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ERN: Central Banks - Impacts (Topic)最新文献

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Credit Risk Modeling in the Presence of Central Bank and Government Intervention 中央银行和政府干预下的信用风险模型
ERN: Central Banks - Impacts (Topic) Pub Date : 2021-09-18 DOI: 10.2139/ssrn.3926171
B. Engelmann
{"title":"Credit Risk Modeling in the Presence of Central Bank and Government Intervention","authors":"B. Engelmann","doi":"10.2139/ssrn.3926171","DOIUrl":"https://doi.org/10.2139/ssrn.3926171","url":null,"abstract":"Since the outbreak of Covid-19 and the central bank and government interventions that followed, new challenges in credit modeling have emerged. Relations between credit risk and macroeconomic drivers that have been fairly stable over decades have broken down. An example is the unemployment rate which has been widely used in predicting default rates in retail loan segments. Since mid-2020 this no longer works because of government interventions like monthly payments to citizens which allows them to service their debt despite suffering income loss due to unemployment or business closures. This results in substantially lower default rates than predicted by credit models. In this article, using data published by the US Federal Reserve Bank in Q1 2021, a framework is suggested that quantifies the effect of central bank and government interventions and shows how to include intervention scenarios into credit models improving the accuracy of their short-term predictions and allowing analysts to evaluate long-term scenarios. Furthermore, potential side-effects of intervention like increased inflation are quantified.","PeriodicalId":376562,"journal":{"name":"ERN: Central Banks - Impacts (Topic)","volume":"89 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-09-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128687957","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: 1
Whose speeches impact European markets: ECBs' or the national central banks'? 谁的言论会影响欧洲市场:欧洲央行还是各国央行?
ERN: Central Banks - Impacts (Topic) Pub Date : 2021-08-11 DOI: 10.2139/ssrn.3831782
A. Anand, Sankarshan Basu, Jalaj Pathak, Ashok Thampy
{"title":"Whose speeches impact European markets: ECBs' or the national central banks'?","authors":"A. Anand, Sankarshan Basu, Jalaj Pathak, Ashok Thampy","doi":"10.2139/ssrn.3831782","DOIUrl":"https://doi.org/10.2139/ssrn.3831782","url":null,"abstract":"We quantify the tone from the speeches of the ECB as well as that from the national central banks of six leading European nations, and analyze its role in explaining the returns of their respective stock market indices. Using innovations in financial text analysis introduced in Anand et al. (2021), we find evidence that except for France, all nations' stock indices are significantly associated with the tone of speeches delivered by either the national or the European Central Bank (or both). For France, the national stock index volatility is found to be associated with its national central bank speech tone.","PeriodicalId":376562,"journal":{"name":"ERN: Central Banks - Impacts (Topic)","volume":"29 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-08-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114224868","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: 7
On the Negatives of Negative Interest Rates and the Positives of Exemption Thresholds 论负利率的负面影响和豁免门槛的正面影响
ERN: Central Banks - Impacts (Topic) Pub Date : 2020-12-16 DOI: 10.2139/ssrn.3752629
Aleksander Berentsen, Hugo van Buggenum, Romina Ruprecht
{"title":"On the Negatives of Negative Interest Rates and the Positives of Exemption Thresholds","authors":"Aleksander Berentsen, Hugo van Buggenum, Romina Ruprecht","doi":"10.2139/ssrn.3752629","DOIUrl":"https://doi.org/10.2139/ssrn.3752629","url":null,"abstract":"Major central banks remunerate reserves at negative interest rates and it is increasingly likely that they will keep rates negative for many more years. To study the long run implications of negative rates, we construct a dynamic general equilibrium model with commercial banks funding investment projects and a central bank issuing reserves. Negative rates distort investment decisions resulting in lower output and welfare. These findings sharply contrast the short-run expansionary effects ascribed to negative rate policies by most of the existing literature. Negative rates also reduce commercial bank profitability. Exempting a fraction of reserves from negative rates can resolve profitability concerns without affecting the central bank's ability to control the money market rate. However, exemption thresholds do no mitigate the investment distortions created by negative rates.","PeriodicalId":376562,"journal":{"name":"ERN: Central Banks - Impacts (Topic)","volume":"22 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-12-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114234718","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: 3
The Purchasing Power of Money in an Exchange Economy 交换经济中货币的购买力
ERN: Central Banks - Impacts (Topic) Pub Date : 2020-11-23 DOI: 10.2139/ssrn.3729256
Juliusz F. Radwanski
{"title":"The Purchasing Power of Money in an Exchange Economy","authors":"Juliusz F. Radwanski","doi":"10.2139/ssrn.3729256","DOIUrl":"https://doi.org/10.2139/ssrn.3729256","url":null,"abstract":"It is shown that completely unbacked fiat money, issued by generic supplier implementing realistically specified monetary policy designed to obey certain sufficient conditions, is endogenously accepted by rational individuals at uniquely determined price level. The model generalizes the asset-pricing framework of Lucas (1978) to an economy with frictions, and specialization in production, without imposing the cash-in-advance constraint. The uniqueness of equilibrium comes from complete characterization of both the environment, and the equilibrium concept. In particular, rational consumers are allowed to perceive and exploit arbitrage opportunities associated with the existence of money as easily traded object. The results challenge the view that the value of money is inherently unstable absent active policy intervention, or that money can become worthless due to self-fulfilling expectations. Monetary policy canonically features two dimensions, one of which corresponds to nominal interest rate, and the other to continuous helicopter drop of net worth, which can be implemented as universal basic income.","PeriodicalId":376562,"journal":{"name":"ERN: Central Banks - Impacts (Topic)","volume":"20 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-11-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126489592","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: 1
Real-time Price Discovery via Verbal Communication: Method and Application to Fedspeak 通过口头沟通的实时价格发现:方法及其在美联储语言中的应用
ERN: Central Banks - Impacts (Topic) Pub Date : 2020-11-02 DOI: 10.2139/ssrn.3613702
Roberto Gomez Cram, M. Grotteria
{"title":"Real-time Price Discovery via Verbal Communication: Method and Application to Fedspeak","authors":"Roberto Gomez Cram, M. Grotteria","doi":"10.2139/ssrn.3613702","DOIUrl":"https://doi.org/10.2139/ssrn.3613702","url":null,"abstract":"We advance the hypothesis and establish empirically that investors’ expectations adjust slowly to Central Banks’ messages. From the videos of post-FOMC-meeting press conferences, we extract the words, and timestamp them at the millisecond. We align the transcripts with high-frequency data for several financial assets to provide granular evidence on the investors’ expectations formation process. When the Chairman discusses the changes between current and previous policy statement, price volatility and trading volume spike dramatically, and prices move in the same direction as they did around the statement release. Our approach allows us to quantify in monetary terms the value of information rigidity.","PeriodicalId":376562,"journal":{"name":"ERN: Central Banks - Impacts (Topic)","volume":"103 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-11-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134493298","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: 9
Who Moved The Market? Analyzing The Role Of Federal Reserve Speeches 谁推动了市场?分析美联储讲话的作用
ERN: Central Banks - Impacts (Topic) Pub Date : 2020-09-25 DOI: 10.2139/ssrn.3699588
A. Anand, Sankarshan Basu, Jalaj Pathak, Ashok Thampy
{"title":"Who Moved The Market? Analyzing The Role Of Federal Reserve Speeches","authors":"A. Anand, Sankarshan Basu, Jalaj Pathak, Ashok Thampy","doi":"10.2139/ssrn.3699588","DOIUrl":"https://doi.org/10.2139/ssrn.3699588","url":null,"abstract":"We quantify the sentiment from central bank speeches of five leading developed nations (US, UK, Japan, France, and Germany) and analyze their role in explaining the return of stock market indices for the respective nations. In this study we improve upon existing sentiment quantification techniques by introducing two innovations: (i) by introducing the sentence as the unit of analysis, and (ii) by introducing \"valence shifters\", which assign appropriate weights to adjectives and adverbs. We demonstrate that our modified sentiment extractor is a more effective explanatory variable as compared to both direct measures (Consumer Confidence Indices) as well as indirect measures (Baker and Wurgler Index).","PeriodicalId":376562,"journal":{"name":"ERN: Central Banks - Impacts (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-09-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129512385","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: 3
The Effects of Monetary Policy on Poverty Alleviation in Pakistan 货币政策对巴基斯坦扶贫的影响
ERN: Central Banks - Impacts (Topic) Pub Date : 2020-09-15 DOI: 10.2139/ssrn.3693375
M. Saeed
{"title":"The Effects of Monetary Policy on Poverty Alleviation in Pakistan","authors":"M. Saeed","doi":"10.2139/ssrn.3693375","DOIUrl":"https://doi.org/10.2139/ssrn.3693375","url":null,"abstract":"This research analyzes the effect of monetary policy of central bank on the poverty alleviation. Monetary policy is the policy adopted by the monetary authority of a country that controls either the interest rate payable on very short-term borrowing or the money supply, targeting inflation or the interest rate to ensure price stability and general trust in the currency. This study is taking two variables in monetary policy namely interest rate and money supply. Effects of both variables examined on poverty rate in context of Pakistan. Moreover, association and effect examined between both variables (interest rate and money supply). This study comprises on quantitative research methodology as secondary data taken from world indicator from 2001 to 2017. Regression analysis applied on collected data. According to findings, if central bank increases in supply of money in economy, it cannot reduce poverty rate in Pakistan. It is because more money supply will bring inflation, which discourages investment of all types. If high interest rate set by central bank then it cannot bring significant reduction in poverty rate of Pakistan as it will reduces the investment and overall employment. If central bank set increased interest rate then it deceases the money supply in the economy of Pakistan, as funds will be, divert to banks for earning interest on deposits. Recommendations and conclusion are given at the end of this paper.","PeriodicalId":376562,"journal":{"name":"ERN: Central Banks - Impacts (Topic)","volume":"25 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-09-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125458192","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: 1
Bank of Zambia’s Autonomy Amidst Political Turnovers in Zambia* 赞比亚政治动荡中的赞比亚银行自治权*
ERN: Central Banks - Impacts (Topic) Pub Date : 2020-09-08 DOI: 10.2139/ssrn.3716795
Caesar Cheelo, M. Hinfelaar
{"title":"Bank of Zambia’s Autonomy Amidst Political Turnovers in Zambia*","authors":"Caesar Cheelo, M. Hinfelaar","doi":"10.2139/ssrn.3716795","DOIUrl":"https://doi.org/10.2139/ssrn.3716795","url":null,"abstract":"This working paper analyses the role of Zambia’s central bank, the Bank of Zambia (BOZ), in delivering on its mandate, following banking reforms in the early 1990s. Despite occasional political pressures arising out of the competitive clientelist democracy, especially with regards to banking supervision and appointments of governors, BOZ has been able to deliver on its mandate and is regarded as a ‘pocket of effectiveness’. Its relatively independent position has been attributed to the conscious efforts of its top echelon to entrench BOZ’s autonomous position and work towards legislative independence in 2016. Besides changes in the legislative framework, BOZ’s countervailing powers were strengthened by the acknowledgement on the part of political leaders that the central bank acts as an important ‘signaller’ to international financial markets; a strong tradition of self-assessment; and an emphasis on public accountability. Historically, the BOZ governor plays an important role in defending BOZ’s mandate vis-à-vis the Executive, with the ability to stress the necessity for BOZ to abide by international and regional central banking standards. BOZ’s autonomy was briefly under threat in 2011. This transition coincided with a major political and ideological shift, which saw Patriotic Front (PF)’s short-lived attempt to confront conventional central banking policies. In this paper, BOZ’s effectiveness is measured in terms of price and financial stability and organizational and leadership capacities, traced in the context of Zambia’s changing political settlements.","PeriodicalId":376562,"journal":{"name":"ERN: Central Banks - Impacts (Topic)","volume":"18 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-09-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123224452","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
Monetary Policy, Markup Dispersion, and Aggregate TFP 货币政策、价差和总全要素生产率
ERN: Central Banks - Impacts (Topic) Pub Date : 2020-06-01 DOI: 10.2139/ssrn.3635347
Timo Reinelt, Matthias Meier
{"title":"Monetary Policy, Markup Dispersion, and Aggregate TFP","authors":"Timo Reinelt, Matthias Meier","doi":"10.2139/ssrn.3635347","DOIUrl":"https://doi.org/10.2139/ssrn.3635347","url":null,"abstract":"\u0000 We study the role of markup dispersion and aggregate TFP for monetary transmission. Empirically, we show that the response of markup dispersion to monetary policy shocks can account for a significant fraction of the aggregate TFP response in the first two years after the shock. Analytically, we show that heterogeneous price rigidity can explain the response of markup dispersion if firms have a precautionary price setting motive, which is present in common New Keynesian environments. We provide empirical evidence in support of this explanation. Finally, we study the mechanism and its implications in a quantitative model.","PeriodicalId":376562,"journal":{"name":"ERN: Central Banks - Impacts (Topic)","volume":"38 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134323079","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: 20
The Effects of Shadow Banking on the Transmission of Monetary Policy 影子银行对货币政策传导的影响
ERN: Central Banks - Impacts (Topic) Pub Date : 2020-02-07 DOI: 10.2139/ssrn.3558291
David Zink
{"title":"The Effects of Shadow Banking on the Transmission of Monetary Policy","authors":"David Zink","doi":"10.2139/ssrn.3558291","DOIUrl":"https://doi.org/10.2139/ssrn.3558291","url":null,"abstract":"I present empirical evidence that shadow banks weaken the pass through of monetary policy to<br>the real economy by weakening the bank lending channel. I construct a novel dataset of home mortgage loan originations from the Home Mortgage Disclosure Act (HMDA) matched with county level home prices and labor market outcomes for years 2000 through 2019. I fi nd that shadow banks expand mortgage originations relative to traditional banks as the monetary policy rate increases. This effect is economically large even when controlling for loan demand by comparing shadow and traditional bank lenders within the same county. In addition, I estimate the impact of shadow bank presence on the transmission of monetary policy to the real economy by exploiting county level heterogeneity in shadow bank exposure. My results indicate that as the monetary policy rate increases counties with more exposure to shadow banking experience smaller contractions in home prices, employment, and wages relative to those with less exposure to shadow banking. These results indicate that the recent expansion in shadow mortgage banking has weakened an important channel through which monetary policy affects the real economy.<br>","PeriodicalId":376562,"journal":{"name":"ERN: Central Banks - Impacts (Topic)","volume":"167 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-02-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132949429","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
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