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

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Has the Fed's Expansion of Capital Only Driven Speculation? And Are We Really in a Asset-Driven Recession? 美联储的资本扩张只会推动投机吗?我们真的处于资产驱动型衰退吗?
ERN: Central Banks - Impacts (Topic) Pub Date : 2018-01-05 DOI: 10.2139/ssrn.3097251
N. Caldararo
{"title":"Has the Fed's Expansion of Capital Only Driven Speculation? And Are We Really in a Asset-Driven Recession?","authors":"N. Caldararo","doi":"10.2139/ssrn.3097251","DOIUrl":"https://doi.org/10.2139/ssrn.3097251","url":null,"abstract":"The current economic condition of the world economies presents an unusual number of aspects. While inflation is low as is unemployment, wage stagnation and wild increases in asset prices, especially equities, are incongruent. Yet central banks have massively increased liquidity and this has largely ended up in private banks or speculation, while consumer spending is stagnant, store closings at record highs, off-shoring of cash by major corporations is rampant and reinvestment unusually low. The possibility of a new form of recession presents itself.","PeriodicalId":376562,"journal":{"name":"ERN: Central Banks - Impacts (Topic)","volume":"29 3 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-01-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116345518","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
Empirical Comparisons on the Effects of the US and the Japan Quantitative Easing Policies on the Asian Exchange Rates 美国和日本量化宽松政策对亚洲汇率影响的实证比较
ERN: Central Banks - Impacts (Topic) Pub Date : 2017-12-29 DOI: 10.2139/ssrn.3186011
Y. Han
{"title":"Empirical Comparisons on the Effects of the US and the Japan Quantitative Easing Policies on the Asian Exchange Rates","authors":"Y. Han","doi":"10.2139/ssrn.3186011","DOIUrl":"https://doi.org/10.2139/ssrn.3186011","url":null,"abstract":"This paper considers the long memory volatility property in the daily return data of six major Asian exchange rates of KRW, SGD and INR in terms of USD and JPY. The daily returns generally are found to exhibit the widespread long memory volatility property and the FIGARCH model appears to be quite appropriate to represent the daily Asian returns. Then, this paper empirically compares the effects of the QE policies by the Fed and the BOJ on the Asian exchange returns using the ARMA‐FIGARCH model with the lagged dummy variables to account for the effects of the QE policies on the mean and the volatility process of the Asian returns. The empirical results shows the direct negative impacts of the QE policies by the Fed and the BOJ on the mean process of the KRW and the SGD exchange returns except the INR returns indicating the direct appreciation of the KRW and the SGD currencies against the USD and JPY. But, there are no direct effects of the QE policies on the volatility process of the Asian exchange returns. These results can help policymakers in the Asian central banks to make them better understand the international implications and the challenges implied by such QE policies.","PeriodicalId":376562,"journal":{"name":"ERN: Central Banks - Impacts (Topic)","volume":"8 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-12-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125679670","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
Modelling ‘Leaning Against the Wind’ of Asset Price Bubbles 资产价格泡沫的“逆风”建模
ERN: Central Banks - Impacts (Topic) Pub Date : 2017-10-19 DOI: 10.2139/ssrn.3055806
P. Cosgrove
{"title":"Modelling ‘Leaning Against the Wind’ of Asset Price Bubbles","authors":"P. Cosgrove","doi":"10.2139/ssrn.3055806","DOIUrl":"https://doi.org/10.2139/ssrn.3055806","url":null,"abstract":"This paper investigates the effects of different monetary policy regimes on asset prices. A model which incorporates speculative behaviour, central bank reactions and expectations of those reactions, is exposed to a series of shocks under two different regimes. The results of these simulations suggest that a policymaker who reacts (in a context of imperfect information) to possible bubble developments can deliver better economic outcomes, in terms of the level and volatility of the bubble, output and inflation, than a policymaker who does not react to asset prices. This area is of particular importance to policymakers since Goodhart and Hofmann (2008) argue that shocks to house prices, credit and money can have significant effects on the economy and overall price inflation. They find in particular that shocks to money and credit have a stronger effect on house prices when they are booming than at other times. As a result, they suggest that there may be a role for the central bank to play in responding indirectly to asset-price bubbles.","PeriodicalId":376562,"journal":{"name":"ERN: Central Banks - Impacts (Topic)","volume":"15 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-10-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121232184","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
Exchange Rate Induced Export Quality Upgrading: A Firm-Level Perspective 汇率诱导出口质量升级:一个企业层面的视角
ERN: Central Banks - Impacts (Topic) Pub Date : 2017-07-31 DOI: 10.2139/ssrn.3011013
Cui Hu, David Parsley, Y. Tan
{"title":"Exchange Rate Induced Export Quality Upgrading: A Firm-Level Perspective","authors":"Cui Hu, David Parsley, Y. Tan","doi":"10.2139/ssrn.3011013","DOIUrl":"https://doi.org/10.2139/ssrn.3011013","url":null,"abstract":"This paper explores the impact of exchange rate fluctuations on exported product quality. Existing studies of quality upgrading stress the link between home country depreciation and increased access to export markets. Our focus in this study is on the complimentary effect of an import currency appreciation (i.e., the domestic currency appreciates relative to the sourcing country's currency). Our main finding is that firms upgrade their export quality in response to an import currency appreciation. We first develop a partial equilibrium model to reveal the mechanism: an import currency appreciation that makes imported intermediates cheaper allows firms to switch to higher quality intermediates, which in turn, increase export quality. Using Chinese Customs data during 2000-2006, we find that an import appreciation increases both import, and export quality. Furthermore, export quality increases more for less productive firms, and for firms exporting to developed countries.","PeriodicalId":376562,"journal":{"name":"ERN: Central Banks - Impacts (Topic)","volume":"127 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-07-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121791489","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: 19
The Role of the U.S. Federal Reserve System in the Stability of the World Economy 美国联邦储备系统在稳定世界经济中的作用
ERN: Central Banks - Impacts (Topic) Pub Date : 2017-06-29 DOI: 10.2139/ssrn.3276523
M. Aliyev
{"title":"The Role of the U.S. Federal Reserve System in the Stability of the World Economy","authors":"M. Aliyev","doi":"10.2139/ssrn.3276523","DOIUrl":"https://doi.org/10.2139/ssrn.3276523","url":null,"abstract":"The research paper illustrates the impact of the Federal Reserve System`s policy on the global economy, how it works, how it influences etc. My main motivation to make research and write this paper is to discover the essence of “global affairs” including and especially the global economy. While researching I found out very valuable information regarding the topic from Fed`s shareholder structure to legal cases related to it.","PeriodicalId":376562,"journal":{"name":"ERN: Central Banks - Impacts (Topic)","volume":"13 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-06-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129907215","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
The Greenspan Put 格林斯潘对策
ERN: Central Banks - Impacts (Topic) Pub Date : 2017-06-27 DOI: 10.2139/SSRN.2993326
Sandeep Dahiya, B. Kamrad, Valerio Potì, Akhtar Siddique
{"title":"The Greenspan Put","authors":"Sandeep Dahiya, B. Kamrad, Valerio Potì, Akhtar Siddique","doi":"10.2139/SSRN.2993326","DOIUrl":"https://doi.org/10.2139/SSRN.2993326","url":null,"abstract":"How credible is the widely held belief that Federal Reserve supports the markets. While this \"Greenspan Put\" has received much public attention there is little empirical evidence that documents its existence and significance. In this paper, we exploit the time-series variation in the Fed Funds Rate (FFR) to detect and quantify the size of the \"Greenspan Put\". We find that during the periods when the fed funds rate is below the benchmark implied by the Taylor Rule, traded equity put options are valued significantly lower compared to periods when fed funds rate is at or above its benchmark. These deviations from the Taylor Rule also create moral hazard as out of the money call options exhibit higher prices during the period when fed funds rate is below its Taylor Rule benchmark. Finally, we document that the magnitude of the \"Greenspan Put\" has declined after the Financial Crisis.","PeriodicalId":376562,"journal":{"name":"ERN: Central Banks - Impacts (Topic)","volume":"196 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-06-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121742885","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
A Theory of Collateral for the Lender of Last Resort 最后贷款人的担保理论
ERN: Central Banks - Impacts (Topic) Pub Date : 2017-05-04 DOI: 10.2139/ssrn.2874999
Dong Beom Choi, João A. C. Santos, Tanju Yorulmazer
{"title":"A Theory of Collateral for the Lender of Last Resort","authors":"Dong Beom Choi, João A. C. Santos, Tanju Yorulmazer","doi":"10.2139/ssrn.2874999","DOIUrl":"https://doi.org/10.2139/ssrn.2874999","url":null,"abstract":"\u0000 We consider a macroprudential approach to analyze the optimal lending policy for the central bank, focusing on spillover effects that policy exerts on money markets. Lending against high-quality collateral protects central banks against losses, but can adversely affect liquidity creation in markets since high-quality collateral gets locked up with the central bank rather than circulating in markets. Lending against low-quality collateral creates counterparty risk but can improve liquidity in markets. We illustrate the optimal policy incorporating these trade-offs. Contrary to what is generally accepted, lending against high-quality collateral can have negative effects, whereas it may be optimal to lend against low-quality collateral.","PeriodicalId":376562,"journal":{"name":"ERN: Central Banks - Impacts (Topic)","volume":"22 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-05-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126059253","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: 13
Transaction Asset Shortages 交易资产短缺
ERN: Central Banks - Impacts (Topic) Pub Date : 2017-04-14 DOI: 10.2139/ssrn.2953051
David Beckworth, Joshua R. Hendrickson
{"title":"Transaction Asset Shortages","authors":"David Beckworth, Joshua R. Hendrickson","doi":"10.2139/ssrn.2953051","DOIUrl":"https://doi.org/10.2139/ssrn.2953051","url":null,"abstract":"Over the course of U.S. history there have been a small number of occasions in which aggregate nominal spending has declined, the most recent of which occurred during the recession that began in December 2007. Coincident with these observed declines in nominal spending are declines in the quantity of transaction assets and real output, where the former are defined as financial assets that also serve as a medium of exchange. We argue that the co-movement evident in the data is the result of transaction asset shortages. In particular, we develop a model in which transaction asset shortages result from shocks to the resalability, or liquidity, of privately produced assets. We estimate the model using Bayesian techniques. The estimated impulse response functions show evidence of the co-movement between nominal GDP, real GDP, and the supply of transaction assets that are known to occur during declines in aggregate nominal spending. We also show that the decline in nominal GDP that occurred in 2008 coincides with a large, sudden decline in the resalability of private assets.","PeriodicalId":376562,"journal":{"name":"ERN: Central Banks - Impacts (Topic)","volume":"255 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-04-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116374646","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
Bridging the Gap between Investment Banking Architecture and Distributed Ledgers 弥合投资银行架构和分布式账本之间的差距
ERN: Central Banks - Impacts (Topic) Pub Date : 2017-03-22 DOI: 10.2139/ssrn.2939281
M. Walker
{"title":"Bridging the Gap between Investment Banking Architecture and Distributed Ledgers","authors":"M. Walker","doi":"10.2139/ssrn.2939281","DOIUrl":"https://doi.org/10.2139/ssrn.2939281","url":null,"abstract":"This paper argues that a hybrid approach that includes elements of Big Data/Analytics with the “nudges” of behavioural economics can help banks tackle one of the major causes of their problems in implementing large-scale change: complexity. Complexity makes organisations (and systems) hard to measure, hard to understand and, consequently, hard to change. DLT, combined with Big Data, has the potential to replace the transparency and feedback loops that are missing in complex organisations. With those in place there is the potential to “nudge” organisations towards the standardisation and behavioural change, which would ultimately reduce costs and operational risk.","PeriodicalId":376562,"journal":{"name":"ERN: Central Banks - Impacts (Topic)","volume":"97 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-03-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124831759","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
Economic Crises and the Eligiblity for the Lender of Last Resort: Evidence from 19th Century France 经济危机与最后贷款人资格:来自19世纪法国的证据
ERN: Central Banks - Impacts (Topic) Pub Date : 2017-02-24 DOI: 10.2139/ssrn.2925720
V. Bignon, C. Jobst
{"title":"Economic Crises and the Eligiblity for the Lender of Last Resort: Evidence from 19th Century France","authors":"V. Bignon, C. Jobst","doi":"10.2139/ssrn.2925720","DOIUrl":"https://doi.org/10.2139/ssrn.2925720","url":null,"abstract":"This paper shows that a central bank can more efficiently mitigate economic crises when it broadens eligibility for its discount facility to any safe asset or solvent agent. We use difference-in-differences panel regressions and emulate crises by studying how defaults of banks and non-agricultural firms were affected by the arrival of an agricultural disease. We exploit the specificities of the implementation of the discount window to deal with the endogeneity of the access to the central bank to the arrival of the crisis and local default rates. We find that broad eligibility reduced significantly the increase in the default rate when the shock hit the local economy. A counterfactual exercise shows that defaults would have been 10% to 15% higher if the central bank would have implemented the strictest eligibility rule. This effect is identified independently of changes in policy interest rates and the fiscal deficit.","PeriodicalId":376562,"journal":{"name":"ERN: Central Banks - Impacts (Topic)","volume":"79 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-02-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114882881","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
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