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|a We provide evidence that liquidity premia on assets that are more relevant for private agents' intertemporal choices than near-money assets increase in response to expansionary forward guidance announcements. We introduce a structural specification of liquidity premia based on assets' differential pledgeability to a basic New Keynesian model to replicate this finding. This model predicts that output and inflation effects of forward guidance do not increase with the length of the guidance period and are substantially smaller than if liquidity premia were neglected. This indicates that there are no puzzling forward guidance effects when endogenous liquidity premia are taken into account.
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Bredemeier, Christian, Kaufmann, Christoph, Schabert, Andreas |
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Bredemeier, Christian, Kaufmann, Christoph, Schabert, Andreas |
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We provide evidence that liquidity premia on assets that are more relevant for private agents' intertemporal choices than near-money assets increase in response to expansionary forward guidance announcements. We introduce a structural specification of liquidity premia based on assets' differential pledgeability to a basic New Keynesian model to replicate this finding. This model predicts that output and inflation effects of forward guidance do not increase with the length of the guidance period and are substantially smaller than if liquidity premia were neglected. This indicates that there are no puzzling forward guidance effects when endogenous liquidity premia are taken into account. |
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Frankfurt am Main, Germany, European Central Bank, [2018] |
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Frankfurt am Main, Germany: European Central Bank, [2018] |
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DE-D117, DE-105, LFER, DE-Ch1, DE-15, DE-14, DE-L242, DE-Zwi2 |
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Bredemeier, Christian 1981- VerfasserIn (DE-588)137177151 (DE-627)58999722X (DE-576)302386882 aut, Interest rate spreads and forward guidance Christian Bredemeier, Christoph Kaufmann, Andreas Schabert, Frankfurt am Main, Germany European Central Bank [2018], 1 Online-Ressource (circa 62 Seiten) Illustrationen, Text txt rdacontent, Computermedien c rdamedia, Online-Ressource cr rdacarrier, Working paper series / European Central Bank no 2186 (August 2018), We provide evidence that liquidity premia on assets that are more relevant for private agents' intertemporal choices than near-money assets increase in response to expansionary forward guidance announcements. We introduce a structural specification of liquidity premia based on assets' differential pledgeability to a basic New Keynesian model to replicate this finding. This model predicts that output and inflation effects of forward guidance do not increase with the length of the guidance period and are substantially smaller than if liquidity premia were neglected. This indicates that there are no puzzling forward guidance effects when endogenous liquidity premia are taken into account., Kaufmann, Christoph VerfasserIn (DE-588)1120729521 (DE-627)873672801 (DE-576)480496242 aut, Schabert, Andreas 1969- VerfasserIn (DE-588)122127161 (DE-627)081752954 (DE-576)181293021 aut, Europäische Zentralbank Working paper series no 2186 (October 2018) 218600 (DE-627)372370322 (DE-576)108090442 (DE-600)2123559-4 1725-2806, http://dx.doi.org/10.2866/857736 Resolving-System kostenfrei Volltext, https://www.ecb.europa.eu/pub/pdf/scpwps/ecb.wp2186.en.pdf Verlag kostenfrei Volltext, http://hdl.handle.net/10419/208220 Resolving-System kostenfrei, https://www.ecb.europa.eu/pub/pdf/scpwps/ecb.wp2186.en.pdf LFER, LFER 2019-05-29T00:00:00Z |
| spellingShingle |
Bredemeier, Christian, Kaufmann, Christoph, Schabert, Andreas, Interest rate spreads and forward guidance, Europäische Zentralbank, Working paper series, no 2186 (October 2018), We provide evidence that liquidity premia on assets that are more relevant for private agents' intertemporal choices than near-money assets increase in response to expansionary forward guidance announcements. We introduce a structural specification of liquidity premia based on assets' differential pledgeability to a basic New Keynesian model to replicate this finding. This model predicts that output and inflation effects of forward guidance do not increase with the length of the guidance period and are substantially smaller than if liquidity premia were neglected. This indicates that there are no puzzling forward guidance effects when endogenous liquidity premia are taken into account. |
| title |
Interest rate spreads and forward guidance |
| title_auth |
Interest rate spreads and forward guidance |
| title_full |
Interest rate spreads and forward guidance Christian Bredemeier, Christoph Kaufmann, Andreas Schabert |
| title_fullStr |
Interest rate spreads and forward guidance Christian Bredemeier, Christoph Kaufmann, Andreas Schabert |
| title_full_unstemmed |
Interest rate spreads and forward guidance Christian Bredemeier, Christoph Kaufmann, Andreas Schabert |
| title_in_hierarchy |
no 2186 (October 2018). Interest rate spreads and forward guidance ([2018]) |
| title_short |
Interest rate spreads and forward guidance |
| title_sort |
interest rate spreads and forward guidance |
| title_unstemmed |
Interest rate spreads and forward guidance |
| url |
http://dx.doi.org/10.2866/857736, https://www.ecb.europa.eu/pub/pdf/scpwps/ecb.wp2186.en.pdf, http://hdl.handle.net/10419/208220 |
