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How to predict financial stress? : an assessment of Markov switching models

Duprey, Thibaut; Klaus, Benjamin - 2017

This paper predicts phases of the financial cycle by using a continuous financial stress measure in a Markov switching framework. The debt service ratio and property market variables signal a transition to a high financial stress regime, while economic sentiment indicators provide signals for a...

Persistent link: https://www.econbiz.de/10011697685

Relationships in the interbank market

Chiu, Jonathan; Monnet, Cyril - 2016

The market for central bank reserves is mainly over-the-counter and exhibits a core-periphery network structure. This paper develops a model of relationship lending in the unsecured interbank market. In equilibrium, a tiered lending network arises endogenously as banks choose to build...

Persistent link: https://www.econbiz.de/10011517056

Starting from a blank page? : semantic similarity in central bank communication and market volatility

Ehrmann, Michael; Talmi, Jonathan - 2016

Press releases announcing and explaining monetary policy decisions play a critical role in the communication strategy of central banks. Because of their market-moving potential, it is particularly important how they are drafted. Often, central banks start from the previous statement and update...

Persistent link: https://www.econbiz.de/10011517131

What Fed funds futures tell us about monetary policy uncertainty

Fontaine, Jean-Sébastien - 2016

The uncertainty around future changes to the Federal Reserve target rate varies over time. In our results, the main driver of uncertainty is a "path" factor signaling information about future policy actions, which is filtered from federal funds futures data. The uncertainty is highest when it...

Persistent link: https://www.econbiz.de/10011576374

Strategic complementarities and money market fund liquidity management

Witmer, Jonathan - 2017

Following the financial crisis, there has been increased regulatory focus on the management of liquidity in mutual funds and, specifically, whether funds hold enough liquidity to guard against the potential for investor runs. Using a novel, detailed regulatory dataset on the portfolio holdings...

Persistent link: https://www.econbiz.de/10011637400

Downward nominal wage rigidity meets the zero lower bound

Amano, Robert A.; Gnocchi, Stefano - 2017

the presence of wage rigidity may have overemphasized the need for increasing the inflation target to offset the costs …

Persistent link: https://www.econbiz.de/10011637421

Could a higher inflation target enhance macroeconomic stability?

Dorich, José; Labelle, Nicholas; Lepetyuk, Vadym; … - 2018

benefits of inflation targets above 2 per cent. We evaluate whether an increase in the inflation target to 3 or 4 per cent … in line with the central tendency of estimates, raising the inflation target yields some improvement in macroeconomic … rate, a higher inflation target substantially improves macroeconomic stability regardless of UMP. …

Persistent link: https://www.econbiz.de/10011814250

Networking the yield curve : implications for monetary policy

Dahlhaus, Tatjana; Schaumburg, Julia; Sekhposyan, Tatevik - 2021 - Last updated: January 21, 2021

We introduce a flexible, time-varying network model to trace the propagation of interest rate surprises across different maturities. First, we develop a novel econometric framework that allows for unknown, potentially asymmetric contemporaneous spillovers across panel units and establish the...

Persistent link: https://www.econbiz.de/10012418796

(Optimal) monetary policy with and without debt

Chafwehé, Boris; Oikonomou, Rigas; Priftis, Romanos; … - 2021 - Last updated: January 26, 2021

stabilizing inflation, whereas under no debt concerns, monetary policy is very effective in stabilizing the macroeconomy. …

Persistent link: https://www.econbiz.de/10012420260

A behavioral New Keynesian model of a small open economy under limited foresight

Na, Seunghoon; Xie, Yinxi - 2023 - Last updated: August 17, 2023

This paper investigates exchange rate dynamics in open economies by incorporating bounded rationality. We develop a small open-economy New Keynesian model with an incomplete asset market, wherein decision-makers possess limited foresight and can plan for only a finite distance into the future....

Persistent link: https://www.econbiz.de/10014456583