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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
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
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
very liquid markets. The FED, IMF, Treasury and the 'Quants'/market lacked the appropriate tools of analysis to answer the … was most likely. This SOC analysis should be used by those charged with surveillance of financial markets …
Persistent link: https://www.econbiz.de/10013132166
very liquid markets. The FED, IMF, Treasury and the “Quants” market lacked the appropriate tools of analysis to answer the … was most likely. This SOC analysis should be used by those charged with surveillance of financial markets …
Persistent link: https://www.econbiz.de/10013143201
In this paper, we continue our study on a general time-inconsistent stochastic linear-quadratic (LQ) control problem originally formulated in Hu, Jin and Zhou (2012). We derive a necessary and sufficient condition for equilibrium controls via a flow of forward-backward stochastic differential...
Persistent link: https://www.econbiz.de/10013024863
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
We consider a large trader liquidating a portfolio using a transparent trading venue with price impact and a dark pool with execution uncertainty. The optimal execution strategy uses both venues continuously, with dark pool orders over-/underrepresenting the portfolio size depending on return...
Persistent link: https://www.econbiz.de/10013010936
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
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