Jens H E Christensen
Biographic Data
| ID | 5735624 |
|---|---|
| NAME | Jens H E Christensen |
| GIVEN NAMES | Jens H E |
| FAMILY NAME | Christensen |
| SIGNATURE | CHRISTENSEN J H E |
| AFFILIATIONS | Federal Reserve Bank of San Francisco |
| ORCID | 0000-0001-7494-2736 |
| VERIFIED | Yes |
| TOTAL WORKS | 4 |
| TOTAL CITATIONS | 9 |
| WORKS AS AUTHOR | 4 |
| WORKS AS EDITOR | 0 |
| FIRST PUBLICATION YEAR | 2012 |
| LATEST PUBLICATION YEAR | 2019 |
| H-INDEX | 2 |
A New Normal for Interest Rates? Evidence from Inflation-Indexed Debt
The downtrend in U.S. interest rates over the past two decades may partly reflect a decline in the longer-run equilibrium real rate of interest. We examine this issue using dynamic term structure models that account for time-varying term and liquidity risk premiums and are estimated directly from prices of individual inflation-indexed bonds. Our finance-based approach avoids two potential pitfalls of previous macroeconomic analyses: structural br…
Transmission of Quantitative Easing
This article presents empirical evidence of a reserve-induced transmission channel of quantitative easing to long-term interest rates. Reserve-induced effects are independent of the assets purchased and run through the impact of reserve expansions on bank balance sheets and the resulting bank portfolio rebalancing. For evidence, we analyse the reaction of Swiss long-term government bond yields to announcements by the Swiss National Bank to expand…
Do Central Bank Liquidity Facilities Affect Interbank Lending Rates
In response to the global financial crisis that started in August 2007, central banks provided extraordinary amounts of liquidity to the financial system. To investigate the effect of central bank liquidity facilities on term interbank lending rates near the start of the crisis, we estimate a six-factor arbitrage-free model of U.S. Treasury yields, financial corporate bond yields, and term interbank rates. This model can account for fluctuations …
The Response of Interest Rates to US and UK Quantitative Easing
We analyse declines in government bond yields following announcements by the Federal Reserve and the Bank of England of plans to buy longer term debt. Using dynamic term structure models, we decompose US and UK yields into expectations about future short‐term interest rates and term premiums. We find that declines in US yields mainly reflected lower expectations of future short‐term interest rates, while declines in UK yields appeared to reflect …
The Response of Interest Rates to US and UK Quantitative Easing
We analyse declines in government bond yields following announcements by the Federal Reserve and the Bank of England of plans to buy longer term debt. Using dynamic term structure models, we decompose US and UK yields into expectations about future short‐term interest rates and term premiums. We find that declines in US yields mainly reflected lower expectations of future short‐term interest rates, while declines in UK yields appeared to reflect …
Transmission of Quantitative Easing
This article presents empirical evidence of a reserve-induced transmission channel of quantitative easing to long-term interest rates. Reserve-induced effects are independent of the assets purchased and run through the impact of reserve expansions on bank balance sheets and the resulting bank portfolio rebalancing. For evidence, we analyse the reaction of Swiss long-term government bond yields to announcements by the Swiss National Bank to expand…
The Response of Interest Rates to US and UK Quantitative Easing
We analyse declines in government bond yields following announcements by the Federal Reserve and the Bank of England of plans to buy longer term debt. Using dynamic term structure models, we decompose US and UK yields into expectations about future short‐term interest rates and term premiums. We find that declines in US yields mainly reflected lower expectations of future short‐term interest rates, while declines in UK yields appeared to reflect …
Do Central Bank Liquidity Facilities Affect Interbank Lending Rates
In response to the global financial crisis that started in August 2007, central banks provided extraordinary amounts of liquidity to the financial system. To investigate the effect of central bank liquidity facilities on term interbank lending rates near the start of the crisis, we estimate a six-factor arbitrage-free model of U.S. Treasury yields, financial corporate bond yields, and term interbank rates. This model can account for fluctuations …
A New Normal for Interest Rates? Evidence from Inflation-Indexed Debt
The downtrend in U.S. interest rates over the past two decades may partly reflect a decline in the longer-run equilibrium real rate of interest. We examine this issue using dynamic term structure models that account for time-varying term and liquidity risk premiums and are estimated directly from prices of individual inflation-indexed bonds. Our finance-based approach avoids two potential pitfalls of previous macroeconomic analyses: structural br…
Transmission of Quantitative Easing
This article presents empirical evidence of a reserve-induced transmission channel of quantitative easing to long-term interest rates. Reserve-induced effects are independent of the assets purchased and run through the impact of reserve expansions on bank balance sheets and the resulting bank portfolio rebalancing. For evidence, we analyse the reaction of Swiss long-term government bond yields to announcements by the Swiss National Bank to expand…
Bond (4 works) · Economics (4 works) · Finance (4 works) · Interest rate (4 works) · Monetary economics (4 works) · Monetary policy (4 works) · Monetary Policy and Economic Impact (4 works) · Credit Risk and Financial Regulations (3 works) · Finance (3 works) · Banking stability, regulation, efficiency (2 works)