We construct a model to analyse the two types of tender procedures used by the European Central Bank in its open market operations. We assume that the ECB minimizes the expected value of a loss function that depends on the quadratic difference between the interbank rate and a target interest...

This paper analyzes the role of standing facilities in the determination of the demand for reserves in the overnight money market. In particular, we study how the asymmetric nature of the deposit and lending facilities could be used as a powerful policy tool for the simultaneous control of...

We propose a model that delivers endogenous variations in term spreads driven primarily by banks’ portfolio decision and their appetite to bear the risk of maturity transformation. We first show that fluctuations of the future profitability of banks’ portfolios affect their ability to cover...

During the last years, a number of countries have adopted formal inflation targeting (IT) monetary policy frameworks in a context of global inflation moderation. This paper studies inflation dynamics in eight Latin American countries, some of which have adopted formal targets. We analyze...

The objective of this paper is to examine the predictability of the monetary policy decisions of the Governing Council of the ECB and the transmission of the unexpected component of the monetary policy decisions to the yield curve. We find, using new methodologies, that markets do not fully...

We use an integrated framework based on the CCAPM to jointly estimate ex-ante real interest rates, inflation risk premia and agents' inflation expectation errors in four countries - France, Spain, UK and US - under three different preference specifications.

This paper has estimated, using a non-parametric method, the distribution function of expected three-month interbank rates, using data on call options on the MIBOR-90 future. The evolution over time of this distribution function has enabled the effects of movements in the Banco de España...

We estimate real interest rates, bounds on inflation expectations and inflation risk premia in a CCAPM framework under four different preference specifications.

The purpose of this paper is to estimate elasticities of scale in the demand for money by firms using firm level panel data. In common with the recent literature, we use disaggregate data to overcome the identification problems in aggregate time series approaches. Our main dataset is a sample of...

Recent treatments of the issue of a zero floor on nominal interest rates have been subject to some important methodological limitations. These include the assumption of perfect foresight or the introduction of the zero lower bound as an initial condition or a constraint on the variance of the...