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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

Does Inflation Targeting Improve Fiscal Discipline? An Empirical Investigation

Tapsoba, Rene - HAL - 2011

Based on panel data of 58 countries, of which 22 Inflation Targeters and 36 non Inflation Targeters, over the period 1980-2003, this paper highlights the effect of Inflation Targeting – IT- on Fiscal Discipline –FD-. We make four contributions to the literature. Firstly, by applying the 2SLS...

Persistent link: https://www.econbiz.de/10008794278

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

Monetary Policy and the Dutch Disease in a Small Open Oil Exporting Economy

Benkhodja, Mohamed Tahar - HAL - 2011

In this paper, we compare, first, the impact of a windfall and a boom sectors on the economy of an oil exporting country and their welfare implications ; in a second step, we analyze how monetary policy should be conducted to insulate the economy from the main impact of these shocks, namely the...

Persistent link: https://www.econbiz.de/10009401094

Stability and Identification with Optimal Macroprudential Policy Rules

Chatelain, Jean-Bernard; Ralf, Kirsten - HAL - 2014

This paper investigates the identification, the determinacy and the stability of ad hoc, "quasi-optimal" and optimal policy rules augmented with financial stability indicators (such as asset prices deviations from their fundamental values) and minimizing the volatility of the policy interest...

Persistent link: https://www.econbiz.de/10011026203

Inflation expectations, uncertainty and monetary policy

Sims, Christopher A - Bank for International Settlements (BIS) - 2009

Monetary economics as practiced by central bank modelers has made a great deal of progress in recent years. In a 2002 paper I interviewed research economists at four central banks and surveyed the models in use at those banks. I criticized the models for having lost all touch with statistical...

Persistent link: https://www.econbiz.de/10008552000