Selected Reference and Reading Materials compiled by Dan Villanueva


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Record ID

206     [ Page 48 of 68, No. 1 ]

Date

2011

Author

Magdalena Szyszko

Affiliation

National Bank of Poland

Title

The interdependences of central bank’s forecasts and economic agents inflation expectations: Empirical study

Summary /
Abstract

This paper focuses on the associations between the inflation forecasts of the central bank and inflation expectations of the households. The first part is of a descriptive nature. It gives the theoretical background of modern monetary policy focusing on the role of expectations. It also presents the idea of inflation forecast targeting. Then the framework of the inflation forecast targeting in four countries, the Czech Republic, Hungary, Poland and Romania, is presented. The empirical part of the study is an attempt to find associations between the inflation forecasts results and inflation expectations of consumers derived on the basis of surveys. The theory gives sound background for the existence of such relationships.The interdependences are tested in several ways. The last part of the paper focuses on the results and conclusions.

Keywords

Inflation forecasts, inflation forecasts targeting, inflation expectations

URL

http://d.repec.org/n?u=RePEc:nbp:nbpmis:105&r=mon



Record ID

205     [ Page 48 of 68, No. 2 ]

Date

2010-12

Author

Hernando Vargas Herrera, Yanneth R Betancourt, Carlos Varela and Norberto Rodríguez

Affiliation

Respectively, Deputy Governor and staff members of the Economic Studies Subdirectorate at the Banco de la República, Colombia

Title

Effects of reserve requirements in an inflation targeting regime: the case of Colombia

Summary /
Abstract

RRs have been used in Colombia under an IT regime with different objectives. In 2007, RR increases were aimed at speeding up monetary policy transmission and curbing excessive credit growth. In 2008, RRs were again raised to sterilise part of the monetary expansion resulting from international reserve purchases. Later that year, they were reduced to ensure the provision of adequate liquidity in the context of heightened uncertainty brought about by the Lehman Brothers crisis.

The effects of RRs on interest rate and interest rate pass-through in an IT regime are not as straightforward as those under a monetary targeting regime. Conceptually, those effects depend on the degree of substitution between deposits and central bank credit as sources of bank funding and on the extent to which RR changes affect the risks facing banks. The empirical results for Colombia suggest that RRs are important long-term determinants of business loan interest rates and have been effective in strengthening the pass-through from policy to deposit and lending interest rates.

These findings support the use of RRs as a policy instrument in an IT regime in terms of their effectiveness in reinforcing monetary policy transmission. These benefits must be contrasted with the fact that RRs are costly taxes on financial intermediation and may be too blunt a tool to fine-tune the adjustment of credit markets or aggregate demand. Hence, their use is justified when policymakers perceive that standard, less costly policy instruments are deemed insufficient to maintain price or financial stability.

The empirical models used to assess the impact of RRs on interest rates were also exploited to characterise other features of the dynamics of interest rate pass-through. For Colombia, policy rate transmission seems to be asymmetric, with rate drops generating larger responses of market rates than policy rate increases. Moreover, a low NCP of the central bank with the financial system appears to weaken the transmission of policy rates to CD and short-term lending interest rates.

Keywords

Reserve requirements, inflation targeting

URL

http://www.bis.org/publ/bppdf/bispap54i.pdf



Record ID

204     [ Page 48 of 68, No. 3 ]

Date

2011-05

Author

Stefan Ingves

Affiliation

Governor, Sveriges Bank

Title

Flexible inflation targeting in theory and practice

Summary /
Abstract

Let me round off. I would guess that many of you here today are used to seeing monetary policy through an academic’s eyes. When you hear the term monetary policy you may first and foremost associate it with the theoretical framework – the way that monetary policy is often portrayed in textbooks and scientific articles. Others of you may think instead of the more conventional, day-to-day image of monetary policy given in the media, with a focus on the Riksbank’s interest rate changes and possible disagreement among the Executive Board.

One might say that these two images in some way represent the start and finish of the monetary policy process. When an interest rate decision is to be made, the process starts in one way or another with the simple theoretical framework. As I noted earlier, this captures fairly well the intuition behind flexible inflation targeting – that a well-balanced monetary policy concerns finding a suitable balance between stabilising inflation and stabilising the real economy. Each of us involved in making the policy rate decision has some version of the theoretical framework in our head, even if it is probably often fairly implicit. At the other end of the process is the media image, with concrete repo rate decisions.
The basic question is how we can best go from the simple theoretical analysis into actual policy. There is a balancing act to achieve here: On the one hand, one wants to retain sufficient clarity and structure in the process as given by the theoretical framework. But on the other hand, one does not want to provide an overly simple and thereby perhaps misleading picture of monetary policy and the deliberations that we have to make in practice.

What I have talked about here today concerns the link between theory and practice, and more specifically why the connections between them are not so simple. The interesting but difficult challenges faced when going from theoretical analysis to practical policy are something the Riksbank – and presumably also other central banks – spends a lot of time and energy managing. These challenges may not be so well-known outside of the central bank world and I hope that I have now been able to provide some insight into them.

Keywords

Inflation targeting, theory and policy

URL

http://www.bis.org/review/r110517c.pdf?frames=0



Record ID

203     [ Page 48 of 68, No. 4 ]

Date

1998-10

Author

Athanasios Orphanides

Affiliation

Board of Governors of the Federal Reserve System

Title

Monetary Policy Evaluation With Noisy Information

Summary /
Abstract

This paper investigates the implications of noisy information regarding the measurement of economic activity for the evaluation of monetary policy. A common implicit assumption in such evaluations is that policymakers observe the current state of the economy promptly and accurately and can therefore adjust policy based on this information. However, in reality, decisions are made in real time when there is considerable uncertainty about the true state of a airs in the economy. Policy must be made with partial information. Using a simple model of the U.S. economy, I show that failing to account for the actual level of information noise in the historical data provides a seriously distorted picture of feasible macroeconomic outcomes and produces inecient policy rules. Naive adoption of policies identi ed as ecient when such information noise is ignored results in macroeconomic performance worse than actual experience. When the noise content of the data is properly taken into account, policy reactions are cautious and less sensitive to the apparent imbalances in the un ltered data. The resulting policy prescriptions reflect the recognition that excessively activist policy can increase rather than decrease economic instability.

Keywords

Policy evaluation, interest rate rules, data revisions, real-time data, optimal control, observation noise, inflation targeting.

URL

http://www.federalreserve.gov/pubs/feds/1998/199850/199850pap.pdf

Remarks

The author is currently Governor, Central Bank of Cyprus.



Record ID

202     [ Page 48 of 68, No. 5 ]

Date

2011-12

Author

Jon Christensson, Kenneth Spong, and Jim Wilkinson

Affiliation

Federal Reserve Bank of Kansas City

Title

What can financial stability reports tell us about macroprudential supervision?

Summary /
Abstract

Many countries have suggested macroprudential supervision as a means for earlier identification and better control of the risks that might lead to a financial crisis. Since macroprudential supervision would focus on the financial system in its entirety and on major risks that could threaten financial stability, it shares many of the same goals as the financial stability reports written by most central banks. This article examines the financial stability reports of five central banks to assess how effective they were in identifying the problems that led to the recent financial crisis and what implications they might have for macroprudential supervision. ; The financial stability reports in these five countries were generally successful in foreseeing the risks that contributed to the crisis, but the reports underestimated the severity of the crisis and did not fully anticipate the timing and pattern of important events. While the stress tests in these reports provided insights into the resiliency and capital needs of the banks in these countries, the stresses and scenarios tested often differed from what actually occurred and some of the reports did not consider them to be likely events. One other major challenge for the central banks was in taking the concerns expressed in financial stability reports and linking them to effective and timely supervisory policy. Overall, the reports were a worthwhile exercise in identifying and monitoring key financial trends and emerging risks, but they also indicate the significant challenges macroprudential supervision will have in anticipating and addressing financial market disruptions

Keywords

Macroprudential supervision, financial stability reports, financial crisis, banks

URL

http://d.repec.org/n?u=RePEc:fip:fedkrw:rwp11-15&r=ban



Record ID

201     [ Page 48 of 68, No. 6 ]

Date

2011-12

Author

Tobias Adrian, Paolo Colla, and Hyun Song Shin

Affiliation

Federal Reserve Bank of New York

Title

Which financial frictions? parsing the evidence from the financial crisis of 2007-09

Summary /
Abstract

We provide an overview of data requirements necessary to monitor repurchase agreements (repos) and securities lending (sec lending) markets for the purposes of informing policymakers and researchers about firm-level and systemic risk. We start by explaining the functioning of these markets, and argue that it is crucial to understand the institutional arrangements. Data collection is currently incomplete. A comprehensive collection should include six characteristics of repo and sec lending trades at the firm level: principal amount, interest rate, collateral type, haircut, tenor, and counterparty.

Keywords

Financial intermediation, credit supply

URL

http://d.repec.org/n?s=http://www.newyorkfed.org/research/staff_reports/sr528.pdf



Record ID

200     [ Page 48 of 68, No. 7 ]

Date

2012-01

Author

František Brázdik, Michal Hlaváček, and Aleš Maršál

Affiliation

Czech National Bank

Title

Survey of Research on Financial Sector Modeling within DSGE Models: What Central Banks Can Learn from It

Summary /
Abstract

This survey gives insight into the ongoing research in financial frictions modeling. The recent financial turmoil has fueled interest in operationalizing financial frictions concepts and introducing them into tools for policy makers. The rapid growth of the literature on these issues is the motivation for our review of the presented approaches. The empirical facts that motivate the inclusion of financial frictions are surveyed. This survey provides a description of the basic approaches for introducing financial frictions into dynamic stochastic general equilibrium models. The significance and empirical identification of the financial accelerator effect is then discussed. The role of financial frictions models in CNB monetary and macroprudential policy is also described. It is concluded that given the heterogeneity of the approaches to financial frictions it is beneficial for the conduct of monetary policy to focus on the development of satellite approaches. The role of financial frictions in DSGE models for macroprudential policy is also discussed, as these models can be used to generate stress-testing scenarios. It can be concluded that DSGE models with financial frictions could complement current stress-testing practice, but are not able to replace stress tests.

Keywords

DSGE models, financial accelerator, financial frictions.

URL

http://www.cnb.cz/en/research/research_publications/irpn/download/rpn_3_2011.pdf



Record ID

199     [ Page 48 of 68, No. 8 ]

Date

2012-01

Author

Sami Ben Mim and Mohamed Sami Ben Ali

Affiliation

University of Monastir and IHEC Business School of Sousse, University of Sousse

Title

Through Which Channels Can Remittances Spur Economic Growth in MENA Countries?

Summary /
Abstract

This paper studies the remittances’ effect on economic growth. Using panel data techniques, the authors estimate several specifications to provide support of such relationship for MENA countries over the period 1980–2009. The findings provide new robust evidence on how remittances are used in MENA countries and show the main channels which may interfere in this process. Estimation outcomes show that the most important part of remittances is consumed and that remittances stimulate growth only when they are invested. Moreover, empirical results suggest that remittances can enhance growth by encouraging human capital accumulation. Human capital is therefore an effective channel through which remittances stimulate growth in MENA countries.

Keywords

Workers' remittances, economic growth, panel data, MENA zone

URL

https://docs.google.com/viewer?a=v&pid=gmail&attid=0.1&thid=135184af44f5cede&mt=application/pdf&url=https://mail.google.com/mail/?ui%3D2%26ik%3Deef2a3d00e%26view%3Datt%26th%3D135184af44f5cede%26attid%3D0.1%26disp%3Dsafe%26zw&sig=AHIEtbRLr3fn43phz_r52DF29I



Record ID

198     [ Page 48 of 68, No. 9 ]

Date

2012-01

Author

Roger, Scott and Vlcek, Jan

Affiliation

International Monetary Fund

Title

Macrofinancial Modeling at Central Banks: Recent Developments and Future Directions

Summary /
Abstract

This paper surveys dynamic stochastic general equilibrium models with financial frictions in use by central banks and discusses priorities for future development of such models for the purpose of monetary and financial stability analysis. It highlights the need to develop macrofinancial models which allow analysis of the macroeconomic effects of macroprudential policy tools and to evaluate elements of the Basel III reforms as a priority. The paper also reviews the main approaches to introducing financial frictions into general equilibrium models.

Keywords

Monetary policy analysis, financial frictions, macroeconomic modeling

URL

http://www.imf.org/external/pubs/ft/wp/2012/wp1221.pdf



Record ID

197     [ Page 48 of 68, No. 10 ]

Date

2011-09

Author

Claudio Borio

Affiliation

Head, Research and Policy Analysis, BIS

Title

Central banking post-crisis: What compass for uncharted waters?

Summary /
Abstract

The global financial crisis has shaken the foundations of the deceptively comfortable pre-crisis central banking world. Central banks face a threefold challenge: economic, intellectual and institutional. This essay puts forward a compass to help central banks sail in the largely uncharted waters ahead. The compass is based on tighter integration of the monetary and financial stability functions, keener awareness of the global dimensions of those tasks, and stronger safeguards for an increasingly vulnerable central bank operational independence.

Keywords

Central banking, monetary and financial stability, macroprudential, own-house-in-order doctrine, operational independence

URL

http://www.bis.org/publ/work353.pdf



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