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Forecasting the Direction of Policy Rate Changes: The Importance of ECB Words 预测政策利率变化的方向:欧洲央行言论的重要性
Wiley-Blackwell: Economic Notes Pub Date : 2009-10-08 DOI: 10.1111/j.1468-0300.2009.00209.x
Carlo Rosa
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引用次数: 39
The Impact of a Disorderly Resolution of Global Imbalances on Global Wealth 无序解决全球失衡对全球财富的影响
Wiley-Blackwell: Economic Notes Pub Date : 2008-11-01 DOI: 10.1111/j.1468-0300.2008.00201.x
Francis E. Warnock
{"title":"The Impact of a Disorderly Resolution of Global Imbalances on Global Wealth","authors":"Francis E. Warnock","doi":"10.1111/j.1468-0300.2008.00201.x","DOIUrl":"https://doi.org/10.1111/j.1468-0300.2008.00201.x","url":null,"abstract":"Partly reflecting structural advantages such as liquidity and strong investor protection, foreigners have built up extremely large positions in US (as well as other dollar-denominated) financial assets. This paper describes the impact on global wealth of an unanticipated shock to US financial markets. For every 10 per cent decline in the dollar, US equity markets, and US bond markets, total wealth losses to foreigners could amount to about 5 percentage points of foreign GDP. Four stylized facts emerge: (i) foreign countries, particularly emerging markets, are more exposed to US bonds than to US equities; (ii) over time US exposure has increased for most countries; (iii) on average, US asset holdings of developed countries and emerging markets (scaled by GDP) are very similar; and (iv) based on their reserves position alone, wealth losses of emerging market governments could on average amount to about 2¾ percentage points of their GDP.","PeriodicalId":446270,"journal":{"name":"Wiley-Blackwell: Economic Notes","volume":"22 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"118947729","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
Are Central Bank Preferences Asymmetric? A Comment 央行偏好是否不对称?一个评论
Wiley-Blackwell: Economic Notes Pub Date : 2008-02-01 DOI: 10.1111/j.1468-0300.2008.00191.x
P. Minford, N. Srinivasan
{"title":"Are Central Bank Preferences Asymmetric? A Comment","authors":"P. Minford, N. Srinivasan","doi":"10.1111/j.1468-0300.2008.00191.x","DOIUrl":"https://doi.org/10.1111/j.1468-0300.2008.00191.x","url":null,"abstract":"A recent paper by Ruge-Murcia (2004) on asymmetric central bank objectives provides a new perspective on the policy roots of inflation in developed economies. More precisely, the paper demonstrates that if the distribution of the supply shocks is normal, then the reduced-form solution for inflation implies a positive (or negative) relation between average inflation and the variance of shocks. We argue that the evidence offered in support of this hypothesis suffers from lack of identification because Phillips curve nonlinearity combined with quadratic central bank preferences yield the same reduced-form solution for inflation. If so, estimating reduced form for inflation will not be able to discriminate between these models. Yet they have quite different implications for policy. Other, structural, evidence is needed.","PeriodicalId":446270,"journal":{"name":"Wiley-Blackwell: Economic Notes","volume":"37 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"120535319","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: 6
Interest Rates, Stock Returns and Credit Spreads: Evidence from German Eurobonds 利率、股票回报和信贷息差:来自德国欧元债券的证据
Wiley-Blackwell: Economic Notes Pub Date : 2005-01-01 DOI: 10.2139/ssrn.552682
N. Wagner, W. Hogan, J. Batten
{"title":"Interest Rates, Stock Returns and Credit Spreads: Evidence from German Eurobonds","authors":"N. Wagner, W. Hogan, J. Batten","doi":"10.2139/ssrn.552682","DOIUrl":"https://doi.org/10.2139/ssrn.552682","url":null,"abstract":"We investigate daily variations in credit spreads on investment-grade Deutschemark-denominated Eurobonds during the challenging 1994-1998 period. Empirical results from a Longstaff and Schwartz (1995) two-factor regression, extended for correlated spread changes and heteroskedasticity, indicate strong persistence in spread changes. Consistent with theory and previous findings, changes in spreads are significantly negatively related to the term-structure level while, contrary to theory, the proxy for asset value does not yield a significant negative contribution. We even find a significant positive relation for Eurobonds with long maturity. Tentative interpretations are portfolio-rebalancing activities or differing risk factor sensitivities on short- vs. long-maturity bonds. Copyright Banca Monte dei Paschi di Siena SpA, 2005","PeriodicalId":446270,"journal":{"name":"Wiley-Blackwell: Economic Notes","volume":"6 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2005-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127485770","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: 14
Does Trade Credit Substitute Bank Credit? Evidence from Firm-Level Data 贸易信用取代银行信用?来自公司层面数据的证据
Wiley-Blackwell: Economic Notes Pub Date : 2003-08-01 DOI: 10.2139/ssrn.880196
G. de Blasio
{"title":"Does Trade Credit Substitute Bank Credit? Evidence from Firm-Level Data","authors":"G. de Blasio","doi":"10.2139/ssrn.880196","DOIUrl":"https://doi.org/10.2139/ssrn.880196","url":null,"abstract":"The paper examines micro data on Italian manufacturing firms' inventory behaviour to test the Meltzer (1960) hypothesis according to which firms substitute bank credit with trade credit (TC) during money tightening. We find that inventory investment of Italian manufacturing firms is constrained by their availability of TC and that this effect more than doubles during monetary restrictions. As for the magnitude of the substitution effect, however, we find that it is not sizeable. This is in line with the micro theories of TC and the evidence on actual firm practices, according to which credit terms display modest variations over time.","PeriodicalId":446270,"journal":{"name":"Wiley-Blackwell: Economic Notes","volume":"18 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2003-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"117012382","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
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