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Central Bank Swap Lines
Bahaj, Saleem - 2018
Swap lines between advanced-economy central banks are a new important part of the global financial architecture. This … shows that the swap line mimics discount-window credit from the source central bank to the recipient-country banks using the … shows that the swap-line rate puts a ceiling on deviations from covered interest parity, and finds evidence for it in the …
Persistent link: https://www.econbiz.de/10012912674
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China's Bilateral Currency Swap Lines
Lin, Zhitao - 2016
We study the determinants of China's bilateral local currency swap lines that were established since the recent global … a swap line agreement. Once a swap line agreement decision is made, the size of the swap line is then mainly affected by …
Persistent link: https://www.econbiz.de/10012997246
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Credit Derivates and the Default Risk of Large Complex Financial Institutions
Calice, Giovanni - 2013
utilizes a multi-equation framework to model forward-looking measures of market and credit risk using the credit default swap …
Persistent link: https://www.econbiz.de/10013092380
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Carbon Leakage, the Green Paradox and Perfect Future Markets
Eichner, Thomas - 2014
Policies of lowering carbon demand may aggravate rather than alleviate climate change (green paradox). In a two-period three-country general equilibrium model with finite endowment of fossil fuel one country enforces an emissions cap in the first or second period. When that cap is tightened the...
Persistent link: https://www.econbiz.de/10012750992
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Channel Systems : Why is There a Positive Spread?
Berentsen, Aleksander - 2010
An increasing number of central banks implement monetary policy via two standing facilities: a lending facility and a deposit facility. In this paper we show that it is socially optimal to implement a non-zero interest rate spread. We prove this result in a dynamic general equilibrium model...
Persistent link: https://www.econbiz.de/10013135781
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Expected Net Present Value, Expected Net Future Value, and the Ramsey Rule
Gollier, Christian - 2013
Weitzman (1998) showed that when future interest rates are uncertain, using the expected net present value implies a term structure of discount rates that is decreasing to the smallest possible interest rate. On the contrary, using the expected net future value criterion implies an increasing...
Persistent link: https://www.econbiz.de/10013095951
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Asset Pricing with Uncertain Betas : A Long-Term Perspective
Gollier, Christian - 2013
How should one evaluate investment projects whose CCAPM betas are uncertain? This question is particularly crucial for projects yielding long-lasting impacts on the economy, as is the case for example for many green investments. We define the notion of a certainty equivalent beta. We show that...
Persistent link: https://www.econbiz.de/10013087728
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Liquidity, Term Spreads and Monetary Policy
Aksoy, Yunus - 2013
We propose a model that delivers endogenous variations in term spreads driven by banks' portfolio decision while facing the risk of maturity transformation. First, we show that fluctuations of the future profitability of banks' portfolios affect their ability to cover for any liquidity needs and...
Persistent link: https://www.econbiz.de/10013089685
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Interest Rates under Falling Stars
Bauer, Michael - 2020
Macro-finance theory implies that trend ination and the equilibrium real interest rate are fundamental determinants of …
Persistent link: https://www.econbiz.de/10012853894
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Inflation, Endogenous Market Segmentation and the Term Structure of Interest Rates
de Vries, Casper G. - 2015
The term structure of interest rates does not adhere to the expectations hypothesis, possibly due to a risk premium. We consider the implications of a risk premium that arises from endogenous market segmentation driven by variable inflation rates. In the absence of autocorrelation in inflation,...
Persistent link: https://www.econbiz.de/10013019404