Monetary Economics: Central Banks - Policies & Impacts eJournal最新文献

{"title":"On the Welfare Effects of Phasing Out Paper Currency","authors":"Julio Garín, W. D. Lastrapes, R. Lester","doi":"10.2139/ssrn.3561145","DOIUrl":"https://doi.org/10.2139/ssrn.3561145","url":null,"abstract":"Abstract We quantify the welfare effects of cash suppression policies within a general equilibrium model where cash reduces transactions costs and aids tax evasion in underground markets. In the model, currency suppression increases transactions costs and raises effective tax rates, but shifts resources out of costly underground markets and relaxes the government budget. When coupled with a reduction in distortionary taxes on consumption or factor inputs to ensure budget neutrality, cash suppression policies increase welfare in our baseline representative agent model. In a model with individual heterogeneity in cash use, suppression increases welfare for all, but by less for cash-intensive users.","PeriodicalId":145273,"journal":{"name":"Monetary Economics: Central Banks - Policies & Impacts eJournal","volume":"5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-04-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122381544","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}

{"title":"Asset Prices and Standing Facilities in a Monetary Economy","authors":"Tarishi Matsuoka","doi":"10.2139/ssrn.3812049","DOIUrl":"https://doi.org/10.2139/ssrn.3812049","url":null,"abstract":"This paper develops a general equilibrium model of money and banking in which the central bank opens a discount window and pays an interest rate on reserves. With aggregate uncertainty, banks exhaust their monetary reserves and access to the discount window in some states of nature. Changing the interest-rate corridor, defined as the difference between the discount and the deposit rates, generates responses in the bank's portfolio choice, asset prices, welfare, and the liquidity structure of assets' yields. The discount window policy can be a potential source of both the indeterminacy of equilibria and instability of asset prices.","PeriodicalId":145273,"journal":{"name":"Monetary Economics: Central Banks - Policies & Impacts eJournal","volume":"29 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-03-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116095793","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}

{"title":"Structural Changes in Investment and the Waning Power of Monetary Policy","authors":"Justin Bloesch, J. Weber","doi":"10.2139/ssrn.3809439","DOIUrl":"https://doi.org/10.2139/ssrn.3809439","url":null,"abstract":"We argue that secular change in both the production and composition of investment goods has weakened private investment's role in the transmission of monetary policy to labor earnings and consumption. We show analytically that fluctuations in the production of investment goods amplify the response of consumption to monetary policy shocks by varying labor income for hand-to-mouth agents. We document three secular changes that weaken this channel: (i) labor's share of value added in investment goods production has declined, (ii) the import share of investment goods has risen, and (iii) the composition of investment has shifted towards components that are less responsive to monetary policy. A small open economy, two agent New Keynesian model calibrated to match these facts implies a 38% and 26% weaker response of labor income and aggregate consumption, respectively, to real interest rate shocks in a 2010's economy relative to a 1960's economy.","PeriodicalId":145273,"journal":{"name":"Monetary Economics: Central Banks - Policies & Impacts eJournal","volume":"1065 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-03-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132278380","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}

{"title":"Cost of Credit, Mortgage Demand and House Prices","authors":"Y. E. Akgunduz, H. Ö. Dursun-de Neef, Y. Hacıhasanoğlu, Fatih Yılmaz","doi":"10.2139/ssrn.3803383","DOIUrl":"https://doi.org/10.2139/ssrn.3803383","url":null,"abstract":"This paper studies the relationship between mortgage rates and house prices. We exploit a sudden reduction in mortgage rates of state-owned banks in Turkey during the summer of 2020 as an exogenous shock to provide causal estimates of a decrease in the cost of credit on mortgage demand and house prices. The effects are estimated using a detailed dataset on all house sales with mortgages. We find that a 1 percentage point decrease in annual mortgage rates led to an increase in individual mortgage loans by 6.6% and an increase in house prices by 3.2%.","PeriodicalId":145273,"journal":{"name":"Monetary Economics: Central Banks - Policies & Impacts eJournal","volume":"35 18","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-03-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"113941451","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}

{"title":"Sectoral Slowdowns in the UK: Evidence from Transmission Probabilities and Economic Linkages","authors":"E. Janssens, R. Lumsdaine","doi":"10.2139/ssrn.3804440","DOIUrl":"https://doi.org/10.2139/ssrn.3804440","url":null,"abstract":"This paper studies shock transmission across macroeconomic sectors in the UK, using data from the Bank of England's Flow of Funds statistics. We combine two different approaches to quantify the spread of shocks to assess whether sectors with large bilateral economic linkages as measured through network data have a greater statistical likelihood of shock transmission between them. The combination of both approaches reveals the Monetary Financial Institutions sector's role as shock absorber, and identifies the most important channels of shock transmission. The inferential discrepancies between network data and the actual spillovers highlight the contribution of the proposed methodology.","PeriodicalId":145273,"journal":{"name":"Monetary Economics: Central Banks - Policies & Impacts eJournal","volume":"37 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-03-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126810195","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}

{"title":"Optimal Policy with Occasionally Binding Constraints: Piecewise Linear Solution Methods","authors":"R. Harrison, Matt Waldron","doi":"10.2139/ssrn.3796319","DOIUrl":"https://doi.org/10.2139/ssrn.3796319","url":null,"abstract":"This paper develops a piecewise linear toolkit for optimal policy analysis of linear rational expectations models, subject to occasionally binding constraints on (multiple) policy instruments and other variables. Optimal policy minimises a quadratic loss function under either commitment or discretion. The toolkit accounts for the presence of ‘anticipated disturbances’ to the model equations, allowing optimal policy analysis around scenarios or forecasts that are not produced using the model itself (for example, judgement-based forecasts such as those often produced by central banks). The flexibility and applicability of the toolkit to very large models is demonstrated in a variety of applications, including optimal policy experiments using a version of the Federal Reserve Board’s FRB/US model.","PeriodicalId":145273,"journal":{"name":"Monetary Economics: Central Banks - Policies & Impacts eJournal","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-02-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125586183","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}

{"title":"Removing the Regulatory Barriers to Cross-Border Banking","authors":"Nikos Maragopoulos","doi":"10.2139/SSRN.3792857","DOIUrl":"https://doi.org/10.2139/SSRN.3792857","url":null,"abstract":"The establishment of the Banking Union and the introduction of the European Single Rulebook seek to pave the way for a single banking market and to break the nexus between banks and sovereigns. Ideally, banks should be subject to a common set of rules and do business across the Banking Union without having to comply with different supervisory practices and methodologies. However, there are still loopholes and discrepancies in the legislative framework that cause regulatory fragmentation, among others, by allowing national authorities to take restrictive measures to protect national interests against the common interest. \u0000 \u0000The present paper analyzes the current obstacles to the free flow of funds within cross-border banking groups operating in the Banking Union, namely the obligation for subsidiaries to meet prudential requirements (capital, liquidity and internal MREL) at individual level and the restrictions to intragroup exposures. To that end, this paper proposes some amendments to the Union regulatory framework aiming to achieve a dual objective; to strengthen banks’ profitability and overall financial position and to promote financial integration and consolidation of the banking sector, preferably through cross-border mergers and acquisitions (M&As). The proposed changes have become more significant today amidst the COVID-19 crisis and its impact on the European banking sector and the European economy. The European Central Bank (ECB) and the Single Resolution Board (SRB) have granted (temporary) relief measures to banks to withstand the effects of the pandemic and continue lending to the economy. Nonetheless, in light of the ECB’s pressure on banks to address effectively and timely the financial impact from the COVID-19 crisis, it is necessary to establish a framework to relieve banking groups from the unnecessary capital and liquidity burden placed on them. The aim of the proposed framework is to improve the banks’ ability to generate sustainable profits and, hence, to enhance their capacity to absorb the impact from the COVID-19 crisis and any future external shock as well. \u0000 \u0000The proposed regulatory reform is governed by three (3) principles. Firstly, the introduction of a default approach for the application of reduced prudential requirements (capital, liquidity and internal MREL) to subsidiaries accompanied by the lifting of restrictions to intragroup exposures. Secondly, particular emphasis is placed on the Supervisory Review and Evaluation Process (SREP) and the resolvability assessment carried out by the ECB and the SRB respectively whose outcome may result in an increase of the prudential requirements. Thirdly, the establishment of a credible escalation mechanism to ensure that parent entities will remain committed to providing capital and/or liquidity support to subsidiaries should their financial situation deteriorate. The proposed mechanism serves as a safety net to prevent the failure of subsidiaries and, if that happens, to mi","PeriodicalId":145273,"journal":{"name":"Monetary Economics: Central Banks - Policies & Impacts eJournal","volume":"32 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-02-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131594608","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}

{"title":"Unconventional Monetary Policy and the Search for Yield","authors":"John Kandrac, Sotirios Kokas, A. Kontonikas","doi":"10.2139/ssrn.3776618","DOIUrl":"https://doi.org/10.2139/ssrn.3776618","url":null,"abstract":"We use U.S. syndicated loan market data to examine how banks responded to the unprecedented injection of reserves by the Fed over several rounds of quantitative easing (QE). We show that higher reserves boost bank lending. To establish a causal interpretation for this finding, we construct a novel instrument for the bank-level exposure to QE by using confidential data on daily bank reserves. Next, we identify a mechanism that can explain this link. We show that the connection between banks' reserves and lending volume depends upon the net return that banks enjoy on reserve balances. Our findings demonstrate that the search for yield component of the risk taking channel — wherein banks increase risk-taking to achieve nominal profitability targets during periods of low interest rates — is also a relevant consideration for policymakers during massive reserve injections.","PeriodicalId":145273,"journal":{"name":"Monetary Economics: Central Banks - Policies & Impacts eJournal","volume":"89 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-01-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126406379","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}

{"title":"Asymptotic Impulse Control of Mean-Reverting Interest Rates with a Slowly Varying Stochastic Volatility","authors":"Chi Seng Pun, Rachana Gupta","doi":"10.2139/ssrn.3756104","DOIUrl":"https://doi.org/10.2139/ssrn.3756104","url":null,"abstract":"This paper studies the optimal central bank intervention of interest rate problem, where the interest rate process is modelled by an Ornstein—Uhlenbeck (mean-reverting) process with a slowly varying stochastic volatility. The objective of the central bank is to maintain the interest rate close to a target level, subject to fixed and proportional costs of interventions. The problem is formulated as an impulse control problem, which is being converted to a free boundary problem by adopting an ansatz of a band policy. Due to the complexity introduced by the stochastic volatility, there is no analytical solution to the free boundary value problem in the literature. This paper applies a regular perturbation approach to derive an asymptotic solution to the value function and the optimal impulse control (intervention). We rigorously prove that the zeroth-order approximation of the optimal impulse control is associated with the first-order approximation of the value function. Moreover, we show that this zeroth-order suboptimal impulse control is asymptotically optimal in a specific family of impulse controls.","PeriodicalId":145273,"journal":{"name":"Monetary Economics: Central Banks - Policies & Impacts eJournal","volume":"43 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-12-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122221189","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}

{"title":"Central Bank Independence: Metrics and Empirics","authors":"D. Masciandaro, Jacopo Magurno, Romano Tarsia","doi":"10.2139/ssrn.3759586","DOIUrl":"https://doi.org/10.2139/ssrn.3759586","url":null,"abstract":"This paper reviews the evolution of the literature on Central Bank Independence (CBI) focusing on its metrics as well as on its empirical association with macroeconomic variables. Part One describes the evolution of the CBI indicators, while Part Two analyses the econometric studies devoted to shed light on the relationships between CBI and macroeconomic performances.","PeriodicalId":145273,"journal":{"name":"Monetary Economics: Central Banks - Policies & Impacts eJournal","volume":"9 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-12-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"120934900","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}