Monetary Policy Shocks and Risk Premia in the Interbank Market
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Monetary Policy Shocks and Risk Premia in the Interbank Market. / Wingender, Asger Moll.
I: The B.E. Journals in Macroeconomics, Bind 11, Nr. 1, Article 4, 2011.Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt
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TY - JOUR
T1 - Monetary Policy Shocks and Risk Premia in the Interbank Market
AU - Wingender, Asger Moll
PY - 2011
Y1 - 2011
N2 - Unexpected changes in the federal funds rate are shown to have significant effects on risk premia in the money market. The spread between interbank lending rates and U.S. Treasury bills tends to narrow when the FOMC decides to cut interest rates by more than the expectation implied by federal funds futures. However, rate cuts taking place at unscheduled FOMC meetings can increase risk premia during periods of financial distress, consistent with the view that central bank actions under such circumstances are perceived as signals that policy makers have private information of further unfavorable developments in financial markets.
AB - Unexpected changes in the federal funds rate are shown to have significant effects on risk premia in the money market. The spread between interbank lending rates and U.S. Treasury bills tends to narrow when the FOMC decides to cut interest rates by more than the expectation implied by federal funds futures. However, rate cuts taking place at unscheduled FOMC meetings can increase risk premia during periods of financial distress, consistent with the view that central bank actions under such circumstances are perceived as signals that policy makers have private information of further unfavorable developments in financial markets.
U2 - 10.2202/1935-1690.2147
DO - 10.2202/1935-1690.2147
M3 - Journal article
VL - 11
JO - Topics in Macroeconomics
JF - Topics in Macroeconomics
SN - 1534-5998
IS - 1, Article 4
ER -
ID: 33928357