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  1. What drove the rise in bank lending rates in Lithuania during the low-rate era?
    Autor*in: Karmelavičius, Jaunius; Mikaliūnaitė-Jouvanceau, Ieva; Buteikis, Andrius
    Erschienen: [2022]
    Verlag:  Bank of Lithuania, Vilnius

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    Weitere Identifier:
    hdl: 11159/12453
    Schriftenreihe: Occasional paper series / Lietuvos Bankas ; no. 43 (2022)
    Schlagworte: interest rates; loan pricing; banking; concentration; capital requirements
    Umfang: 1 Online-Ressource (circa 44 Seiten), Illustrationen
  2. Preferred habitat and monetary policy through the looking-glass
    Autor*in: Carboni, Giacomo; Ellison, Martin
    Erschienen: [2022]
    Verlag:  European Central Bank, Frankfurt am Main, Germany

    The ability of monetary policy to influence the term structure of interest rates and the macroeconomy depends on the extent to which financial market participants prefer to hold bonds of different maturities. We microfound such preferred-habitat... mehr

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    The ability of monetary policy to influence the term structure of interest rates and the macroeconomy depends on the extent to which financial market participants prefer to hold bonds of different maturities. We microfound such preferred-habitat demand in a fully-specified dynamic stochastic general equilibrium model of the macroeconomy where the term structure is arbitrage-free. The source of preferred habitat demand is an insurance fund that issues annuities and adopts a liability-driven strategy to minimise the duration risk on its balance sheet. The optimising behaviour of the insurance fund implies a preferred- habitat demand function that is upward-sloping in bond prices and downward-sloping in bond yields, especially when interest rates are low. This supports the operation of a recruitment channel at low interest rates, whereby long-term interest rates react strongly to short-term policy rates because of complementary changes in term premia induced by preferred-habitat demand. The strong reaction extends to in‡ation and output in general equilibrium, a through-the-looking-glass result that challenges conventional wisdom that preferred habitat weakens the transmission of monetary policy.

     
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    ISBN: 9789289952828
    Weitere Identifier:
    hdl: 10419/269104
    Schriftenreihe: Working paper series / European Central Bank ; no 2697 (August 2022)
    Schlagworte: general equilibrium; interest rates; preferred habitat; term structure
    Umfang: 1 Online-Ressource (circa 38 Seiten), Illustrationen
  3. Stock return predictability before the First World War
    Autor*in: Stuart, Rebecca
    Erschienen: [2022]
    Verlag:  Université de Neuchâtel, Institute de Recherches Économiques, [Neuchâtel]

    This paper studies the predictability of stock returns using monthly data on eight markets over the period 1876-1913. In contrast to much of the existing literature I find broad predictability across stock markets. Market interest rates and seasonal... mehr

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    This paper studies the predictability of stock returns using monthly data on eight markets over the period 1876-1913. In contrast to much of the existing literature I find broad predictability across stock markets. Market interest rates and seasonal dummies generally have predictive power, and in almost all of series studied there is a statistically significant autoregressive component. These relationships appear to be stable over the sample period. Testing returns from multiple indices for the same market indicates that the compilation of the index does not systematically affect its predictability. Finally, the results are robust to the exclusion of extreme observations.

     
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    hdl: 10419/265180
    Schriftenreihe: IRENE working paper ; 22, 02
    Schlagworte: stock returns; interest rates; Gold Standard
    Umfang: 1 Online-Ressource (circa 27 Seiten), Illustrationen
  4. Bank lending rates and the remuneration for risk
    evidence from portfolio and loan level data
    Autor*in: Durrani, Agha; Metzler, Julian; Michail, Nektarios; Werner, Johannes-Gabriel
    Erschienen: [2022]
    Verlag:  European Central Bank, Frankfurt am Main, Germany

    We employ interest rates and expected loss probabilities from the 2021 EBA Stress Test dataset and euro area credit registries to examine whether the risk-return relationship holds in banking. After controlling for bank, loan, and debtor... mehr

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    We employ interest rates and expected loss probabilities from the 2021 EBA Stress Test dataset and euro area credit registries to examine whether the risk-return relationship holds in banking. After controlling for bank, loan, and debtor characteristics as well as macroeconomic conditions, results indicate that a risk-return relationship in bank lending is present but varies significantly across and within borrower segments. While bank lending rates appear to be quite responsive to risks towards households, results suggest that banks only significantly increase interest rates towards non-financial corporations that reside in the riskiest quantiles of the distribution. This potentially implies the presence of a cross-subsidization effect of credit risk.

     
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    ISBN: 9789289954013
    Weitere Identifier:
    hdl: 10419/278228
    Schriftenreihe: Working paper series / European Central Bank ; no 2753 (November 2022)
    Schlagworte: risk-return; credit register; banking; loans; interest rates
    Umfang: 1 Online-Ressource (circa 46 Seiten), Illustrationen
  5. Historical monetary and financial statistics for policymakers
    towards a unified framework
    Beteiligt: Borio, Claudio E. V. (HerausgeberIn); Eitrheim, Øyvind (HerausgeberIn); Flandreau, Marc (HerausgeberIn); Jobst, Clemens (HerausgeberIn); Qvigstad, Jan F. (HerausgeberIn); Thomas, Ryland (HerausgeberIn)
    Erschienen: September 2022
    Verlag:  BIS, Bank for International Settlements, Monetary and Economic Department, [Basel]

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    Beteiligt: Borio, Claudio E. V. (HerausgeberIn); Eitrheim, Øyvind (HerausgeberIn); Flandreau, Marc (HerausgeberIn); Jobst, Clemens (HerausgeberIn); Qvigstad, Jan F. (HerausgeberIn); Thomas, Ryland (HerausgeberIn)
    Sprache: Englisch
    Medientyp: Ebook
    Format: Online
    ISBN: 9789292596033
    Schriftenreihe: BIS papers ; no 127
    Schlagworte: Historical statistics; credit; house prices; interest rates; central banks; financial history
    Umfang: 1 Online-Ressource (circa 108 Seiten), Illustrationen
  6. Information frictions among firms and households
    Autor*in: Link, Sebastian; Peichl, Andreas; Roth, Christopher; Wohlfart, Johannes
    Erschienen: January 2022
    Verlag:  ECONtribute, Bonn

    We survey samples of German firms and households to document novel stylized facts about the extent of information frictions among the two groups. First, firms' expectations about macroeconomic variables are closer to expert forecasts and less... mehr

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    We survey samples of German firms and households to document novel stylized facts about the extent of information frictions among the two groups. First, firms' expectations about macroeconomic variables are closer to expert forecasts and less dispersed than households', consistent with higher information frictions among households. Second, the degree of dispersion and the distance from expert forecasts varies more across groups of households than across groups of firms. Third, firms update their policy rate expectations less than households when provided with an expert forecast, consistent with holding stronger priors. Our results have implications for modeling choices, macroeconomic dynamics, and policies.

     
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    hdl: 10419/252301
    Schriftenreihe: ECONtribute discussion paper ; no. 140
    Schlagworte: Information frictions; expectation formation; firms; households; interest rates
    Umfang: 1 Online-Ressource (circa 84 Seiten), Illustrationen
  7. A preferred-habitat model of term premia, exchange rates, and monetary policy spillovers
    Autor*in: Gourinchas, Pierre-Olivier; Ray, Walker; Vayanos, Dimitri
    Erschienen: 18 March 2022
    Verlag:  Centre for Economic Policy Research, London

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    Schriftenreihe: Array ; DP17119
    Schlagworte: Arbitrage; Geldpolitik; Geldpolitische Transmission; Wechselkurs; Zins; Zinsstruktur; Spillover-Effekt; Risikoprämie; Exchange Rates; interest rates; monetary policy; Limits of arbitrage
    Umfang: 1 Online-Ressource (circa 78 Seiten), Illustrationen
  8. A note on temporary supply shocks with aggregate demand inertia
    Autor*in: Caballero, Ricardo J.; Simsek, Alp
    Erschienen: February 2022
    Verlag:  CESifo, Center for Economic Studies & Ifo Institute, Munich, Germany

    We study optimal monetary policy during temporary supply contractions when aggregate demand has inertia and expansionary policy is constrained. In this environment, it is optimal to run the economy hot until supply recovers. Positive output gaps in... mehr

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    We study optimal monetary policy during temporary supply contractions when aggregate demand has inertia and expansionary policy is constrained. In this environment, it is optimal to run the economy hot until supply recovers. Positive output gaps in the low-supply phase lessen the negative output gaps expected to emerge once supply recovers. However, the policy does not remain loose throughout the low-supply phase: The central bank undoes the initial interest rate cuts once aggregate demand gains momentum. If inflation also has inertia, the central bank still overheats the economy during the low-supply phase but gradually cools it down over time.

     
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    hdl: 10419/252120
    Schriftenreihe: CESifo working paper ; no. 9603 (2022)
    Schlagworte: Geldpolitik; Gesamtwirtschaftliche Nachfrage; Gesamtwirtschaftliches Angebot; Inflation; Schock; Schätzung; monetary policy; interest rates; temporary supply shocks; aggregate demand inertia; inflation; Taylor rule; divine coincidence; policy frontloading; aggregate demand momentum; output and inflation gaps; the Phillips curve; Covid-19
    Umfang: 1 Online-Ressource (circa 45 Seiten), Illustrationen
  9. Information frictions among firms and households
    Autor*in: Link, Sebastian; Peichl, Andreas; Roth, Christopher; Wohlfart, Johannes
    Erschienen: February 2022
    Verlag:  IZA - Institute of Labor Economics, Bonn, Germany

    We survey samples of German firms and households to document novel stylized facts about the extent of information frictions among the two groups. First, firms' expectations about macroeconomic variables are closer to expert forecasts and less... mehr

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    We survey samples of German firms and households to document novel stylized facts about the extent of information frictions among the two groups. First, firms' expectations about macroeconomic variables are closer to expert forecasts and less dispersed than households', consistent with higher information frictions among households. Second, the degree of dispersion and the distance from expert forecasts varies more across groups of households than across groups of firms. Third, firms update their policy rate expectations less than households when provided with an expert forecast, consistent with holding stronger priors. Our results have implications for modeling choices, macroeconomic dynamics, and policies.

     
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    hdl: 10419/252214
    Schriftenreihe: Discussion paper series / IZA ; no. 15090
    Schlagworte: information frictions; expectation formation; firms; households; interest rates
    Umfang: 1 Online-Ressource (circa 85 Seiten), Illustrationen
  10. Excess liquidity and the usefulness of the money multiplier
    Autor*in: Berk, Jan Marc; End, Jan-Willem van den
    Erschienen: 2022
    Verlag:  De Nederlandsche Bank NV, Amsterdam, The Netherlands

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    Schriftenreihe: Working paper / De Nederlandsche Bank NV ; no. 740 (March 2022)
    Schlagworte: monetary policy; interest rates; money multipliers
    Umfang: 1 Online-Ressource (circa 38 Seiten), Illustrationen
  11. Do Zombies rise when interest rates fall?
    a relationship banking model
    Autor*in: Herweg, Fabian; Kähny, Maximilian
    Erschienen: March 2022
    Verlag:  CESifo, Center for Economic Studies & Ifo Institute, Munich, Germany

    An entrepreneur chooses a relationship bank or market finance. The advantage of bank finance is that the quality of the entrepreneur’s project is identified early, allowing to liquidate low-quality projects. The loan contract induces an efficient... mehr

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    An entrepreneur chooses a relationship bank or market finance. The advantage of bank finance is that the quality of the entrepreneur’s project is identified early, allowing to liquidate low-quality projects. The loan contract induces an efficient continuation decision if the entrepreneur has sufficient wealth. If the entrepreneur is cash constrained, the loan contract is such that the bank continues inefficient projects, i.e., zombie lending occurs. In the short run - for a given contract - a drop in the market interest rate increases zombification. The bank adapts the contract to this drop in the long run, and zombification diminishes.

     
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    hdl: 10419/252145
    Schriftenreihe: CESifo working paper ; no. 9628 (2022)
    Schlagworte: evergreening; interest rates; relationship banking; Zombie firms
    Umfang: 1 Online-Ressource (circa 43 Seiten)
  12. The multifaceted impact of US trade policy on financial markets
    Autor*in: Boer, Lukas; Menkhoff, Lukas; Rieth, Malte
    Erschienen: 2022
    Verlag:  Deutsches Institut für Wirtschaftsforschung (DIW), Berlin

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  13. Crowding in during the seven years' war
    Autor*in: Palma, Nuno; Sissoko, Carolyn
    Erschienen: December 2022
    Verlag:  School of Social Sciences, The University of Manchester, Manchester

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    Schriftenreihe: Economics discussion paper series / The University of Manchester ; EDP-22, 11
    Schlagworte: Bank of England; City of London; discount market; interest rates; crowding in; financial history
    Umfang: 1 Online-Ressource (circa 26 Seiten), Illustrationen
  14. The consequences of low interest rates for the Australian banking sector
    Autor*in: Brassil, Anthony
    Erschienen: December 2022
    Verlag:  Reserve Bank of Australia, [Sydney]

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    Schriftenreihe: Research discussion paper / Reserve Bank of Australia ; RDP 2022, 08
    Schlagworte: banking; interest rates; monetary policy
    Umfang: 1 Online-Ressource (circa 39 Seiten), Illustrationen
  15. Does monetary policy affect the net interest margin of credit institutions?
    evidence from Colombia
    Autor*in: Pirateque-Niño, Javier Eliecer; Rodríguez-Novoa, Daniela; Piñeros-Gordo, José Hernán
    Erschienen: [2022]
    Verlag:  Banco de la Republica Colombia, Bogotá, Colombia

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    hdl: 20.500.12134/10294
    Schriftenreihe: Borradores de economía ; no. 1197 (2022)
    Schlagworte: net interest margin; monetary policy shock; credit intensity; interest rates
    Umfang: 1 Online-Ressource (circa 28 Seiten), Illustrationen
  16. Pass-through from policy rate to retail interest rates in Zambia
    Autor*in: Ngoma, Cleopatra; Chanda, Cosam
    Erschienen: June 2022
    Verlag:  African Economic Research Consortium, Nairobi, Kenya

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    ISBN: 9789966612021
    Schriftenreihe: Research paper / African Economic Research Consortium ; 503
    Schlagworte: Pass-through; monetary policy rate; interest rates; vector error correction model
    Umfang: 1 Online-Ressource (circa 42 Seiten), Illustrationen
  17. Preferred habitat and monetary policy through the looking-glass
    Autor*in: Ellison, Martin; Carboni, Giacomo
    Erschienen: 18 June 2022
    Verlag:  Centre for Economic Policy Research, London

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    Schriftenreihe: Array ; DP17394
    Schlagworte: General Equilibrium; interest rates; Preferred habitat; term structure
    Umfang: 1 Online-Ressource (circa 37 Seiten), Illustrationen
  18. A global monetary policy factor in sovereign bond yields
    Autor*in: Malliaropulos, Dimitris; Migiakis, Petros
    Erschienen: July 2022
    Verlag:  Bank of Greece, Athens

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    Schriftenreihe: Working paper / Bank of Greece ; 301
    Schlagworte: quantitative easing; central bank balance sheet policies; sovereign risk; interest rates; panel cointegration
    Umfang: 1 Online-Ressource (circa 48 Seiten), Illustrationen