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Do central bank liquidity facilities affect interbank lending rates?

Christensen, Jens H. E.; Lopez, Jose A.; Rudebusch, Glenn D. - Federal Reserve Bank of San Francisco - 2009

In response to the global financial crisis that started in August 2007, central banks provided extraordinary amounts of … liquidity to the financial system. To investigate the effect of central bank liquidity facilities on term interbank lending … shift in model estimates after the announcement of the liquidity facilities suggests that these central bank actions did …

Persistent link: https://www.econbiz.de/10005004103

Asset class diversification and delegation of responsibilities between central banks and sovereign wealth funds

Aizenman, Joshua; Glick, Reuven - Federal Reserve Bank of San Francisco - 2010

This paper presents a model comparing the optimal degree of asset class diversification abroad by a central bank and a … sovereign wealth fund. We show that if the central bank manages its foreign asset holdings in order to meet balance of payments …

Persistent link: https://www.econbiz.de/10008676444

Steps toward identifying central bank policy preferences

Dennis, Richard - Federal Reserve Bank of San Francisco - 2000

This paper takes the parameters in central bank loss functions as fundamental preferences to be estimated from the data … with senior central bank appointments. Optimizing central banks apply policy rules whose feedback coefficients are …

Persistent link: https://www.econbiz.de/10010702227

Is implied correlation worth calculating? Evidence from foreign exchange options and historical data

Walter, Christian; Lopez, Jose A. - Federal Reserve Bank of San Francisco - 2000

Implied volatilities, as derived from option prices, have been shown to be useful in forecasting the subsequently observed volatility of the underlying financial variables. In this paper, we address the question of whether implied correlations, derived from options on the exchange rates in a...

Persistent link: https://www.econbiz.de/10010702156

Understanding changes in exchange rate pass-through

Takhtamanova, Yelena - Federal Reserve Bank of San Francisco - 2008

Recent research suggests that there has been a decline in the extent to which firms “pass through” changes in exchange rates to prices. Beyond providing further evidence in support of this claim, this paper proposes an explanation for the phenomenon. It then presents empirical evidence of a...

Persistent link: https://www.econbiz.de/10005498379

Exchange rate overshooting and the costs of floating

Cavallo, Michele; Kisselev, Kate; Perri, Fabrizio; … - Federal Reserve Bank of San Francisco - 2005

Currency crises are usually associated with large nominal and real depreciations. In some countries depreciations are perceived to be very costly (“fear of floating”). In this paper we try to understand the reasons behind this fear. We first look at episodes of currency crises in the 1990s...

Persistent link: https://www.econbiz.de/10005498382

Could capital gains smooth a current account rebalancing?

Cavallo, Michele; Tille, Cédric - Federal Reserve Bank of San Francisco - 2006

A narrowing of the U.S. current account deficit through exchange rate movements is likely to entail a substantial depreciation of the dollar, as stressed in the widely cited contribution by Obstfeld and Rogoff (2005). We assess how the adjustment is affected by the high degree of international...

Persistent link: https://www.econbiz.de/10005361475

The adjustment of global external balances: does partial exchange rate pass-through to trade prices matter?

Gust, Christopher; Leduc, Sylvain; Sheets, Nathan - Federal Reserve Bank of San Francisco - 2008

This paper assesses whether partial exchange rate pass-through to trade prices has important implications for the prospective adjustment of global external imbalances. To address this question, we develop and estimate an open-economy DGE model in which pass-through is incomplete due to the...

Persistent link: https://www.econbiz.de/10005361483

Pegged exchange rate regimes -- a trap?

Aizenman, Joshua; Glick, Reuven - Federal Reserve Bank of San Francisco - 2005

This paper studies the empirical and theoretical association between the duration of a pegged exchange rate and the cost experienced upon exiting the regime. We confirm empirically that exits from pegged exchange rate regimes during the past two decades have often been accompanied by crises, the...

Persistent link: https://www.econbiz.de/10005361485

The international dimension of productivity and demand shocks in the U.S. economy

Corsetti, Giancarlo; Dedola, Luca; Leduc, Sylvain - Federal Reserve Bank of San Francisco - 2009

Identifying productivity and real demand shocks in the US with sign restrictions based on standard theory, we provide evidence on real and financial channels of their international propagation. Productivity gains in US manufacturing have substantial macroeconomic effects, raising US consumption,...

Persistent link: https://www.econbiz.de/10004993814