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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

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 micro-macro disconnect of purchasing power parity

Bergin, Paul R.; Glick, Reuven; Wu, Jyh-Lin - Federal Reserve Bank of San Francisco - 2010

The persistence of aggregate real exchange rates is a prominent puzzle, particularly since adjustment of international relative prices in microeconomic data is much faster. This paper finds that adjustment to the law of one price in disaggregated data is not just a faster version of the...

Persistent link: https://www.econbiz.de/10008504593

Aggregation and the PPP puzzle in a sticky-price model

Carvalho, Carlos; Nechio, Fernanda - Federal Reserve Bank of San Francisco - 2010

We study the purchasing power parity (PPP) puzzle in a multi-sector, two-country, sticky- price model. Across sectors, firms differ in the extent of price stickiness, in accordance with recent microeconomic evidence on price setting in various countries. Combined with local currency pricing,...

Persistent link: https://www.econbiz.de/10008489226

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