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Bianchi, Javier - Federal Reserve Bank of Dallas - 2012

and the build-up of risk ex ante. During a systemic crisis, bailouts relax balance sheet constraints and mitigate the … more vulnerable to a financial crisis. The optimal policy requires, in general, a mix of ex-post intervention and ex … contingent on the occurrence of a systemic financial crisis. …

Persistent link: https://www.econbiz.de/10010599257

Size and composition of the central bank balance sheet: revisiting Japan's experience of the quantitative easing policy

Shiratsuka, Shigenori - Federal Reserve Bank of Dallas - 2010

the current financial and economic crisis. Central banks use various unconventional measures in the range of financial …

Persistent link: https://www.econbiz.de/10008610999

Global, local, and contagious investor sentiment

Baker, Malcolm; Wurgler, Jeffrey; Yuan, Yu - Federal Reserve Bank of Dallas - 2009

We construct indexes of investor sentiment for six major stock markets and decompose them into one global and six local indexes. Relative market sentiment is correlated with the relative prices of dual-listed companies, validating the indexes. Both global and local sentiment are contrarian...

Persistent link: https://www.econbiz.de/10008611000

Limited asset market participation and the consumption-real exchange rate anomaly

Kollmann, Robert - Federal Reserve Bank of Dallas - 2010

Under efficient consumption risk sharing, as assumed in standard international business cycle models, a country's aggregate consumption rises relative to foreign consumption, when the country's real exchange rate depreciates. Yet, empirically, relative consumption and the real exchange rate are...

Persistent link: https://www.econbiz.de/10008611004

A sentiment-based explanation of the forward premium puzzle

Yu, Jianfeng - Federal Reserve Bank of Dallas - 2011

This paper presents a sentiment-based explanation of the forward premium puzzle. Agents over- or underestimate the growth rate of the economy. All else equal, when perceived domestic growth is higher than perceived foreign growth, the domestic interest rate is higher than the foreign interest...

Persistent link: https://www.econbiz.de/10009321087

Asian financial linkage: macro-finance dissonance

Fujiwara, Ippei; Takahashi, Koji - Federal Reserve Bank of Dallas - 2011

How are Asian financial markets interlinked and how are they linked to markets in developed countries? What is the main driver of fluctuations in Asian financial markets as well as real economic activities? In order to answer these questions, we estimate the spillover index proposed by Diebold...

Persistent link: https://www.econbiz.de/10009321089

Are the intraday effects of central bank intervention on exchange rate spreads asymmetric and state dependent?

Fatum, Rasmus; Pedersen, Jesper; Sørensen, Peter Norman - Federal Reserve Bank of Dallas - 2010

This paper investigates the intraday effects of unannounced foreign exchange intervention on bid-ask exchange rate spreads using official intraday intervention data provided by the Danish central bank. Our starting point is a simple theoretical model of the bid-ask spread which we use to...

Persistent link: https://www.econbiz.de/10008643749

The adverse feedback loop and the effects of risk in both the real and financial sectors

Davis, Scott - Federal Reserve Bank of Dallas - 2010

Recessions that are accompanied by financial crises tend to be more severe and are followed by slower recoveries than ordinary recessions. This paper introduces a new Keynesian model with financial frictions on both the demand and supply side of the credit markets that can explain this empirical...

Persistent link: https://www.econbiz.de/10008739774

Did the commercial paper funding facility prevent a Great Depression-style money market meltdown?

Duca, John V. - Federal Reserve Bank of Dallas - 2011

relative use of commercial paper during the recent financial crisis. Results indicate that lower risk premia, higher …

Persistent link: https://www.econbiz.de/10009292903

Optimal monetary policy under financial sector risk

Davis, Scott; Huang, Kevin X.D. - Federal Reserve Bank of Dallas - 2011

We consider whether or not a central bank should respond directly to financial market conditions when setting monetary policy. Specifically, should a central bank put weight on interbank lending spreads in its Taylor rule policy function? ; Using a model with risk and balance sheet effects in...

Persistent link: https://www.econbiz.de/10009292919