Logo du site
  • English
  • Français
  • Se connecter
Logo du site
  • English
  • Français
  • Se connecter
  1. Accueil
  2. Université de Neuchâtel
  3. Publications
  4. Shocking interest rate floors
 
  • Details
Options
Vignette d'image

Shocking interest rate floors

Auteur(s)
Kaufmann, Daniel 
Institut de recherches économiques 
Canetg, Fabio
Maison d'édition
Neuchâtel Université de Neuchâtel IRENE
Date de parution
2019
Mots-clés
  • Exit strategies
  • interest rate floors
  • central bank debt securities
  • interest on reserves
  • monetary policy shocks
  • money demand
  • expectations
  • identification through heteroscedasticity
  • local projections
  • Exit strategies

  • interest rate floors

  • central bank debt sec...

  • interest on reserves

  • monetary policy shock...

  • money demand

  • expectations

  • identification throug...

  • local projections

Résumé
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.
Identifiants
https://libra.unine.ch/handle/123456789/28018
Autre version
https://ideas.repec.org/p/irn/wpaper/19-02.html
Type de publication
working paper
Dossier(s) à télécharger
 main article: 2020-02-29_2768_4377.pdf (688.12 KB)
google-scholar
Présentation du portailGuide d'utilisationStratégie Open AccessDirective Open Access La recherche à l'UniNE Open Access ORCIDNouveautés

Service information scientifique & bibliothèques
Rue Emile-Argand 11
2000 Neuchâtel
contact.libra@unine.ch

Propulsé par DSpace, DSpace-CRIS & 4Science | v2022.02.00