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Bank of England statement
Central banks
Appointment of members of the Enforcement Decision Making Committee
Following an external recruitment process and consultation, the Bank of England (Bank) has appointed three new members to its Enforcement Decision Making Committee (EDMC) taking the total to nine.
IFDP Paper: Monetary Policy without Moving Interest Rates: The Fed Non-Yield Shock
Christoph E. Boehm and T. Niklas KronerExisting high-frequency monetary policy shocks explain surprisingly little variation in stock prices and exchange rates around FOMC announcements. Further, both of these asset classes display heightened volatility relative to non-announcement times. We use a heteroskedasticity-based procedure to estimate a “Fed non-yield shock”, which is orthogonal to yield changes and is identified from excess volatility in the S&P 500 and various dollar exchange rates.
FEDS Paper: Balance-Sheet Netting in U.S. Treasury Markets and Central Clearing
David Bowman, Yesol Huh, and Sebastian InfanteIn this paper, we provide a comprehensive investigation of the potential for expanded central clearing to reduce the costs of the supplementary leverage ratio (SLR) on Treasury market intermediation in both cash and repo markets.
CHAPS payments issue update
A global payments issue that was affecting the Bank's CHAPS service and delaying some high value and time-sensitive payments is now resolved.
FEDS Paper: One Month Longer, One Month Later? Prepayments in the Auto Loan Market
Bradley Katcher, Geng Li, Alvaro Mezza, and Steve RamosWe document a secular trend of increasing auto loan maturity from 30 months to over 70 months during the past 50 years, partly reflecting improved vehicle durability.
FEDS Paper: Targeted Relief: Geography and Timing of Emergency Rental Assistance
Theodore F. Figinski, Sydney Keenan, Richard Sweeney, and Erin TrolandIn response to the COVID-19 pandemic, Congress established the Emergency Rental Assistance (ERA) program, which provided nearly $45 billion to prevent evictions and increase housing stability. We provide new evidence on the implementation of ERA by examining the fine-grained geographic distribution of ERA funds and the timing of ERA expenditures by state and local governments.
FEDS Paper: Why Have Long-term Treasury Yields Fallen Since the 1980s? Expected Short Rates and Term Premiums in (Quasi-) Real Time
Michael T. KileyTreasury yields have fallen since the 1980s. Standard decompositions of Treasury yields into expected short-term interest rates and term premiums suggest term premiums account for much of the decline. In an alternative real-time decomposition, term premiums have fluctuated in a stable range, while long-run expected short-term interest rates have fallen. For example, a real-time decomposition of the 10-yr.
FEDS Paper: What Can Measured Beliefs Tell Us About Monetary Non-Neutrality?
Hassan Afrouzi, Joel P. Flynn, Choongryul YangThis paper studies how measured beliefs can be used to identify monetary non-neutrality. In a general equilibrium model with both nominal rigidities and endogenous information acquisition, we analytically characterize firms’ optimal dynamic information policies and how their beliefs affect monetary non-neutrality.
FEDS Paper: HANK Comes of Age
Bence Bardóczy and Mateo Velásquez-GiraldoWe study the aggregate and distributional effects of monetary policy in a heterogeneous agent New Keynesian model that explicitly represents the life cycle of households. The model matches the age patterns in the level and dispersion of labor income and financial wealth in the U.S. despite the absence of preference heterogeneity and portfolio adjustment costs.
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