Format:
1 Online-Ressource (circa 99 Seiten)
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Series Statement:
Discussion paper series / Centre for Economic Policy Research DP18829
Content:
We examine the transmission of monetary policy shocks to the long-duration liabilities of households and firms using high-frequency variation in 10-year swap rates around FOMC announcements. We find that four weeks after the announcement mortgage rates move one-for-one with 10-year swap rates, leaving little explanatory power for mortgage concentration, bank market power, or credit risk. Variation in credit risk does materially affect monetary policy transmission to corporate bonds. Expected future short rates and term premia play a significant role in driving both mortgage rates and corporate bond yields, which explains the Federal Reserve’s increased focus on these quantities.
Language:
English
Keywords:
Graue Literatur
URL:
Deutschlandweit zugänglich
URL:
Deutschlandweit zugänglich
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