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Prolonged Reserves Accumulation, Credit Booms, Asset Prices and Monetary Policy in Asia

Filardo, Andrew J. - 2015

This paper examines past evidence of prolonged periods of foreign exchange reserves accumulation in the Asia-Pacific region. One empirical challenge is to identify periods of reserve accumulation that are sufficiently large and persistent to be categorised as prolonged. Several proxies for...

Persistent link: https://www.econbiz.de/10013023473

The Real Effects of Household Debt in the Short and Long Run

Lombardi, Marco J. - 2017

Household debt levels relative to GDP have risen rapidly in many countries over the past decade. We investigate the macroeconomic impact of such increases by employing a novel estimation technique proposed by Chudik et al (2016), which tackles the problem of endogeneity present in traditional...

Persistent link: https://www.econbiz.de/10012964573

Accounting for Debt Service : The Painful Legacy of Credit Booms

Drehmann, Mathias - 2017

When taking on new debt, borrowers commit to a pre-specified path of future debt service. This implies a predictable lag between credit booms and peaks in debt service which, in a panel of household debt in 17 countries, is four years on average. The lag is driven by two key features of the...

Persistent link: https://www.econbiz.de/10012953867

Household Decisions, Credit Markets and the Macroeconomy : Implications for the Design of Central Bank Models

Muellbauer, John - 2013

It is widely acknowledged that the recent generation of DSGE models failed to incorporate many of the liquidity and financial accelerator mechanisms revealed in the global financial crisis that began in 2007. This paper complements the papers presented at the 2009 BIS annual conference focused...

Persistent link: https://www.econbiz.de/10013094782

An Intermediation-Based Model of Exchange Rates

Malamud, Semyon - 2018

We develop a general equilibrium model with intermediaries at the heart of international financial markets. In our model, intermediaries bargain with their customers and extract rents for providing access to foreign claims. The behavior of intermediaries, by tilting state prices, generates an...

Persistent link: https://www.econbiz.de/10012908612

Macro Factors in the Term Structure of Credit Spreads

Amato, Jeffery D. - 2013

.In addition to estimating risk-neutral default intensities, we provide estimates of physical default intensities using data on … Moody's KMV EDFs as a forward-looking proxy for default risk. We find that the real and financial activity indicators, along … EDFs across time. Furthermore, measures of the price of default event risk implied by estimates of physical and risk …

Persistent link: https://www.econbiz.de/10012712009

Risk in Financial Reporting : Status, Challenges and Suggested Directions

Borio, Claudio E. V. - 2013

Advances in risk measurement technology have reshaped financial markets and the functioning of the financial system. More recently, they have been reshaping the prudential framework. Looking forward, they have the potential to reshape financial reporting too. Recent initiatives to improve...

Persistent link: https://www.econbiz.de/10012711584

Oil shocks and optimal monetary policy

Montoro, Carlos - Bank for International Settlements / Monetary and … - 2010

In practice, central banks have been confronted with a trade-off between stabilising inflation and output when dealing with rising oil prices. This contrasts with the result in the standard New Keynesian model that ensuring complete price stability is the optimal thing to do, even when an oil...

Persistent link: https://www.econbiz.de/10005870912

Oil Shocks and Optimal Monetary Policy

Montoro, Carlos - 2014

Persistent link: https://www.econbiz.de/10013069923

Currency Wars or Efficient Spillovers?

Korinek, Anton - 2017

In an interconnected world, national economic policies regularly lead to large international spillover effects, which frequently trigger calls for international policy cooperation. However, the premise of successful cooperation is that there is a Pareto inefficiency, i.e. if there is scope to...

Persistent link: https://www.econbiz.de/10012960502

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