Selected Reference and Reading Materials compiled by Dan Villanueva


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Record ID

426     [ Page 26 of 68, No. 1 ]

Date

2013-10

Author

John C. Williams

Affiliation

President and CEO, Federal Reserve Bank of San Francisco

Title

Lessons from the Financial Crisis for Unconventional Monetary Policy

Summary /
Abstract

Panel discussion at the NBER Conference

Keywords

Financial crisis, unconventional monetary policy

URL

http://www.frbsf.org/our-district/press/presidents-speeches/williams-speeches/2013/october/research-unconventional-monetary-policy-financial-crisis/Williams-Lessons-from-the-Financial-Crisis-for-Unconventional-Monetary-Policy.pdf



Record ID

425     [ Page 26 of 68, No. 2 ]

Date

2013-03

Author

Eric S. Rosengren

Affiliation

President and Chief Executive Officer, Federal Reserve Bank of Boston

Title

Monetary policy and financial stability

Summary /
Abstract

Remarks by Eric S. Rosengren, President and Chief Executive Officer, Federal Reserve Bank of Boston, to the Business and Industry Association of New Hampshire and the New Hampshire Bankers Association, Saint Anselm College, Manchester, New Hampshire, March 27, 2013.

Keywords

Monetary policy, financial stability

URL

http://www.bostonfed.org/news/speeches/rosengren/2013/032713/032713text.pdf



Record ID

424     [ Page 26 of 68, No. 3 ]

Date

2013-09

Author

Pierre-Richard Agénor and Luiz A. Pereira da Silva

Affiliation

Banco Central do Brasil

Title

Inflation Targeting and Financial Stability: A Perspective from the Developing World

Summary /
Abstract

This paper discusses recent experiences with inflation targeting (IT), the challenges that it faces since the global financial crisis, and ways to address them. The discussion is conducted from the perspective of upper middle-income countries (MICs). As background for the analysis, the second part provides a review of financial systems in MICs (with a focus on the role of bank credit), the extent to which exposure to capital flows affect economic stability in these countries, and the link between excessive credit growth and financial crises. The third and fourth parts review the main features and evidence on the performance of IT regimes in MICs. The fifth part discusses a number of challenges that IT faces, including fiscal dominance, fear of floating, imperfect credibility, and with respect to an explicit financial stability objective assigned to monetary policy. The issue of complementarity between macroprudential regulation and monetary policy, in the context of an “integrated” IT (or IIT) regime, is taken up next. The nature of monetary policy rules in an IIT regime, and their practical implementation, is also discussed. Our analysis suggests that there are robust arguments to support the view that in an IIT regime monetary policy should react in a state contingent fashion to a credit gap measure – and possibly to the real exchange rate – to address the time-series dimension of systemic risk. However, monetary policy and macroprudential policy are largely complementary instruments. They must be calibrated jointly, in the context of macroeconomic models that account for the type of credit market imperfections observed in MICs and for the fact that macroprudential regimes may affect in substantial ways the monetary transmission mechanism.

Keywords

Inflation targeting; Monetary policy; International finance; Developing countries

URL

http://www.bcb.gov.br/pec/wps/ingl/wps324.pdf



Record ID

423     [ Page 26 of 68, No. 4 ]

Date

2013-09

Author

Greene, William H.; Gillman, Max; Harris, Mark; and Spencer, Christopher

Affiliation

New York University, University of Missouri, Curtin University, and Loughborough University

Title

The Tempered Ordered Probit (TOP) Model with an Application to Monetary Policy

Summary /
Abstract

We propose a Tempered Ordered Probit (TOP) model. Our contribution lies not only in explicitly accounting for an excessive number of observations in a given choice category - as is the case in the standard literature on inflated models; rather, we introduce a new econometric model which nests the recently developed Middle Inflated Ordered Probit (MIOP) models of Bagozzi and Mukherjee (2012) and Brooks, Harris, and Spencer (2012) as a special case, and further, can be used as a specification test of the MIOP, where the implicit test is described as being one of symmetry versus asymmetry. In our application, which exploits a panel data-set containing the votes of Bank of England Monetary Policy Committee (MPC) members, we show that the TOP model affords the econometrician considerable flexibility with respect to modeling the impact of different forms of uncertainty on interest rate decisions. Our findings, we argue, reveal MPC members. asymmetric attitudes towards uncertainty and the changeability of interest rates.

Keywords

Monetary policy committee, voting, discrete data, uncertainty, tempered equations

URL

http://hermes-ir.lib.hit-u.ac.jp/rs/bitstream/10086/25891/1/wp2013-4.pdf



Record ID

422     [ Page 26 of 68, No. 5 ]

Date

2013-11

Author

Dave Reifschneider, William Wascher and David Wilcox

Affiliation

Divisions of Research & Statistics and Monetary Affairs, Federal Reserve Board

Title

Aggregate supply in the United States: recent developments and implications for the conduct of monetary policy

Summary /
Abstract

The recent financial crisis and ensuing recession appear to have put the productive capacity of the economy on a lower and shallower trajectory than the one that seemed to be in place prior to 2007. Using a version of an unobserved components model introduced by Fleischman and Roberts (2011), we estimate that potential GDP is currently about 7 percent below the trajectory it appeared to be on prior to 2007. We also examine the recent performance of the labor market. While the available indicators are still inconclusive, some indicators suggest that hysteresis should be a more present concern now than it has been during previous periods of economic recovery in the United States. We go on to argue that a significant portion of the recent damage to the supply side of the economy plausibly was endogenous to the weakness in aggregate demand—contrary to the conventional view that policymakers must simply accommodate themselves to aggregate supply conditions. Endogeneity of supply with respect to demand provides a strong motivation for a vigorous policy response to a weakening in aggregate demand, and we present optimal-control simulations showing how monetary policy might respond to such endogeneity in the absence of other considerations. We then discuss how other considerations--such as increased risks of financial instability or inflation instability--could cause policymakers to exercise restraint in their response to cyclical weakness.

Keywords

Aggregate supply, monetary policy

URL

http://www.federalreserve.gov/pubs/feds/2013/201377/201377pap.pdf



Record ID

421     [ Page 26 of 68, No. 6 ]

Date

2013-11

Author

William B. English, J. David López-Salido and Robert J. Tetlow

Affiliation

Divisions of Research & Statistics and Monetary Affairs, Federal Reserve Board

Title

The Federal Reserve's framework for monetary policy - recent changes and new questions

Summary /
Abstract

In recent years, the Federal Reserve has made substantial changes to its framework for monetary policymaking by providing greater clarity regarding its objectives, its intentions regarding the use of monetary policy--including nontraditional policy tools such as forward guidance and asset purchases--in the pursuit of those objectives, and its broader policy strategy. These changes reflected both a response to changes in economists' understanding of the most effective way to implement monetary policy and a response to specific challenges posed by the financial crisis and its aftermath, particularly the effective lower bound on nominal interest rates. We trace the recent evolution of the Federal Reserve's framework, and use a small-scale macro model and a simple static model to help illuminate the approaches taken with nontraditional monetary policy tools. A number of foreign central banks have made similar innovations in response to similar developments. On balance, the Federal Reserve has moved closer to "flexible inflation targeting," but the Federal Reserve's approach includes a balanced focus on two objectives and the use of a flexible horizon over which policy aims to foster those objectives. Going forward, further changes in central banks' frameworks may be needed to address issues raised by the financial crisis. For example, some have suggested that the sustained period at the effective lower bound points to the need for central banks to establish a different policy objective, such as a higher inflation target or a nominal income target. We use our small-scale model of the U.S. economy to examine the potential benefits and costs of such changes. We also discuss the broad issue of how central banks should integrate financial stability policy and monetary policy.

Keywords

Forward guidance, asset purchase. flexible inflation targeting

URL

http://www.federalreserve.gov/pubs/feds/2013/201376/201376pap.pdf



Record ID

420     [ Page 26 of 68, No. 7 ]

Date

2013-11

Author

Dennis P. J. Botman, Irineu E. Carvalho Filho, and Raphael W. Lam

Affiliation

Asia and Pacific Department, IMF

Title

The Curious Case of the Yen as a Safe Haven Currency: A Forensic Analysis

Summary /
Abstract

During risk-off episodes, the yen is a safe haven currency and on average appreciates against the U.S. dollar. We investigate the proximate causes of yen risk-off appreciations. We find that neither capital inflows nor expectations of the future monetary policy stance can explain the yen’s safe haven behavior. In contrast, we find evidence that changes in market participants’ risk perceptions trigger derivatives trading, which in turn lead to changes in the spot exchange rate without capital flows. Specifically, we find that risk-off episodes coincide with forward hedging and reduced net short positions or a buildup of net long positions in yen. These empirical findings suggest that offshore and complex financial transactions should be part of spillover analyses and that the effectiveness of capital flow management measures or monetary policy coordination to address excessive exchange rate volatility might be limited in certain cases.

Keywords

Safe Haven, Yen Volatility, Capital Flows, Derivatives

URL

http://www.imf.org/external/pubs/ft/wp/2013/wp13228.pdf



Record ID

419     [ Page 26 of 68, No. 8 ]

Date

2013-10

Author

Dominic Quint and Pau Rabanal

Affiliation

Institute for Capacity Development, IMF

Title

Monetary and Macroprudential Policy in an Estimated DSGE Model of the Euro Area

Summary /
Abstract

In this paper, we study the optimal mix of monetary and macroprudential policies in an estimated two-country model of the euro area. The model includes real, nominal and financial frictions, and hence both monetary and macroprudential policy can play a role. We find that the introduction of a macroprudential rule would help in reducing macroeconomic volatility, improve welfare, and partially substitute for the lack of national monetary policies. Macroprudential policy would always increase the welfare of savers, but their effects on borrowers depend on the shock that hits the economy. In particular, macroprudential policy may entail welfare costs for borrowers under technology shocks, by increasing the countercyclical behavior of lending spreads.

Keywords

Monetary Policy, EMU, Basel III, Financial Frictions.

URL

http://www.imf.org/external/pubs/ft/wp/2013/wp13209.pdf



Record ID

418     [ Page 26 of 68, No. 9 ]

Date

2013-10

Author

Daniela Prates and Barbara Fritz

Affiliation

Instituto de Economia, Universidade de Campinas, Brasil and Institute for Latin American Studies, FreieUniversität Berlin, Germany

Title

Beyond capital controls: the regulation of foreign currency derivatives markets in South Korea and Brazil after the global financial crisis

Summary /
Abstract

Besides the management of capital flows, some emerging economies have been facing policy dilemmas related to foreign (nonresident) and domestic (residents) operations of Foreign Currency (FX) derivatives in the post-global crisis setting. In a context of abundant liquidity and historical low interest rates in the advanced economies, searching for yield foreign investors as well as domestic agents generally obtain huge profits, through these markets, from the interest rate differentials between advanced and emerging economies. Yet, the regulation of FX derivatives in the emerging economies has not received due attention both in the academic literature and in the international financial institutions, even though these could be crucial for the emerging economies with high degree of financial openness and liquid as well as deep FX derivatives markets, such as Brazil and South Korea. The paper aims at analyzing the Brazilian and Korean approach for FX derivatives regulation after the global financial crisis. Therefore, it seeks to contribute to the debate on financial regulation brought about by the global crisis. The two cases show the relevance of the institutional features of FX derivatives market for the drawing of the financial regulatory toolkit. In the case of Brazil we found that a third type of financial regulation, which we have labeled as FX derivative regulation, was needed to curb the currency appreciation trend, along with capital controls and traditional prudential financial regulations.

Keywords

Foreign Currency derivatives regulation, capital flows, capital controls, prudential regulation

URL

http://finance-and-trade.htw-berlin.de/fileadmin/working_paper_series/wp_07_2013_Prates_Fritz_Beyond_Capital_Controls.pdf



Record ID

417     [ Page 26 of 68, No. 10 ]

Date

2013-06

Author

Valentina Bruno and Hyun Song Shin

Affiliation

American University and Princeton University

Title

Assessing Macroprudential Policies: Case of Korea

Summary /
Abstract

This paper develops methods for assessing the sensitivity of capital flows to global financial conditions, and applies the methods in assessing the impact of macroprudential policies introduced by Korea in 2010. Relative to a comparison group of countries, we find that the sensitivity of capital flows into Korea to global conditions decreased in the period following the introduction of macroprudential policies.

Keywords

Capital flows, credit booms, macroprudential policy

URL

http://www.tcmb.gov.tr/yeni/konferans/Required_Reserves/Reserve_Requirements_files/Hyun_Song_Shin-paper2.pdf



Total records: 676 | Select no. of records per page: 10 | 20 | 30 | 50 | 100 | Show all | Search
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