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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
In this paper we investigate the price, volatility and micro-level effects of central bank swap lines during the 2020 pandemic. These policies lowered the ceiling on covered interest rate parity violations and reduced volatility following settlement of swap line auctions. We then combine...
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markets world-wide gained importance during the post-crisis "second phase of global liquidity" (Shin, 2013). The analysis …
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We examine how the Bank of England's quantitative easing (QE) policy during the global financial crisis affected the investment behaviour of insurance companies and pension funds and whether their behaviour was consistent with the operation of the so-called 'portfolio balance channel' that has...
Persistent link: https://www.econbiz.de/10013047470
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 …
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A large number of measures for monitoring risk and uncertainty surrounding macroeconomic and financial outcomes have been proposed in the literature, and these measures are frequently used by market participants, policy makers, and researchers in their analyses. However, risk and uncertainty...
Persistent link: https://www.econbiz.de/10011780277