 |
Release | : 2011-08-17 |
Genre | : Business & Economics |
ISBN | : 3642215750 |
Download The Yield Curve and Financial Risk Premia Book in PDF, ePub and Kindle
The determinants of yield curve dynamics have been thoroughly discussed in finance models. However, little can be said about the macroeconomic factors behind the movements of short- and long-term interest rates as well as the risk compensation demanded by financial investors. By taking on a macro-finance perspective, the book’s approach explicitly acknowledges the close feedback between monetary policy, the macroeconomy and financial conditions. Both theoretical and empirical models are applied in order to get a profound understanding of the interlinkages between economic activity, the conduct of monetary policy and the underlying macroeconomic factors of bond price movements. Moreover, the book identifies a broad risk-taking channel of monetary transmission which allows a reassessment of the role of financial constraints; it enables policy makers to develop new guidelines for monetary policy and for financial supervision of how to cope with evolving financial imbalances.
Author | : Mr.Luis Brandao-Marques |
Publisher | : International Monetary Fund |
Total Pages | : 54 |
Release | : 2020-02-21 |
Genre | : Business & Economics |
ISBN | : 1513529730 |
Download Monetary Policy Transmission in Emerging Markets and Developing Economies Book in PDF, ePub and Kindle
Central banks in emerging and developing economies (EMDEs) have been modernizing their monetary policy frameworks, often moving toward inflation targeting (IT). However, questions regarding the strength of monetary policy transmission from interest rates to inflation and output have often stalled progress. We conduct a novel empirical analysis using Jordà’s (2005) approach for 40 EMDEs to shed a light on monetary transmission in these countries. We find that interest rate hikes reduce output growth and inflation, once we explicitly account for the behavior of the exchange rate. Having a modern monetary policy framework—adopting IT and independent and transparent central banks—matters more for monetary transmission than financial development.
Author | : Mr.Manmohan Singh |
Publisher | : International Monetary Fund |
Total Pages | : 21 |
Release | : 2019-05-17 |
Genre | : Business & Economics |
ISBN | : 1498312799 |
Download Pledged Collateral Market's Role in Transmission to Short-Term Market Rates Book in PDF, ePub and Kindle
In global financial centers, short-term market rates are effectively determined in the pledged collateral market, where banks and other financial institutions exchange collateral (such as bonds and equities) for money. Furthermore, the use of long-dated securities as collateral for short tenors—or example, in securities-lending and repo markets, and prime brokerage funding—impacts the risk premia (or moneyness) along the yield curve. In this paper, we deploy a methodology to show that transactions using long dated collateral also affect short-term market rates. Our results suggest that the unwind of central bank balance sheets will likely strengthen the monetary policy transmission, as dealer balance-sheet space is now relatively less constrained, with a rebound in collateral reuse.
Author | : Silvio Colarossi |
Publisher | : |
Total Pages | : |
Release | : 2007 |
Genre | : |
ISBN | : |
Download Gradualism, Transparency and Improved Operational Framework: a Look at the Overnight Volatility Transmission Book in PDF, ePub and Kindle