Monetary policy, interest rates, and liquidity premia

dc.contributor.author	Reynard, Samuel
dc.contributor.author	Schabert, Andreas
dc.date.accessioned	2012-08-06T12:51:24Z
dc.date.available	2012-08-06T12:51:24Z
dc.date.issued	2012-08-06
dc.description.abstract	We augment a standard macroeconomic model by accounting for the fact that central banks supply money only in exchange for eligible assets. Monetary policy implementation then matters for the pass-through of policy rate changes and rationalizes liquidity premia on treasuries. The model explains the observed negative relation between corporate bond yield spreads and the amount of available treasuries. Liquidity premia on eligible assets further provide a structural explanation for the systematic wedge between the policy rate and the consumption Euler rate that standard models equate. Nonetheless, monetary policy effects on real activity and inflation are consistent with broad empirical evidence.	en
dc.identifier.uri	http://hdl.handle.net/2003/29573
dc.identifier.uri	http://dx.doi.org/10.17877/DE290R-4875
dc.language.iso	en	de
dc.relation.ispartofseries	Discussion Paper / SFB 823;33/2012	en
dc.subject	consumption Euler rate	en
dc.subject	monetary policy transmission	en
dc.subject	open market operations	en
dc.subject	treasury debt liquidity premium	en
dc.subject.ddc	310
dc.subject.ddc	330
dc.subject.ddc	620
dc.title	Monetary policy, interest rates, and liquidity premia	en
dc.type	Text	de
dc.type.publicationtype	workingPaper	de
dcterms.accessRights	open access

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