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

{"title":"Dynamic Responses of Real Output to Financial Spreads","authors":"Yu-Fan Huang","doi":"10.2139/ssrn.2988279","DOIUrl":"https://doi.org/10.2139/ssrn.2988279","url":null,"abstract":"This paper investigates how the term spread and the credit spread affect real output in the long-run. Predictive regression estimates imply that high term spreads signal long-lasting increases in output, while high credit spreads signal brief economic contraction. However, an impulse response analysis indicates that a positive shock in the credit spread leads to higher term spreads possibly due to monetary policy reactions. This interaction between term and credit spreads may lead to the inability of the credit spread to signal long-lasting changes in output. I thus specify a Vector Autoregression model and conduct a counterfactual analysis, which shuts down the interaction between spreads. The results using US data are summarized as follows: (i) a positive term spread shock, due to a TFP news shock, rises real output permanently; (ii) without the induced changes in the term spread, a positive credit spread shock causes the trend output to decline because of tight credit supply condition.","PeriodicalId":376562,"journal":{"name":"ERN: Central Banks - Impacts (Topic)","volume":"43 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116920341","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":"A Unified Measure of Fed Monetary Policy Shocks","authors":"Chunya Bu, J. Rogers, Wenbin Wu","doi":"10.17016/FEDS.2019.043","DOIUrl":"https://doi.org/10.17016/FEDS.2019.043","url":null,"abstract":"Identification of Fed monetary policy shocks is complex, in light of the distinct policymaking regimes before, during, and after the ZLB period of December 2008 to December 2015. We develop a heteroscedasticity-based partial least squares approach, combined with Fama-MacBeth style cross-section regressions, to identify a US monetary policy shock series that usefully bridges periods of conventional and unconventional policymaking and is effectively devoid of the central bank information effect. Our series has moderately high correlation with the shocks identified by Nakamura and Steinsson (2018), Swanson (2018), and Jarocinski and Karadi (2018), but has crucially important differences. Following both the Nakamura-Steinsson and Jarocinski-Karadi empirical tests, we find scant evidence of the information effect in our measure. We attribute the source of these different findings to our econometric procedure and our use of the full maturity spectrum of interest rate instrume nts in constructing our measure. We then present evidence confirming an hypothesis in the literature that the information effect can lead to the result that shocks to monetary policy have transmission effects with signs that differ from traditional theory. We find that shocks to series that are devoid of (embody) the information effect display conventionally-signed (perverse) impulse responses of output and inflation. This provides evidence of first-order importance to staff at central banks undertaking quantitative theoretical modeling of the effects of monetary policy.","PeriodicalId":376562,"journal":{"name":"ERN: Central Banks - Impacts (Topic)","volume":"50 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116826891","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":"The Impact of US Monetary Policy on Managed Exchange Rates","authors":"Ingmar Roevekamp","doi":"10.2139/ssrn.3212637","DOIUrl":"https://doi.org/10.2139/ssrn.3212637","url":null,"abstract":"I study the impact of US monetary policy on managed exchange rates by analyzing the pricing of American Depositary Receipts (ADRs) around FOMC meetings. The significant negative impact of US monetary surprises on abnormal ADR returns for currencies that are managed reflects changes in these currencies’ fundamental values due to US monetary policy shocks. In line with currency crises models of interest rate defence like Lahiri & Vegh (2007), I find that positive US monetary surprises increase the breakdown probability of currency pegs of countries characterized by low real GDP growth, high fiscal deficits and a weak domestic banking sector.","PeriodicalId":376562,"journal":{"name":"ERN: Central Banks - Impacts (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-05-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131165799","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":"On the Feasibility of Returning to the Gold Standard","authors":"Bryan P. Cutsinger","doi":"10.2139/ssrn.3157678","DOIUrl":"https://doi.org/10.2139/ssrn.3157678","url":null,"abstract":"Abstract The gold standard is back in the news following a series of announcements from the Trump Administration indicating that the President was considering candidates for the open positions on the Federal Reserve Board who are sympathetic to the idea of restoring the gold standard. The prospect of returning to such a monetary system raises several important questions that would need to be addressed prior to its implementation. What would the appropriate parity be? How much gold would it require? Is the existing gold stock sufficient to support it? How much would it cost? This paper takes up these questions for the world's largest economies. I argue that the current market price of gold closely approximates the appropriate re-entry parity, and that at this price and at the currently required level of fiat reserves, the stock of above ground gold is large enough to support the adoption of gold redeemability, although it would require a one-time outlay of $3.5 trillion. I also find that the costs of maintaining the gold standard would be $383 billion per year. However, both of these cost estimates decline substantially when using historically-realistic reserve ratios. The principle conclusion of my analysis is that returning to the gold standard would be feasible in the technical sense considered in this paper. There is more than enough gold to support the resumption of redeemability, and the costs of doing so are relatively small. Other, more fundamental margins of feasibility should be considered, however.","PeriodicalId":376562,"journal":{"name":"ERN: Central Banks - Impacts (Topic)","volume":"85 5-6","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-04-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132194022","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":"Bank Net Interest Margin Forecasting and Capital Adequacy Stress Testing by Machine Learning Techniques","authors":"R. Brummelhuis, Zhongmin Luo","doi":"10.2139/ssrn.3282408","DOIUrl":"https://doi.org/10.2139/ssrn.3282408","url":null,"abstract":"The 2007-09 financial crisis revealed that the investors in the financial market were more concerned about the future as opposed to the current capital adequacy for banks. Stress testing promises to complement the regulatory capital adequacy regimes, which assess a bank's current capital adequacy, with the ability to assess its future capital adequacy based on the projected asset-losses and incomes from the forecasting models from regulators and banks. The effectiveness of stress-test rests on its ability to inform the financial market, which depends on whether or not the market has confidence in the model-projected asset-losses and incomes for banks. Post-crisis studies found that the stress-test results are uninformative and receive insignificant market reactions; others question its validity on the grounds of the poor forecast accuracy using linear regression models which forecast the banking-industry incomes measured by Aggregate Net Interest Margin. Instead, our study focuses on NIM forecasting at an individual bank's level and employs both linear regression and non-linear Machine Learning techniques. First, we present both the linear and non-linear Machine Learning regression techniques used in our study. Then, based on out-of-sample tests and literature-recommended forecasting techniques, we compare the NIM forecast accuracy by 162 models based on 11 different regression techniques, finding that some Machine Learning techniques as well as some linear ones can achieve significantly higher accuracy than the random-walk benchmark, which invalidates the grounds used by the literature to challenge the validity of stress-test. Last, our results from forecast accuracy comparisons are either consistent with or complement those from existing forecasting literature. We believe that the paper is the first systematic study on forecasting bank-specific NIM by Machine Learning Techniques; also, it is a first systematic study on forecast accuracy comparison including both linear and non-linear Machine Learning techniques using financial data for a critical real-world problem; it is a multi-step forecasting example involving iterative forecasting, rolling-origins, recalibration with forecast accuracy measure being scale-independent; robust regression proved to be beneficial for forecasting in presence of outliers. It concludes with policy suggestions and future research directions.","PeriodicalId":376562,"journal":{"name":"ERN: Central Banks - Impacts (Topic)","volume":"92 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-03-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132577763","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":"The Bank Multiplier and A New Mechanism for the Transmission of the Monetary Policy","authors":"Ahmed Mehedi Nizam","doi":"10.2139/ssrn.3327690","DOIUrl":"https://doi.org/10.2139/ssrn.3327690","url":null,"abstract":"The concept of economic multiplier has been extensively used in the design and analysis of the fiscal policy. However, it has never been used to analyse the impact of nominal interest income received by the depositors through the banking channel on the total output. Here, we investigate the impact of nominal interest income on the macroeconomy using multiplier theory. We define and calculate the corresponding multiplier values algebraically and then we empirically calculate them using impulse response analysis. Along the way, we have shown a new mechanism for the transmission of the monetary policy decision which transcends through, as we call it here, the nominal interest income channel.","PeriodicalId":376562,"journal":{"name":"ERN: Central Banks - Impacts (Topic)","volume":"19 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-02-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127565308","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":"Availability of High-Quality Liquid Assets and Monetary Policy Operations: An Analysis for the Euro Area","authors":"Roel Grandia, Petra Hänling, Michelina Lo Russo, P. Åberg","doi":"10.2139/ssrn.3328390","DOIUrl":"https://doi.org/10.2139/ssrn.3328390","url":null,"abstract":"This paper provides an overview of supply and demand factors influencing the availability of euro-denominated debt instruments that qualify as high-quality liquid assets (HQLA) in the euro area. The paper estimates the supply of HQLA issued by the public and private sectors as well as the aggregated impact of Eurosystem monetary policy operations on the amount and composition of HQLA held by banks and other economic agents. An assessment of the main demand factors is also presented. Finally, the paper provides some insights into the interaction with and implications for the Eurosystem monetary policy implementation framework in the longer run. JEL Classification: D41, E58, G1, G28","PeriodicalId":376562,"journal":{"name":"ERN: Central Banks - Impacts (Topic)","volume":"516 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123084155","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":"From a Quantity to an Interest Rate-Based Framework: Multiple Monetary Policy Instruments and Their Effects in China*","authors":"Soyoung Kim, Hongyi Chen","doi":"10.2139/ssrn.3315031","DOIUrl":"https://doi.org/10.2139/ssrn.3315031","url":null,"abstract":"In moving from a quantity to an interest rate-based policy framework, the PBoC uses a variety of monetary policy instruments and intermediate targets, which is different from central banks of main industrial countries. Contrary to most studies on overall effects of monetary policy, this research empirically investigates the effects of various types of monetary policy instruments separately by modeling the interactions and relationship among monetary policy instruments and other monetary variables such as monetary policy targets, to draw implications forhighlight the PBoC’s attempt to change the monetary policy framework to an interest rate based framework. Empirical results suggest the effects of the changes in benchmark lending rates and short-term interest rates on loan, M2 and output are larger than those of the changes in reserve requirement ratio, especially in recent years. Non-policy shocks exert substantial effects on intermediate targets, such as loans and M2, under a quantity-based policy framework. These results may imply that monetary policy is more effective under a new interest rate-based policy framework than the old quantity-based policy framework. Empirical results also suggest that the size and effects of short-term interest rate shocks are larger in recent years, which shows the push by the PBoC to move from a quantity-based policy framework to an interest rate-based policy framework has progressed significantly. In addition, short-term interest rates have the strongest effect on property price, among various policy instruments. This could suggest that the PBoC’s interest rate based framework is likely more effective in achieving its financial stability objective. Overall, the empirical results support the idea that the new interest rate-based policy framework is more effective in achieving not only traditional macroeconomic objectives, but also new financial stability objectives.","PeriodicalId":376562,"journal":{"name":"ERN: Central Banks - Impacts (Topic)","volume":"12 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-01-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132844978","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":"Financial Uncertainty and the Effectiveness of Monetary Policy","authors":"Rong Fu","doi":"10.2139/ssrn.3303312","DOIUrl":"https://doi.org/10.2139/ssrn.3303312","url":null,"abstract":"This paper argues that the impact of monetary policy shocks can interact with the financial environment, in particular with financial uncertainty, making monetary policy's effectiveness state dependent. To that end, we implement a smooth transition VAR model to examine monetary policy shocks, in which the transition between different states depends on the financial uncertainty index of Ludvigson et al. (2015). This uncertainty index extracts the variance of the unforecastable components from a large financial dataset and has advantages over other uncertainty measures. The work identifies that monetary shocks have stronger, but less persistent, effects during periods of elevated financial uncertainty than during tranquil times. These differences in effects among the uncertainty-dependent states suggest that nonlinearities in the credit channel are stronger in the short run, whereas in the long run nonlinearities in the interest rate channel dominate.","PeriodicalId":376562,"journal":{"name":"ERN: Central Banks - Impacts (Topic)","volume":"45 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-12-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114247085","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":"Monetary Policy and Corporate Debt Structure","authors":"Stéphane Lhuissier, Urszula Szczerbowicz","doi":"10.2139/ssrn.3267904","DOIUrl":"https://doi.org/10.2139/ssrn.3267904","url":null,"abstract":"This paper evaluates and compares the effects of conventional and unconventional monetary policies on the corporate debt structure in the United States. It does so by using a vector autoregression in which policy shocks are identified through high-frequency external instruments. Our results show that conventional and unconventional expansionary monetary policies have similar positive effects on aggregate activity, but their impact on corporate debt structure goes in opposite directions: (i) conventional monetary easing increases loans to non-financial corporations and reduces corporate bond financing; (ii) unconventional monetary easing increases bond finance without affecting the loans.","PeriodicalId":376562,"journal":{"name":"ERN: Central Banks - Impacts (Topic)","volume":"72 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115854559","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}