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An Extended Quarterly Projection Model : Credit Cycle, Macrofinancial Linkages and Macroprudential Measures: The Case of the Philippines
Karam, Philippe D.; Pranovich, Mikhail; Vlček, Jan - 2022
We extend a modern practical Quarterly Projection Model to study credit cycle dynamics and risks, focusing on macrofinancial linkages and the role of macroprudential policy in achieving economic and financial stability. We tailor the model to the Philippines and evaluate the model’s properties...
Persistent link: https://www.econbiz.de/10013306733
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Monetary Policy Implementation and Volatility Transmission Along the Yield Curve : The Case of Kenya
Alper, C. Emre - 2016
This paper analyzes the degree to which volatility in interbank interest rates leads to volatility in financial …, Sweden, Thailand, and Uganda). Kenya shows strong volatility transmission and high persistence similar to other countries in …
Persistent link: https://www.econbiz.de/10012977834
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Globalization, Market Power, and the Natural Interest Rate
Natal, Jean-Marc - 2019
We argue that strong globalization forces have been an important determinant of globalreal interest rates over the last five decades, as they have been key drivers of changes inthe natural real interest rate-i.e. the interest rate consistent with output at its potentialand constant inflation. An...
Persistent link: https://www.econbiz.de/10012868461
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Monetary and Fiscal Policies and the Dynamics of the Yield Curve in Morocco
Ahokpossi, Calixte - 2016
We estimate the latent factors that underlie the dynamics of the sovereign bond yield curve inMorocco during 2004-14 based on the Dynamic Nelson-Siegel model. On this basis, weexplore the interaction between macroeconomic variables and the yield curve, which is ofdirect relevance to...
Persistent link: https://www.econbiz.de/10012977868
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Unconventional Monetary Policy and Long-Term Interest Rates
Wu, Tao - 2014
This paper examines the transmission mechanism through which unconventional monetary policy affects long-term interest rates. I construct a real-time measure summarizing market projections of the magnitude and duration of the Federal Reserve's Large Scale Asset Purchases (LSAP) program, and...
Persistent link: https://www.econbiz.de/10013043718
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Impacts of Interest Rate Cap on Financial Inclusion in Cambodia
Heng, Dyna; Chea, Serey; Heng, Bomakara - 2022
Interest rate caps, despite their intended objective of broadening financial inclusion, can have undesirable effects on financial inclusion under certain conditions. This paper examines the effect of microfinance-loan interest rate caps on financial inclusion in Cambodia. Based on a...
Persistent link: https://www.econbiz.de/10013305669
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U.S. Monetary Policy Normalization and Global Interest Rates
Caceres, Carlos - 2016
As the Federal Reserve continues to normalize its monetary policy, this paper studies the impact of U.S. interest rates on rates in other countries. We find a modest but nontrivial pass-through from U.S. to domestic short-term interest rates on average. We show that, to a large extent, this...
Persistent link: https://www.econbiz.de/10012977769
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Optimism, Pessimism, and Short-Term Fluctuations
Di Bella, C. Gabriel - 2018
Economic theory offers several explanations as to why shifting expectations about futureeconomic activity affect current demand. Abstracting from whether changes in expectationsoriginate from swings in beliefs or fundamentals, we test empirically whether more optimisticor pessimistic potential...
Persistent link: https://www.econbiz.de/10012929916
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Credit Constraints, Productivity Shocks and Consumption Volatility in Emerging Economies
Bhattacharya, Rudrani - 2013
How does access to credit impact consumption volatility? Theory and evidence from advanced economies suggests that … volatile than income, indicates that financial reform further increases the volatility of consumption relative to output. We … consumption volatility. Calibration of the model for pre and post financial reform in India provides support for the model's key …
Persistent link: https://www.econbiz.de/10013080461
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Idiosyncratic Shocks and Aggregate Fluctuations in an Emerging Market
Sandri, Damiano; Grigoli, Francesco; Luttini, Emiliano - 2022
than 40 percent of the volatility of aggregate sales. Although quite large, this contribution is smaller than documented in …
Persistent link: https://www.econbiz.de/10013306713