LIBROS DEL AUTOR: international journal of central banking

9 resultados para LIBROS DEL AUTOR: international journal of central banking

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  • Optimal Economic Transparency
    Carl E. Walsh / International Journal of Central Banking
    In this paper, I explore the optimal extent to which the central bank should disseminate information among private agents. Individual firms are assumed to have diverse private information, and the central bank provides public information either implicitly, by setting its policy instrument, or explicitly, by making announcements about its short-run targets. The optimal degree of...
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  • Crash Testing German Banks
    Klaus Duellmann / Martin Erdelmeier / International Journal of Central Banking
    In this paper we stress-test credit portfolios of twenty-eight German banks based on a Merton-type multifactor credit-risk model. The stress scenario is an economic downturn in the automobile sector. Although the percentage of loans in the automobile sector is relatively low for all banks in the sample, the expected loss conditional on the stress event increases substantially b...
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  • The Financial Market Effects of the Federal Reserve’s Large-Scale Asset Purchases
    Joseph Gagnon / Julie Remache / International Journal of Central Banking
    Since December 2008, the Federal Reserve’s traditional policy instrument, the target federal funds rate, has been effectively at its lower bound of zero. In order to further ease the stance of monetary policy as the economic outlook deteriorated, the Federal Reserve purchased substantial quantities of assets with medium and long maturities. In this paper, we explain how these p...
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  • Limitations on the Effectiveness of Forward Guidance at the Zero Lower Bound
    Andrew Levin / Federal Reserve Board / International Journal of Central Banking
    The recent literature on monetary policy in the presence of a zero lower bound on interest rates has shown that forward guidance regarding the path of interest rates can be very effective in preserving macroeconomic stability in the face of a contractionary demand shock; moreover, that literature apparently leaves little scope for any further improvements in stabilization perfo...
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  • Contagion in the Interbank Market With Stochastic Loss Given Default
    Angelika Sachs / Christoph Memmel / International Journal of Central Banking
    This paper investigates contagion in the German interbank market under the assumption of a stochastic loss given default (LGD). We combine a unique data set about the LGD of interbank loans with detailed data about interbank exposures. We find that the frequency distribution of the LGD is markedly U-shaped. Our simulations show that contagion in the German interbank market may ...
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  • Instability and Nonlinearity in the Euro-Area Phillips Curve
    Alberto Musso / Livio Stracca / International Journal of Central Banking
    This paper provides a comprehensive analysis of the functional form of the euro-area Phillips curve over the past three decades. In particular, compared with previous literature, we analyze the stability of the relationship in detail, especially as regards the possibility of a time-varying mean of inflation. Moreover, we conduct a sensitivity analysis across different measures ...
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  • The Financial Market Impact of Quantitative Easing in the United Kingdom
    Michael A.S. Joyce / Bank of England / International Journal of Central Banking
    This paper investigates the impact of the Bank of England’s quantitative easing policy on UK asset prices. Based on analysis of the reaction of financial market prices and model-based estimates, we find that asset purchases financed by the issuance of central bank reserves - which by February 2010 totalled £200 billion - may have depressed medium to longterm government bond yie...
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    14,74 €

  • Inflation Targeting and Target Instability
    Robert J. Tetlow / International Journal of Central Banking
    Monetary policy is modeled as being governed by a known rule, except for a time-varying target rate of inflation. The variable target can be thought of either as standing in for discretionary deviations from the rule or as the outcome of a policymaking committee that is unable to arrive at a consensus. Stochastic simulations of FRB/US, the Board of Governors’ large rational-exp...
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  • Transparency, Disclosure, and the Federal Reserve
    Marcel Fratzscher / Michael Ehrmann / International Journal of Central Banking
    This paper provides an assessment of central bank transparency for the efficiency of monetary policy implementation, using the introduction of balance-of-risks assessments by the Federal Reserve as a testing device. We find that markets anticipated monetary policy decisions equally well under this new disclosure regime as before, but arrived at their expectations differently. N...
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    14,72 €