The interest rate effects of government bond purchases away from the lower bound

Abstract

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The interaction between macroprudential and monetary policies: The cases of Norway and Sweden

“…Measures of monetary policy surprises are constructed using financial market‐based measures of expectations about the policy instrument and are model independent. In addition, for Sweden, we use a monetary policy surprise series as constructed in Rezende (2017). 5…”

“…(2016) for the United Kingdom, and Andrade and Ferroni (2018) for the Euro Zone. In addition, we use a monetary policy surprise series for Sweden as constructed in Rezende (2017). The sample period covers 2000–2014, but the starting date varies due to data availability…”

“… 5 5 Rezende (2017) isolates the monetary policy rate surprises from the repo path factor with a similar setting as in Gürkaynak et al. (2005).…”

The relation between municipal and government bond yields in an era of unconventional monetary policy

“…We initially look at how interest rates moved around the Riksbank's announcements. An event window of one day is used, in line with, for example, Gagnon et al (2011), Christensen and Rudebusch (2012), De Rezende (2017), and Sveriges Riksbank (2017a). We accordingly measure how much the 5‐year yields changed during the day of the announcement.…”

An Analysis of the Impact of Selected Factors on the Bond Market

“…Interest rates and inflation influence bond returns (Huang and Kong, 2002;Elton, 2004;Chao, 2016). Nominal bond yields have been constrained by the interest rate lower bound (Rezende, 2017). During the financial crisis of 2008 and the following years, many central banks reduced their target interest rates as a traditional tool of monetary policy.…”