Turnover Liquidity and the Transmission of Monetary Policy

Lagos, Ricardo; Zhang, Shengxing

doi:10.21034/wp.734

Cited by 2 publications

(2 citation statements)

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“…The results of our unconditional analysis can also be related to the opportunity costs of holding money, represented by the central bank's deposit rate (e.g., Nagel, 2016; Lagos and Zhang, 2016):…”

Section: Test Resultsmentioning

confidence: 99%

Explaining the Failure of the Expectations Hypothesis with Short-Term Rates

Ranaldo

Rupprecht

2017

SSRN Journal

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This paper provides the first systematic study of the temporal and cross-sectional variation in the risk premium of the expectations hypothesis (EH) at very short end of the term structure. Using a unique and comprehensive dataset of European repurchase (repo) rates, we explain the sources and time variation affecting the risk premium. Our results show that the EH cannot be rejected when loans are secured by safe collateral and that unconventional monetary policy can substantially reduce risk premiums.By contrast, the EH is violated when interest rates are affected by funding risk and collateral risk. AbstractThis supplemental appendix extends the main paper by presenting additional tables.

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Section: Test Resultsmentioning

confidence: 99%

Explaining the Failure of the Expectations Hypothesis with Short-Term Rates

Ranaldo

Rupprecht

2017

SSRN Journal

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“…Finance habits and heterogeneous agents would likely lead to interesting interactions and amplify each other, though modeling these interactions is beyond the scope of this paper. We similarly view our model as complementary to the liquidity-based model of stock responses to Federal Funds rate innovations of Lagos and Zhang (2020).…”

Section: Introductionmentioning

confidence: 99%

Why Does the Fed Move Markets so Much? A Model of Monetary Policy and Time-Varying Risk Aversion

Pflueger

Rinaldi

2020

SSRN Journal

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meeting 2020 for valuable comments. The paper was previously circulated under the title "A Finance-Integrated New Keynesian Model." The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.NBER working papers are circulated for discussion and comment purposes. They have not been peer-reviewed or been subject to the review by the NBER Board of Directors that accompanies official NBER publications.

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Turnover Liquidity and the Transmission of Monetary Policy

Cited by 2 publications

References 61 publications

Explaining the Failure of the Expectations Hypothesis with Short-Term Rates

Explaining the Failure of the Expectations Hypothesis with Short-Term Rates

Why Does the Fed Move Markets so Much? A Model of Monetary Policy and Time-Varying Risk Aversion

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