Monetary Economics: Central Banks - Policies & Impacts eJournal最新文献_第10页

Measuring Euro Area Monetary Policy 衡量欧元区货币政策

Monetary Economics: Central Banks - Policies & Impacts eJournal Pub Date : 2019-05-01 DOI: 10.2139/ssrn.3402078

Carlo Altavilla, Luca Brugnolini, R. Gürkaynak, Roberto Motto, Giuseppe Ragusa

{"title":"Measuring Euro Area Monetary Policy","authors":"Carlo Altavilla, Luca Brugnolini, R. Gürkaynak, Roberto Motto, Giuseppe Ragusa","doi":"10.2139/ssrn.3402078","DOIUrl":"https://doi.org/10.2139/ssrn.3402078","url":null,"abstract":"We study the information flow from the ECB on policy dates since its inception, using tick data. We show that three factors capture about all of the variation in the yield curve but that these are different factors with different variance shares in the window that contains the policy decision announcement and the window that contains the press conference. We also show that the QE-related policy factor has been dominant in the recent period and that Forward Guidance and QE effects have been very persistent on the longer-end of the yield curve. We further show that broad and banking stock indices' responses to monetary policy surprises depended on the perceived nature of the surprises. We find no evidence of asymmetric responses of financial markets to positive and negative surprises, in contrast to the literature on asymmetric real effects of monetary policy. Lastly, we show how to implement our methodology for any policy-related news release, such as policymaker speeches. To carry out the analysis, we construct the Euro Area Monetary Policy Event-Study Database (EA-MPD). This database, which contains intraday asset price changes around the policy decision announcement as well as around the press conference, is a contribution on its own right and we expect it to be the standard in monetary policy research for the euro area.","PeriodicalId":145273,"journal":{"name":"Monetary Economics: Central Banks - Policies & Impacts eJournal","volume":"16 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133659901","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: 265

Monetary System for a Digital Society 数字社会的货币体系

Monetary Economics: Central Banks - Policies & Impacts eJournal Pub Date : 2019-04-22 DOI: 10.2139/ssrn.3376202

K. Summanen

引用次数: 2

Market-Based Monetary Policy Uncertainty 市场货币政策的不确定性

Monetary Economics: Central Banks - Policies & Impacts eJournal Pub Date : 2019-04-11 DOI: 10.2139/ssrn.3371160

M. Bauer, Aeimit Lakdawala, Philippe Mueller

引用次数: 50

The International Monetary and Financial System 国际货币和金融体系

Monetary Economics: Central Banks - Policies & Impacts eJournal Pub Date : 2019-04-01 DOI: 10.1146/ANNUREV-ECONOMICS-080217-053518

Pierre-Olivier Gourinchas, Hélène Rey, Maxime Sauzet

引用次数: 78

Cyclical Behavior of Systemic Risk in the Banking Sector 银行业系统性风险的周期性行为

Monetary Economics: Central Banks - Policies & Impacts eJournal Pub Date : 2019-03-10 DOI: 10.2139/ssrn.3552087

A. Andrieș, N. Sprincean

{"title":"Cyclical Behavior of Systemic Risk in the Banking Sector","authors":"A. Andrieș, N. Sprincean","doi":"10.2139/ssrn.3552087","DOIUrl":"https://doi.org/10.2139/ssrn.3552087","url":null,"abstract":"This paper examines cyclical behavior of banks’ systemic risk contribution and exposure. Using an unbalanced panel of 787 banks from countries members of the Organisation for Economic Co-operation and Development and the European Union covering the period 2000:Q1-2017:Q4, we document that both systemic risk contribution and exposure are positively related to business cycle. That is, systemic risk starts to accumulate in the financial sector during periods of boom, i.e., when the output gap is positive. Furthermore, during periods of robust economic growth, the level of credit tends to increase dramatically, going hand in hand with asset and property prices developments. We also find that contribution and exposure to system-wide distress move procyclically during credit and house cycles, meaning that during upturns in credit and house cycles bank interconnectedness increases, but tend to fall during downturns. However, individual risk of the banks, proxied by Value at Risk, evolves countercyclically during business and financial cycles, i.e., decreasing in upturns and raising in downturns. Thus, Value at Risk is not a good proxy for signalling the buit-up of financial imbalances. Dynamic conditional beta, however, is a more appropriate measure to quantify individual risk of the banks in relation with the market, being procyclical during the financial cycle. Additionally, the empirical analysis shows that both bank-specific and macroeconomic factors influence banks’ systemic distress. Particularly, size, credit risk and inflation boost systemic risk contribution and exposure of the banks, whereas capitalization, the share of loans in total assets, the share of non-interest income in total revenue and economic freedom help banks in reducing their systemic importance. The findings remain robust after controlling for nesting, cross-sectional dependence and reverse causality issues.","PeriodicalId":145273,"journal":{"name":"Monetary Economics: Central Banks - Policies & Impacts eJournal","volume":"6 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-03-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132799218","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

From Price Puzzle to Neo-Fisherianism 从价格之谜到新费舍尔主义

Monetary Economics: Central Banks - Policies & Impacts eJournal Pub Date : 2019-03-08 DOI: 10.2139/ssrn.3349096

S. Z. Ali

引用次数: 0

Monetary Financing with Interest-Bearing Money 有息货币的货币融资

Monetary Economics: Central Banks - Policies & Impacts eJournal Pub Date : 2019-03-08 DOI: 10.2139/ssrn.3351094

R. Harrison, Ryland Thomas

{"title":"Monetary Financing with Interest-Bearing Money","authors":"R. Harrison, Ryland Thomas","doi":"10.2139/ssrn.3351094","DOIUrl":"https://doi.org/10.2139/ssrn.3351094","url":null,"abstract":"Recent results suggesting that monetary financing is more expansionary than bond financing in standard New Keynesian models rely on a duality between policy rules for the rate of money growth and the short-term bond rate, rather than a special role for money. We incorporate two features into a simple sticky-price model to generalize these results. First, that money may earn a strictly positive rate of return, motivated by recent debates on the introduction of central bank digital currencies and the introduction of interest-bearing reserves. This allows money-financed transfers to be used as a policy instrument at the effective lower bound, without giving up the ability to use the short-term bond rate to stabilize the economy in normal times. Second, a simple financial friction generates a wealth effect on household spending from government liabilities. Though temporary money-financed transfers to households can stimulate spending and inflation when the short-term bond rate is constrained by a lower bound, similar effects could be achieved by bond-financed tax cuts. So our results do not provide compelling reasons to choose monetary financing rather than bond financing.","PeriodicalId":145273,"journal":{"name":"Monetary Economics: Central Banks - Policies & Impacts eJournal","volume":"48 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-03-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126999152","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: 4

Digging Deeper--Evidence on the Effects of Macroprudential Policies from a New Database 更深层次的挖掘——来自一个新数据库的关于宏观审慎政策影响的证据

Monetary Economics: Central Banks - Policies & Impacts eJournal Pub Date : 2019-03-01 DOI: 10.5089/9781498302708.001

Z. Alam, Adrian Alter, Jesse Elseman, Gastón Gelos, Heedon Kang, Machiko Narita, Erlend W. Nier, Naixi Wang

引用次数: 228

Drivers of Systemic Risk: Do National and European Perspectives Differ? 系统性风险的驱动因素:国家和欧洲的观点不同吗?

Monetary Economics: Central Banks - Policies & Impacts eJournal Pub Date : 2019-03-01 DOI: 10.1016/j.jimonfin.2018.11.005

C. Buch, Thomas W. Krause, Lena Tonzer

引用次数: 28

Monetary Policy and Exchange Rate Returns: Time-Varying Risk Regimes 货币政策与汇率回报:时变风险机制

Monetary Economics: Central Banks - Policies & Impacts eJournal Pub Date : 2019-03-01 DOI: 10.2139/ssrn.3341004

Charles W. Calomiris, Harry Mamaysky

{"title":"Monetary Policy and Exchange Rate Returns: Time-Varying Risk Regimes","authors":"Charles W. Calomiris, Harry Mamaysky","doi":"10.2139/ssrn.3341004","DOIUrl":"https://doi.org/10.2139/ssrn.3341004","url":null,"abstract":"We develop an empirical model of exchange rate returns, applied separately to samples of developed (DM) and developing (EM) economies’ currencies against the dollar. Monetary policy stance of the global central banks, measured via a natural-language-based approach, has a large effect on exchange rate returns over the ensuing year, is closely linked to the VIX, and becomes increasingly important in the post-crisis era. We document an important spillover effect: monetary policy of the Bank of England, the Bank of Japan and the ECB is as important as Fed policy in forecasting currency returns against the dollar. In the post-crisis era, a one standard deviation increase in dovishness of all four central banks forecasts a 5.8% (4.0%) one-year excess return of DM (EM) currencies. Furthermore, we find that the relation between a DM country’s interest rate differential relative to the dollar (carry) and the future returns from investing in its currency switches sign from the pre- to the post-crisis subperiod, while for EMs the carry variable is never a significant predictor of returns. The high profit from the carry trade for EM currencies reflects persistent country characteristics likely reflective of risk rather than the interest differential per se. While measures of global monetary policy stance forecast exchange rate returns against the dollar, they do not predict exchange rate returns against other base currencies. Results regarding returns from carry, however, are insensitive to the choice of the base currency. We construct a no-arbitrage pricing model which reconciles many of our empirical findings.","PeriodicalId":145273,"journal":{"name":"Monetary Economics: Central Banks - Policies & Impacts eJournal","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121836487","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: 11