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Currency Hedging of International Bond Portfolios : Effects of Unconventional Monetary Policy Regimes
Kryzanowski, Lawrence - 2018
We examine the influence of Quantitative Easing (QE) on hedging effectiveness and performance (E&P) of international … negative with the Fed's Treasury holdings. E&P are higher for optimal versus full hedging during the QE versus pre-QE period … and differ for portfolios from developed and emerging countries. Results are robust using other hedging E&P measures and …
Persistent link: https://www.econbiz.de/10012927534
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Central Bank Reserve Management and International Financial Stability-Some Post-Crisis Reflections
Jones, Bradley - 2018
Motivated by the tension first revealed during the global financial crisis between thedomestic and international financial stability obligations of central bank reserve managers,this paper offers some reflections along four main lines. First, the paper highlights howofficial reserve management...
Persistent link: https://www.econbiz.de/10012924272
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Forward-Looking Policy Rules and Currency Premia
Filippou, Ilias - 2019
We evaluate the cross-sectional predictive ability of a forward-looking monetary policy reaction function, or Taylor rule, in both statistical and economic terms. We find that investors require a premium for holding currency portfolios with high implied interest rates while currency portfolios...
Persistent link: https://www.econbiz.de/10012867464
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The portfolio theory of inflation and policy (in)effectiveness
Bossone, Biagio - 2019
taken by domestic agents. The Portfolio Theory of Inflation (PTI) developed in this study assumes that some critical …
Persistent link: https://www.econbiz.de/10012012446
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The portfolio theory of inflation and policy (in)effectiveness revisited : corroborating evidence
Bossone, Biagio; Cuccia, Andrea - 2020
This study revisits and tests empirically the Portfolio Theory of Inflation (PTI), which analyzes how the effectiveness … (Bossone, The portfolio theory of inflation and policy (in)effectiveness, 2019). The PTI shows that when an economy is heavily …
Persistent link: https://www.econbiz.de/10012140238
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The portfolio theory of inflation (and policy effectiveness)
Bossone, Biagio - 2019
The Portfolio Theory of Inflation (PIT) proposed in this study investigates the role of global financial markets in …
Persistent link: https://www.econbiz.de/10011993031
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The extreme risk problem for monetary policies of the Euro-candidates
Gabrisch, Hubert; Orłowski, Lucjan T. - 2010
We argue that monetary policies in euro-candidate countries should also aim at mitigating excessive instability of the key target and instrument variables of monetary policy during turbulent market periods. Our empirical tests show a significant degree of leptokurtosis, thus prevalence of...
Persistent link: https://www.econbiz.de/10003969864
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Monetary policy after the crisis : a joint publication with the National Bank of Poland
Gnan, Ernest (ed.); Kokoszcynski, Ryszard (ed.);  … - Conference Monetary Policy after the Crisis <2011, Warschau>; … - 2011
On 4 March 2011, SUERF – The European Money and Finance Forum and the National Bank of Poland jointly organised a conference on the theme of: "Monetary Policy after the Crisis". Following a call for papers with a large number of submissions, the scientific committee selected 9 papers, which...
Persistent link: https://www.econbiz.de/10011710723
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The New Conceptual Risk Budget Framework and Implementation of the New FX Reserves Investment Strategy at the Central Bank of Hungary
Nagy, Márton - 2019
Reserve portfolios prior to the Global Financial Crisis provided positive (low) returns for central banks or had extremely low probabilities of earning negative returns. In the wake of the crisis, expansionary monetary policy created a low yield environment at a scale that was never seen before....
Persistent link: https://www.econbiz.de/10012857991
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Can endogenous monetary policy explain the deviations from UIP
Alexius, Annika - 2002
The co-movements of nominal exchange rates and short-term interest rates as the economy is hit by shocks is a potential source of ex post deviations from uncovered interest rate parity. This paper investigates whether an established model of endogenous monetary policy in an open economy is...
Persistent link: https://www.econbiz.de/10011588574