PAPERS
PUBLISHED PAPERS
Some of the research output provided by Amuletum Investment Group also appears in research papers published in peer-reviewed journals in economics, finance and investments. Find below a list of published research papers.
PUBLISHED PAPERS
"A shadow rate without a lower bound constraint"
Author(s): Rafael B. De Rezende & Annukka Ristiniemi (ECB, external)
Journal of Banking and Finance, January 2023
PAPER OPEN ACCESS. CLICK HERE TO ACCESS / DOWNLOAD
We propose a shadow rate without a lower bound constraint that measures the overall stance of monetary policy in any policy environment, prior and during the lower-bound period, as well as in the current “New Normal” environment, where unconventional monetary policies have become more standard. Using daily yield curve data shadow rates are estimated for the US, Sweden, the euro area and the UK, and fall (rise) as monetary policy becomes more expansionary (contractionary), following announcements of policy rate cuts (hikes), forward guidance, and balance sheet expansions (contractions). In one first application for the shadow rate, we decompose shadow rate responses to monetary policy announcements into conventional and unconventional monetary policy surprises, and find that exchange rates respond more to conventional than to unconventional monetary policy. Lastly, counterfactual experiments in two DSGE models suggest that inflation in the US and in Sweden would have been lower than otherwise had unconventional monetary policy not been used to stimulate both economies.
"An event-driven bank stress indicator: the case of US regional banks"
Author(s): Rafael B. De Rezende
Finance Research Letters, September 2023
PAPER OPEN ACCESS. CLICK HERE TO ACCESS / DOWNLOAD
Financial markets have been shaken by the surge of a banking crisis in early 2023. The failure of Silicon Valley Bank has raised concerns about the health of various financial institutions in a period of rapid monetary contraction and high interest rates. I discuss the stress level of sixty US regional banks, by proposing a new “bank stress indicator”, based on an event study framework. The indicator suggests at least six banks with high levels of stress. Although most of the distressed banks have been highly profitable and have built solid balance sheet positions over the past years, they have faced large shares of uninsured deposits, which have put them at risk. The new Bank Term Funding Program launched by the Fed is designed to help in this matter, lowering the risk of new failures.
"Effects of cost of mortgage on house prices: the role of the maturity structure of mortgage contracts"
Author(s): Rafael B. De Rezende
Journal of Real Estate Portfolio Management, forthcoming
WP/ACCEPTED PAPER VERSION. CLICK HERE TO DOWNLOAD
This paper examines the implications of the maturity structure of mortgage contracts for the effects of the cost of mortgage on house prices. Theoretical results indicate that economies with larger shares of variable interest rate mortgage contracts present faster responses of house prices to changes in the cost of mortgage, as well as higher interest rate sensitivities of cost of mortgage and house prices. Lower mortgage rate levels, higher loan-to-value ratio, and higher effects of cost of mortgage on house prices also increase these sensitivities. Empirical results validate the theoretical ones. Local projections estimated for the US, UK, Sweden, Canada, Finland and France show negative and significant responses of house prices to shocks on the cost of mortgage, with responses being faster in economies with larger shares of variable interest rate mortgage contracts. Estimates of the interest rate sensitivity of the cost of a mortgage are also in line with theory and increase as the mortgage rate declines. This sensitivity is attenuated when the central bank shifts its focus of monetary policy towards longer-term rates or when the effective lower bound is perceived to be lower.