Our speaker will be Jules van Binsbergen (University of Pennsylvania).

He will give a talk on "Monetary Policy Wedges and the Long-term Liabilities of Households and Firms" (joint with Marco Grotteria).

Abstract: We examine the transmission of monetary policy shocks to the long-duration liabilities of households and firms using high-frequency variation in 10-year swap rates around FOMC announcements. We find that four weeks after the announcement mortgage rates move one-for-one with 10-year swap rates, leaving little explanatory power for mortgage concentration, bank market power, or credit risk. Variation in credit risk does materially affect monetary policy transmission to corporate bonds. Expected future short rates and term premia play a significant role in driving both mortgage rates and corporate bond yields, which explains the Federal Reserve’s increased focus on these quantities.

The talk will take place on December 17, 2024 at 12:15 pm in roomTC.4.03.