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Liquidity Squeeze, Abundant Funding and Macroeconomic Volatility

Kharroubi, Enisse - Bank for International Settlements (BIS) - 2015

This paper studies the choice between building liquidity buffers and raising funding ex post, to deal with liquidity … shocks. We uncover the possibility of an inefficient liquidity squeeze equilibrium. Agents typically choose to build smaller … liquidity buffers when they expect cheap funding. However, when agents hold smaller liquidity buffers, they can raise less …

Persistent link: https://www.econbiz.de/10011210514

How does fiscal policy affect monetary policy in emerging market countries?

Zoli, Edda - Bank for International Settlements (BIS) - 2005

This paper analyses how fiscal policy affects monetary policy in emerging economies. First, it conducts a test for fiscal dominance, and finds that the evidence points clearly to a regime of fiscal dominance in the case of Argentina and Brazil during the 1990s and early 2000s, while for the...

Persistent link: https://www.econbiz.de/10005650366

Inflation Dynamics in the Presence of Informal Labour Markets

Castillo, Paul; Montoro, Carlos - Bank for International Settlements (BIS) - 2012

In this paper we analyse the effects of informal labour markets on the dynamics of inflation and on the transmission of aggregate demand and supply shocks. In doing so, we incorporate the informal sector in a modified New Keynesian model with labour market frictions as in the...

Persistent link: https://www.econbiz.de/10010849785

The FRBNY Staff Underlying Inflation Gauge: UIG

Amstad, Marlene; Potter, Simon; Rich, Robert - Bank for International Settlements (BIS) - 2014

Monetary policymakers and long-term investors would benefit greatly from a measure of underlying inflation that uses all relevant information, is available in real-time, and forecasts inflation better than traditional underlying inflation measures such as core inflation measures. This paper...

Persistent link: https://www.econbiz.de/10010886770

Developing an underlying inflation gauge for China

Amstad, Marlene; Huan, Ye; Ma, Guonan - Bank for International Settlements (BIS) - 2014

The headline consumer price inflation (CPI) is often considered too noisy, narrowly defined, and/or slowly available for policymaking. On the other hand, traditional core inflation measures may reduce volatility but do not address other issues and may even exclude important information. This...

Persistent link: https://www.econbiz.de/10010929854

Global Asset Allocation Shifts

Kroencke, Tim A; Schmeling, Maik; Schrimpf, Andreas - Bank for International Settlements (BIS) - 2015

We show that global asset reallocations of U.S. fund investors obey a strong factor structure, with two factors accounting for more than 90% of the overall variation. The first factor captures switches between U.S. bonds and equities. The second reflects reallocations from U.S. to international...

Persistent link: https://www.econbiz.de/10011210511

The role of real wage rigidity and labor market frictions for unemployment and inflation dynamics

Christoffel, Kai; Linzert, Tobias - Deutsche Bundesbank - 2006

In this paper we incorporate a labor market with matching frictions and wage rigidities into the New Keynesian business cycle model. In particular, we analyze the effect of a monetary policy shock and investigate how labor market frictions affect the transmission process of monetary policy. The...

Persistent link: https://www.econbiz.de/10005083106

Opting out of the great inflation: German monetary policy after the breakdown of Bretton Woods

Beyer, Andreas; Gaspar, Vítor; Gerberding, Christina; … - Deutsche Bundesbank - 2009

During the turbulent 1970s and 1980s the Bundesbank established an outstanding reputation in the world of central banking. Germany achieved a high degree of domestic stability and provided safe haven for investors in times of turmoil in the international financial system. Eventually the...

Persistent link: https://www.econbiz.de/10005083151

Taylor rules for the euro area: the issue of real-time data

Gerdesmeier, Dieter; Roffia, Barbara - Deutsche Bundesbank - 2004

Recently, a number of studies have made an attempt to deal with the key issue of the incompleteness of information available to the central bank when taking its monetary policy decisions. This study adds to this literature by tackling the problem with regard to the euro area. The analysis is...

Persistent link: https://www.econbiz.de/10005083249

Monetary and fiscal policy rules in a model with capital accumulation and potentially non-superneutral money

von Thadden, Leopold - Deutsche Bundesbank - 2002

We consider the properties of two monetary policy rules (monetary targeting, Taylor-type interest rate rule) in an intertemporal equilibrium model with capital accumulation and two outside assets (government bonds, fiat money). The paper shows that the long-run behaviour of the economy depends...

Persistent link: https://www.econbiz.de/10005083289