Showing 1 - 10 of 123
Inflation expectations constitute a subject of particular contemporary interest to central banks, especially those … to properties of inflation expectations. Qualitative data on inflation expectations, as obtained from surveys, can be … method, implemented in order to estimate numerical measures of Polish consumer inflation expectations, based on the monthly …
Persistent link: https://www.econbiz.de/10009635882
In certain market environments, a large investor may benefit from building up a futures position first and trading subsequently in the spot market (Kumar and Seppi, 1992). The present paper identifies a variation of this type of manipulation that might occur in money markets with an interest...
Persistent link: https://www.econbiz.de/10009639459
monetary authority in a dynamic setting. The fragility is captured by a devaluation premium in expectations that increases the …
Persistent link: https://www.econbiz.de/10009639466
intensive use of information improves understanding, suggesting that the media channel may play an important and constructive …'s ability to form realistic inflation expectations. …
Persistent link: https://www.econbiz.de/10009640274
Rational expectations has been the dominant way to model expectations, but the literature has quickly moved to a more … their expectations. A standard assumption is that agents form expectations by using the correctly specified reduced form … included. Therefore, agents base expectations on a misspecified MSV solution. In contrast, we assume agents know the deep …
Persistent link: https://www.econbiz.de/10009640692
We study the functioning and possible breakdown of the interbank market in the presence of counterparty risk. We allow banks to have private information about the risk of their assets. We show how banks’ asset risk affects funding liquidity in the interbank market. Several interbank market...
Persistent link: https://www.econbiz.de/10009640453
The financial crisis has highlighted the need for models that can identify counterparty risk exposures and shock transmission processes at the systemic level. We use the euro area financial accounts (flow of funds) data to construct a sector-level network of bilateral balance sheet exposures and...
Persistent link: https://www.econbiz.de/10009640455
We study the functioning of secured and unsecured interbank markets in the presence of credit risk. The model generates empirical predictions that are in line with developments during the 2007-2009 financial crises. Interest rates decouple across secured and unsecured markets following an...
Persistent link: https://www.econbiz.de/10009640472
This paper studies the relationship between the size of the banking sector’s refinancing needs vis-à-vis the central bank and auction rates in its open market operations in times of financial market stress. In a theoretical model, it is found that marginal rates at central bank auctions may...
Persistent link: https://www.econbiz.de/10009640515
This paper develops a framework for assessing systemic risks and for predicting (out-of-sample) systemic events, i.e. periods of extreme financial instability with potential real costs. We test the ability of a wide range of “stand alone” and composite indicators in predicting systemic...
Persistent link: https://www.econbiz.de/10009640687