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Europe > Switzerland

You are looking at 1 - 2 of 2 items for :

  • Type: Journal Issue x
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Cover IMF Working Papers
Covered Interest Parity Deviations: Macrofinancial Determinants
Mr. Eugenio M Cerutti
,
Mr. Maurice Obstfeld
, and
Haonan Zhou
For about three decades until the Global Financial Crisis (GFC), Covered Interest Parity (CIP) appeared to hold quite closely—even as a broad macroeconomic relationship applying to daily or weekly data. Not only have CIP deviations significantly increased since the GFC, but potential macrofinancial drivers of the variation in CIP deviations have also become significant. The variation in CIP deviations seems to be associated with multiple factors, not only regulatory changes. Most of these do not display a uniform importance across currency pairs and time, and some are associated with possible temporary considerations (such as asynchronous monetary policy cycles).
Keywords:
WP; U.S. dollar; cross-currency basis; cross-currency dollar basis; basis calculation; Covered Interest Parity; Interest Rate Differentials; Forward FX Market; dollar strength; investment option; time-series regression; dollar appreciation; Interest rate parity; Currencies; Global financial crisis of 2008-2009; Interbank rates; Money markets; Global
Cover IMF Working Papers
Negative Interest Rate Policy (NIRP): Implications for Monetary Transmission and Bank Profitability in the Euro Area
Andreas Jobst
and
Ms. Huidan Huidan Lin
More than two years ago the European Central Bank (ECB) adopted a negative interest rate policy (NIRP) to achieve its price stability objective. Negative interest rates have so far supported easier financial conditions and contributed to a modest expansion in credit, demonstrating that the zero lower bound is less binding than previously thought. However, interest rate cuts also weigh on bank profitability. Substantial rate cuts may at some point outweigh the benefits from higher asset values and stronger aggregate demand. Further monetary accommodation may need to rely more on credit easing and an expansion of the ECB’s balance sheet rather than substantial additional reductions in the policy rate.
Keywords:
WP; rate; deposit; Policy rate; bank; deposit rate; negative rates; NIRP; unconventional monetary policy; monetary transmission; money market rate; negative rate; bank lending survey; sight deposit rate; rate cut; solvency constraint; rate setting; tiered deposit rate; marginal policy rate; central bank deposit rate; interest margin; Deposit rates; Central bank policy rate; Bank soundness; Negative interest rates; Money markets; rateminus deposit rate