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Credit frictions and optimal monetary policy
Cúrdia, Vasco; Woodford, Michael - Bank für Internationalen Zahlungsausgleich <Basel> - 2009
We extend the basic (representative-household) New Keynesian [NK] model ofthe monetary transmission mechanism to allow for a spread between the interestrate available to savers and borrowers, that can vary for either exogenous orendogenous reasons. We nd that the mere existence of a positive...
Persistent link: https://www.econbiz.de/10009138501
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Price discovery from cross-currency and FX swaps: a structural analysis
Baba, Naohiko; Amatatsu, Yasuaki - Bank für Internationalen Zahlungsausgleich <Basel> - 2008
This paper investigates the relative role of price discovery between two long-term swap contracts that exchange U ….S. dollars for Japanese yen - the cross-currency basis swap and the foreign exchange (FX) swap - using structural state space … models. Our main findings are that: (i) the currency swap market plays a much more dominant role in price discovery than... …
Persistent link: https://www.econbiz.de/10009248829