Vignette d'image

Kaufmann, Daniel

Nom
Kaufmann, Daniel
Affiliation principale
Site web
Fonction
Professeur ordinaire
Email
daniel.kaufmann@unine.ch
Identifiants
https://libra.unine.ch/handle/123456789/1129
_
0000-0003-3260-0660

Résultat de la recherche

Filtres

11
1
1
1
Réinitialiser les filtres

Paramètres

Voici les éléments 1 - 1 sur 1
  • Publication
    Accès libre
    Shocking interest rate floors
    (Neuchâtel Université de Neuchâtel IRENE, 2019)
    Kaufmann, Daniel 
    ;
    Canetg, Fabio
    We analyze central bank debt as a tool to control money market rates. We show in a theoretical model that the money market rate increases with the volume of, and yield on, central bank debt. Moreover, issuing central bank debt implements an interest rate floor, similar to paying interest on reserves. We then exploit the unique institutional setting of a Swiss debt security program to identify the dynamic causal effects of two orthogonal shocks through heteroscedasticity. The money market rate shock has modest effects on other financial market variables. The expectation shock causes a strong and persistent appreciation of the Swiss franc, a decline in stock prices, a decline in long-term interest rates, and a rise in corporate bond risk premia. The two shocks explain up to 80% of the forecast-error variance in these variables.