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Central Bank Governance and Reserve Portfolios Investment Policies : An Empirical Analysis

Klingebiel, Daniela; Herrero Montes, Carmen M.; Ruiz, Marco - 2021

broader governance environment on reserve management. The analysis yields four key findings. First, internal governance … central banks where the back, middle, and front offices are separated. Third, the regression analysis also reveals that … broader set of asset classes have performed better historically while limiting downside risk. Given that the analysis controls …

Persistent link: https://www.econbiz.de/10013213969

Zero-Knowledge Optimal Monetary Policy under Stochastic Dominance

Cerezo Sánchez, David - 2023

Optimal simple rules for the monetary policy of the first stochastically dominant crypto-currency are derived in a Dynamic Stochastic General Equilibrium (DSGE) model, in order to provide optimal responses to changes in inflation, output, and other sources of uncertainty.The optimal monetary...

Persistent link: https://www.econbiz.de/10014254355

Optimal monetary policy under model uncertainty without commitment

Orlik, Anna; Presno, Ignacio - 2013 - This version: October 27, 2013

This paper studies the design of optimal time-consistent monetary policy in an economy where the planner trusts its own model, while a representative household uses a set of alternative probability distributions governing the evolution of the exogenous state of the economy. In such environments,...

Persistent link: https://www.econbiz.de/10010240307

The Optimal Conduct of Central Bank Asset Purchases

Darracq Pariès, Matthieu - 2017

We analyse the effects of central bank government bond purchases in an estimated DSGE model for the euro area. In the model, central bank asset purchases are relevant in so far as agency costs distort banks asset allocation between loans and bonds, and households face transaction costs when...

Persistent link: https://www.econbiz.de/10012965539

The Optimal Conduct of Central Bank Asset Purchases

Darracq Pariès, Matthieu - 2017

We analyse the effects of central bank government bond purchases in an estimated DSGE model for the euro area. In the model, central bank asset purchases are relevant in so far as agency costs distort banks' asset allocation between loans and bonds, and households face transaction costs when...

Persistent link: https://www.econbiz.de/10012951375

A New Approach for Modeling and Understanding Optimal Monetary Policy

Romaniuk, Katarzyna - 2010

Persistent link: https://www.econbiz.de/10013142771

A Financial Approach to Optimal Interest Rate Rules : Multiple Objectives and Asymmetries

Romaniuk, Katarzyna - 2010

The dominant approach to monetary policy builds on simple linear policy rules, assumed to describe the systematic response of central banks to various shocks. The last financial crisis has shown that in difficult times central banks follow more sophisticated strategies. We argue in this paper...

Persistent link: https://www.econbiz.de/10013146323

The optimal conduct of central bank asset purchases

Darracq Pariès, Matthieu; Kühl, Michael - 2017

We analyse the effects of central bank government bond purchases in an estimated DSGE model for the euro area. In the model, central bank asset purchases are relevant in so far as agency costs distort banks' asset allocation between loans and bonds, and households face transaction costs when...

Persistent link: https://www.econbiz.de/10011685100

Bank Capital Structure and the Credit Channel of Central Bank Asset Purchases

Darracq Pariès, Matthieu - 2016

With the aim of reigniting inflation in the euro area, in early 2015 the ECB embarked on a large-scale asset purchase programme. We analyse the macroeconomic effects of the Asset Purchase Programme via the banking system, exploiting the cross-section of individual bank portfolio decisions. For...

Persistent link: https://www.econbiz.de/10012988604

Negative Interest Rates and the Perpetuity Paradox

White, James - 2020

With 30% of the world's investment grade sovereign bonds trading at sub-zero yields, there is a growing acceptance that negative interest rates are the 'new normal.' Even very low probabilities of sustained negative interest rates in the future leads to incredibly high Expected Values for...

Persistent link: https://www.econbiz.de/10012846686