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Portfolio Preference Uncertainty and Gains From Policy Coordination

Masson, Paul R. - 1991

International macroeconomic policy coordination is generally considered to be made less likely—and less profitable—by the presence of uncertainty about how the economy works. The present paper provides a counter-example, in which increased uncertainty about portfolio preference of investors...

Persistent link: https://www.econbiz.de/10014397897

Global Liquidity : Availability of Funds for Safe and Risky Assets

Matsumoto, Akito - 2011

and then asses how they affect an emerging economy whose interest rate is affected by a world risk-free rate and a risk …

Persistent link: https://www.econbiz.de/10014399252

Idiosyncratic Risk : An Empirical Analysis, with Implications for the Risk of Relative-Value Trading Strategies

Richards, Anthony J. - 1999

suggest that idiosyncratic risk is: higher at times of large return outcomes for the asset class as a whole; positively … autocorrelated; and correlated across different asset classes. The implications for risk management are discussed …

Persistent link: https://www.econbiz.de/10014400872

Bank Competition, Risk and Asset Allocations

Boyd, John H. - 2009

We study a banking model in which banks invest in a riskless asset and compete in both deposit and risky loan markets. The model predicts that as competition increases, both loans and assets increase; however, the effect on the loans-to-assets ratio is ambiguous. Similarly, as competition...

Persistent link: https://www.econbiz.de/10014402479

Interest Rate Arbitrage in Currency Baskets : Forecasting Weights and Measuring Risk

Christoffersen, Peter F. - 1999

unknown future basket weights optimally forecasted from past exchange rate data? And, second, how is risk—in terms of the …

Persistent link: https://www.econbiz.de/10014400299

Robust optimal macroprudential policy

Montamat, Giselle; Roch, Francisco - 2021

We consider how fear of model misspecification on the part of the planner and/or the households affects welfare gains from optimal macroprudential taxes in an economy with occasionally binding collateral constraints as in Bianchi (2011). On the one hand, there exist welfare gains from...

Persistent link: https://www.econbiz.de/10012518751

Risks and vulnerabilities in the U.S. bond mutual fund industry

Bouveret, Antoine; Yu, Jie - 2021

This paper assesses liquidity risk for the United States (U.S.) bond mutual funds industry and performs a range of …

Persistent link: https://www.econbiz.de/10012605013

Risk Diversification in the Credit Portfolio : An Overview of Country Practices

Morris, JoAnne - 2001

This paper reviews the rules in place in selected countries to limit risk concentrations in the credit portfolio. The … in imposing standards for risk diversification in the credit portfolio. The issues reviewed for each country are the …

Persistent link: https://www.econbiz.de/10014401441

Sovereign Risk and Asset and Liability Management : Conceptual Issues

Das, Udaibir S. - 2012

, and its legacy on sovereign balance sheets, reaffirms the need for strengthening financial risk management. This paper … perspective, the SALM approach could help detect direct and derived sovereign risk exposures. It allows analyzing the financial … risk. The paper also outlines institutional requirements in implementing an SALM framework and seeks to lay the ground for …

Persistent link: https://www.econbiz.de/10014395627

Currency Diversification of Reserves and Sovereign Debt for Small Open Economies

Rajasingham, Indi - 1991

An approach for minimizing risk through diversification of foreign exchange reserves and sovereign borrowings is …--differs from past work in that the elements of exchange and price risk associated with trade and payments are considered in the …

Persistent link: https://www.econbiz.de/10014395848