Latin American Journal of Central Banking最新文献_第5页

Measuring the impact of a failing participant in payment systems 衡量支付系统中失败参与者的影响

Latin American Journal of Central Banking Pub Date : 2023-09-18 DOI: 10.1016/j.latcb.2023.100106

Ronald Heijmans , Froukelien Wendt

{"title":"Measuring the impact of a failing participant in payment systems","authors":"Ronald Heijmans , Froukelien Wendt","doi":"10.1016/j.latcb.2023.100106","DOIUrl":"https://doi.org/10.1016/j.latcb.2023.100106","url":null,"abstract":"<div><p>Large banks and critical financial market infrastructures (FMIs) that are not able to fulfill their payment obligations, for example following a bankruptcy or cyber-attack, can be a source of financial instability and contagion in the financial system. This paper develops a composite risk indicator to evaluate the criticality of participants in a large value payment system network, combining liquidity risk (i.e. size of incoming and outgoing payments) and systemic impact or interconnections between network participants in one approach. It is applied, as a proof of concept, to the TARGET2 payment system that links banks and FMIs in a tight network of interdependencies. We find that the most critical participants in TARGET2 are other payment systems (large value and retail) because of the underlying gross size of their payment flows. Some banks may be critical, but this is mainly due to their interconnectedness with other TARGET2 participants. Central counterparties and central securities depositories are less critical to the payment system. Our findings can be used by (1) financial stability experts to evaluate the impact of a failing critical participant in the financial system, and (2) central banks in their role as payment system operator and overseer. Besides, it feeds into policy discussions on payment system access, oversight, and crisis management.</p></div>","PeriodicalId":100867,"journal":{"name":"Latin American Journal of Central Banking","volume":"4 4","pages":"Article 100106"},"PeriodicalIF":0.0,"publicationDate":"2023-09-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50204400","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Evaluating the effectiveness of monetary policy for retail central bank digital currency 评估中央银行零售数字货币货币政策的有效性

Latin American Journal of Central Banking Pub Date : 2023-09-16 DOI: 10.1016/j.latcb.2023.100111

Cheng Zhou

引用次数: 0

Monetary policy communication and inflation expectations: New evidence about tone and readability 货币政策沟通与通胀预期：关于基调和可读性的新证据

Latin American Journal of Central Banking Pub Date : 2023-09-01 DOI: 10.1016/j.latcb.2023.100088

Gianni Carotta , Miguel Mello , Jorge Ponce

引用次数: 2

A content analysis of the Central Bank's press releases in Colombia 哥伦比亚中央银行新闻稿的内容分析

Latin American Journal of Central Banking Pub Date : 2023-09-01 DOI: 10.1016/j.latcb.2023.100097

Luis E. Arango , Javier Pantoja , Carlos Velásquez

{"title":"A content analysis of the Central Bank's press releases in Colombia","authors":"Luis E. Arango , Javier Pantoja , Carlos Velásquez","doi":"10.1016/j.latcb.2023.100097","DOIUrl":"https://doi.org/10.1016/j.latcb.2023.100097","url":null,"abstract":"<div><p>The Central Bank uses press releases after board meetings for at least three purposes: first, to justify policy measures based on the economic situation; second, to provide some forward guidance signals to agents; and third, to supply some further (latent) information to the markets. This article involves a reading analysis of press releases based on a machine-learning technique to show, first, the coherence between communications and the changes of the interest rate and, second, the capacity of communications to alter inflation expectations. We find that, following the official mandate of the Central Bank, inflation and inflation expectations as well as economic activity were significant topics in the adoption of policy measures between September 2004 and March 2016, with more emphasis on the former. Our indicators of forward guidance are not significant in the adoption of contemporary policy measures. Finally, with the help of latent semantic analysis, we extract the underlying factors that are then used in structural VAR models to identify and measure the impact of press releases’ shocks on inflation expectations. Our results indicate that Colombia's Central Bank uses communications as a monetary policy tool and that this strategy influences market inflation expectations.</p></div>","PeriodicalId":100867,"journal":{"name":"Latin American Journal of Central Banking","volume":"4 3","pages":"Article 100097"},"PeriodicalIF":0.0,"publicationDate":"2023-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50191596","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

A proposal for constructing and evaluating core inflation measures 构建和评估核心通胀指标的建议

Latin American Journal of Central Banking Pub Date : 2023-09-01 DOI: 10.1016/j.latcb.2023.100094

Guillermo Carlomagno , Jorge Fornero , Andrés Sansone

{"title":"A proposal for constructing and evaluating core inflation measures","authors":"Guillermo Carlomagno , Jorge Fornero , Andrés Sansone","doi":"10.1016/j.latcb.2023.100094","DOIUrl":"https://doi.org/10.1016/j.latcb.2023.100094","url":null,"abstract":"<div><p>There is no unifying framework for evaluating core inflation measures, so we propose a methodological framework to close this gap. It allows us to construct, evaluate, and rank core inflation measures by applying it to countries and regions with different characteristics, such as Chile, Colombia, Peru, the euro area, and the United States. Our methodology uses highly disaggregated data of consumer price indexes, and hinges on a standard quadratic loss function. We show that the usual indicator that excludes food and energy, which is the most widespread measure of core inflation among central banks, performs poorly across the five countries analyzed, due to substantial bias, low persistence, high volatility, and low forecasting power. Therefore, our recommendation is to revise its use. By optimally selecting the CPI components to be excluded, the properties of core inflation measures can be significantly improved. Finally, we argue that when there is a preference regarding the use of fixed exclusion measures, nothing is lost and much can be gained by optimally selecting the excluded items, instead of sticking with the usual ad hoc criteria of excluding food and energy. Results remain robust to changes in the sample and methodology.</p></div>","PeriodicalId":100867,"journal":{"name":"Latin American Journal of Central Banking","volume":"4 3","pages":"Article 100094"},"PeriodicalIF":0.0,"publicationDate":"2023-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50191599","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Modeling S&P500 returns with GARCH models 用GARCH模型对标准普尔500指数的回报进行建模

Latin American Journal of Central Banking Pub Date : 2023-09-01 DOI: 10.1016/j.latcb.2023.100096

Rodrigo Alfaro, Alejandra Inzunza

引用次数: 0

Countercyclical prudential tools in an estimated DSGE model 估计DSGE模型中的反周期审慎工具

Latin American Journal of Central Banking Pub Date : 2023-09-01 DOI: 10.1016/j.latcb.2023.100095

Serafín Frache , Javier García-Cicco , Jorge Ponce

引用次数: 1

Understanding the natural rate of interest for a small open economy 了解小型开放型经济的自然利率

Latin American Journal of Central Banking Pub Date : 2023-09-01 DOI: 10.1016/j.latcb.2023.100093

Carlos Alberto Zarazúa Juárez

{"title":"Understanding the natural rate of interest for a small open economy","authors":"Carlos Alberto Zarazúa Juárez","doi":"10.1016/j.latcb.2023.100093","DOIUrl":"https://doi.org/10.1016/j.latcb.2023.100093","url":null,"abstract":"<div><p>In this paper, we develop a structural model to estimate the current level of the natural rate for a small open economy, featuring a rich set of shocks to provide economic intuition for its underlying drivers. The model follows the New Keynesian tradition with several frictions and is able to draw implications for a monetary policy stance. In contrast to other DSGE models in the literature, this framework includes two main blocks—one related to the foreign sector and one associated with the local economy, linked by the uncovered interest rate parity condition. With this structure, the natural rate is affected by local and external factors, disaggregated in permanent and transitory shocks. Using Bayesian techniques, the model estimates the natural interest rate for two example cases, Mexico and Canada, considering data from these economies and the United States. Results show that the US economy is relevant to explaining natural rates in both countries. For the Mexican case, the drivers are shocks to the US risk premium and the marginal efficiency of investment, as well as country risk premium variations. For Canada, shocks to the households’ discount factor play an important role.</p></div>","PeriodicalId":100867,"journal":{"name":"Latin American Journal of Central Banking","volume":"4 3","pages":"Article 100093"},"PeriodicalIF":0.0,"publicationDate":"2023-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50191600","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Measuring monetary policy transparency in Uruguay 衡量乌拉圭货币政策透明度

Latin American Journal of Central Banking Pub Date : 2023-07-19 DOI: 10.1016/j.latcb.2023.100104

Cecilia Dassatti, Gerardo Licandro

引用次数: 0

Heterogeneous exchange rate pass-through in Mexico: What drives it? 墨西哥的异质汇率：是什么推动了它？

Latin American Journal of Central Banking Pub Date : 2023-07-04 DOI: 10.1016/j.latcb.2023.100100

Diego Solórzano

{"title":"Heterogeneous exchange rate pass-through in Mexico: What drives it?","authors":"Diego Solórzano","doi":"10.1016/j.latcb.2023.100100","DOIUrl":"https://doi.org/10.1016/j.latcb.2023.100100","url":null,"abstract":"<div><p>In this paper, we focus on the pass-through of exchange rate fluctuations into prices of final goods and services and examine whether contrasting pass-through rates are associated with regional and/or product-specific characteristics. Using CPI micro-data from 2002 to 2010, we estimate industry-specific rates of pass-through across regions in Mexico. By looking at within-country price responses, we alleviate shortcomings of cross-country studies that assess pass-through determinants. The results indicate that pass-through rates differ across regions and industries: low pass-through regions exhibit nearly one-quarter of the elasticity shown by high pass-through regions after twelve months. This heterogeneity prevails at longer horizons. The findings suggest that full pass-through is rejected for all regions and industries. Most of these differences in transmission rates are explained by regional and product characteristics: demand conditions, economic development, distance to the US border, import intensity, price change dispersion and expenditure share play a clear role in increasing pass-through, whereas market density dampens pass-through rates. The evidence confirms pricing-to-market theories and has implications for the design of monetary and exchange rate policies.</p></div>","PeriodicalId":100867,"journal":{"name":"Latin American Journal of Central Banking","volume":"4 4","pages":"Article 100100"},"PeriodicalIF":0.0,"publicationDate":"2023-07-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50204479","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 2