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Central Bank Vulnerability and the Credibility of Commitments : A Value-at-Risk Approach to Currency Crises
Blejer, Mario I.; Schumacher, Liliana B. - 2005
The 1990s currency debacles revitalized the search for early warning and forward-looking indicators of financial vulnerabilities. This paper contributes to this task by proposing an approach to assess central bank solvency and to examine the factors putting it at risk, and by refining the...
Persistent link: https://www.econbiz.de/10014062266
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Indonesia : Changing Patterns of Financial Intermediation and Their Implications for Central Bank Policy
Warjiyo, Perry - 2015
As a bank-based economy, global factors affect financial intermediation and monetary transmission in Indonesia mainly through financial markets. Foreign portfolio flows to Indonesia are mostly in the form of government bonds and corporate equities, and thus directly influence the movements of...
Persistent link: https://www.econbiz.de/10013011690
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The social value of information : a test of a beauty and non-beauty contest
Lustenberger, Thomas; Rossi, Enzo - 2018
We develop and apply a procedure to test the welfare implications of a beauty and non-beauty contest based on survey forecasts of interest rates and yields in a large country sample over an extended period of time. In most countries, interest rate forecasts are unbiased and consistent with both...
Persistent link: https://www.econbiz.de/10011790681
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Bond supply, price drifts and liquidity provision before central bank announcements
Pinter, Gabor; Uslu, Semih; Lou, Dong - 2023
We document that UK government bond yields systematically rise in a two-day window before Monetary Policy Committee (MPC) meetings, which we refer to as pre-MPC windows. The effect concentrates on pre-MPC windows that coincide with new issuance of government bonds. Decomposing the effect into an...
Persistent link: https://www.econbiz.de/10014258216
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Density-conditional forecasts in dynamic multivariate models
Andersson, Michael K.; Palmqvist, Stefan Ulf; Waggoner, … - 2010
When generating conditional forecasts in dynamic models it is common to impose the conditions as restrictions on future structural shocks. However, these conditional forecasts often ignore that there may be uncertainty about the future development of the restricted variables. Our paper therefore...
Persistent link: https://www.econbiz.de/10009792830
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Monetary policy under subjective beliefs of banks: optimal central bank collateral requirements
Böser, Florian - 2021 - This version: June 29, 2021
We study how the subjective beliefs about loan repayment on the side of liquidity-constrained banks affect the central bank's choice of collateral standards in its lending facilities. Optimism on the side of banks, entailing a higher collateral value of bank loans, can lead to excessive lending...
Persistent link: https://www.econbiz.de/10012585474
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Monetary base controllability after an exit from quantitative easing
Tanaka, Atsushi - In: Journal of central banking theory and practice 9 (2020) 3, pp. 122-134
This study examines the problem that a central bank may face after exiting a monetary quantitative easing policy. It develops a simple dynamic optimization model of a central bank, which finds that if the bank needs to absorb a substantial amount of excess reserves when exiting, the monetary...
Persistent link: https://www.econbiz.de/10012306856
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Central bank accountability and transparency : theory and some evidence
Eijffinger, Sylvester C. W.; Hoeberichts, Marco - 2000
Geldpolitik und die Frage, wer die endgültige Verantwortung für die Geldpolitik trägt. Das Papier zeigt auf, dass die …
Persistent link: https://www.econbiz.de/10011418852
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Optimal degrees of transparency in monetary policymaking
Jensen, Henrik - 2001
Den meisten Akademikern und politischen Entscheidungsträgern zufolge ist Transparenz in der Geldpolitik wünschenswert … der Zentralbank zu schließen, wodurch die laufende Inflation stärker auf stabilitätspolitische Maßnahmen reagiert. Dies … führt dazu, dass die Zentralbank sich eher auf die Inflation als auf die Stabilisierung der Produktionslücke konzentriert …
Persistent link: https://www.econbiz.de/10011419293
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Central Bank communication and monetary policy predictability under uncertain economic conditions
Lehtimäki, Jonne O.; Palmu, Marianne - In: Journal of central banking theory and practice 8 (2019) 2, pp. 3-32
Modern central banks increasingly value monetary policy transparency, and attempt to build credibility by communicating their decisions to the public. This paper studies whether the communication of central banks can be used to explain upcoming changes in their most important monetary policy...
Persistent link: https://www.econbiz.de/10012016799