Selected Reference and Reading Materials compiled by Dan Villanueva


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Record ID

196     [ Page 49 of 68, No. 1 ]

Date

2011-11

Author

Adam Gersl and Jakub Seidler

Affiliation

Czech National Bank

Title

Credit Growth and Capital Buffers: Empirical Evidence from Central and Eastern European Countries

Summary /
Abstract

Excessive credit growth is often considered to be an indicator of future problems in the financial sector. This paper examines the issue of how to determine whether the observed level of private sector credit is excessive in the context of the counter-cyclical capital buffer, a macroprudential tool proposed in the new regulatory framework of Basel III by the Basel Committee on Banking Supervision. An empirical analysis of selected Central and Eastern European countries, including the Czech Republic, provides alternative estimates of excessive private credit and shows that the HP filter calculation proposed by the Basel Committee is not necessarily a suitable indicator of excessive credit growth for converging countries.

Keywords

Basel regulation, credit growth, financial crisis countercyclical buffer

URL

http://www.cnb.cz/en/research/research_publications/irpn/download/rpn_2_2011.pdf



Record ID

195     [ Page 49 of 68, No. 2 ]

Date

2011-11

Author

Luis Ignacio Jácome, Tahsin Saadi Sedik, and Simon Townsend

Affiliation

Monetary and Capital Markets Department, IMF

Title

Can Emerging Market Central Banks Bail Out Banks? A Cautionary Tale from Latin America

Summary /
Abstract

This paper investigates whether developing and emerging market countries can implement monetary policies similar to those used by advanced countries during the recent global crisis - injecting significant amounts of money into the financial system without facing major short-run adverse macroeconomic repercussions. Using panel data techniques, the paper analyzes episodes of financial turmoil in 16 Latin American countries during 1995-2007. The results show that developing and emerging market countries should be cautious because injecting money on a large scale into the financial system may fuel further macroeconomic instability, increasing the chances of simultaneous currency crises.

Keywords

Banking crises, central banks, currency crises, financial stability

URL

http://www.imf.org/external/pubs/ft/wp/2011/wp11258.pdf



Record ID

194     [ Page 49 of 68, No. 3 ]

Date

2012-01

Author

Schaechter, Andrea; Alper, C. Emre; Arbatli, Elif; Caceres, Carlos; Callegari, Giovanni; Gerard, Marc ; Jonas, Jiri; Kinda, Tidiane; Shabunina, Anna; and Weber, Anke

Affiliation

Fiscal Affairs Department, IMF

Title

A Toolkit to Assessing Fiscal Vulnerabilities and Risks in Advanced Economies

Summary /
Abstract

This paper presents a range of tools and indicators for analyzing fiscal vulnerabilities and risks for advanced economies. The analysis covers key short-, medium- and long-term dimensions. Short-term pressures are captured by assessing (i) gross funding needs, (ii) market perceptions of default risk, and (iii) stress dependence among sovereigns. Medium- and long-term pressures are summarized by (iv) medium- and long-term budgetary adjustment needs, (v) susceptibility of debt projections to growth and interest rate shocks, and (vi) stochastic risks to medium-term debt dynamics. Aiming to cover a wide range of advanced economies and minimize data lags, has also influenced the selection of empirical methods. Due to these features, they can, for example, help inform the joint IMF-FSB Early Warning Exercise (EWE) on the fiscal dimensions of economic risks.

Keywords

Fiscal vulnerabilities, fiscal risk, fiscal indicators, sustainability

URL

http://www.imf.org/external/pubs/ft/wp/2012/wp1211.pdf



Record ID

193     [ Page 49 of 68, No. 4 ]

Date

2012-01

Author

Harun Alp, Selim Elekdag, and Subir Lall

Affiliation

Asia and Pacific Department, IMF

Title

Did Korean Monetary Policy Help Soften the Impact of the Global Financial Crisis of 2008–09?

Summary /
Abstract

Korea was one of the Asian economies hardest hit by the global financial crisis. Anticipating the downturn that would follow the episode of extreme financial stress, the Bank of Korea (BOK) let the exchange rate depreciate as capital flowed out, and preemptively cut the policy rate by 325 basis points. But did it work? This paper seeks a quantitative answer to the following question: Were it not for an inflation targeting framework underpinned by a flexible exchange rate regime, how much deeper would the recession have been? Taking the most intense year of the crisis as our baseline (2008:Q4–2009:Q3), counterfactual simulations indicate that rather the actual outcome of a –2.1 percent contraction, the outturn would have been –2.9 percent if the BOK had not implemented countercyclical and discretionary interest rate cuts. Furthermore, had a fixed exchange rate regime been in place, simulations indicate that output would have contracted by –7.5 percent over the same four-quarter period. In other words, exchange rate flexibility and the interest rate cuts implemented by the BOK helped substantially soften the impact of the global financial crisis on the Korean economy. These counterfactual experiments are based on an estimated structural model, which, along with standard nominal and real rigidities, includes a financial accelerator mechanism in an open economy framework.

Keywords

Financial accelerator, Bayesian estimation, DSGE model, financial crises, sudden stops, monetary policy, Korea, emerging economies, emerging markets.

URL

http://www.imf.org/external/pubs/ft/wp/2012/wp1205.pdf



Record ID

192     [ Page 49 of 68, No. 5 ]

Date

2011-12

Author

Peter Sinclair

Affiliation

University of Birmingham

Title

Inflation Targeting Dilemmas

Summary /
Abstract


This paper poses, and then attempts to answer, eleven questions about the principles and practice of inflation targeting under contemporary conditions

Keywords

Inflation targeting

URL

http://d.repec.org/n?u=RePEc:bir:birmec:11-23&r=mac



Record ID

191     [ Page 49 of 68, No. 6 ]

Date

2011-12

Author

Daniel Sámano

Affiliation

Banco de Mexico

Title

In the Quest of Macroprudential Policy Tools

Summary /
Abstract

The global financial crisis of late 2008 could not have provided more convincing evidence that price stability is not a sufficient condition for financial stability. In order to attain both, central banks must develop macroprudential instruments in order to prevent the occurrence of systemic risk episodes. For this reason testing the effectiveness of different macroprudential tools and their interaction with monetary policy is crucial. In this paper we explore whether two policy instruments, namely, a capital adequacy ratio rule in combination with a Taylor rule may provide a better macroeconomic outcome than a Taylor rule alone. We conduct our analysis by appending a macroeconometric financial block to an otherwise standard semistructural small open economy neokeynesian model for policy analysis estimated for the Mexican economy. Our results show that with the inclusion of the second instrument, the central bank may obtain substantial gains. Specifically, the central authority can isolate financial shocks and dampen their effects over macroeconomic variables.

Keywords

Macroprudential policy, monetary policy, capital requirements

URL

http://d.repec.org/n?u=RePEc:bdm:wpaper:2011-17&r=mac

Remarks

In the above paper, Daniel Sámano of Banco de Mexico explores "whether two policy instruments, namely, a capital adequacy ratio (CAR) rule in combination with a Taylor rule may provide a better macroeconomic outcome than a Taylor rule alone," conducting his analysis by adding a financial block to a Neo-Keynesian, semistructural small open economy model estimated using Mexican data. With a CAR rule as second instrument, he concludes that Banco de Mexico can continue to implement small, measured increments in the policy rates, with lower variability in inflation and output outcomes. His model is estimable and potentially useful when adapted to the Philippine situation.



Record ID

190     [ Page 49 of 68, No. 7 ]

Date

2011-11

Author

Edward R. Gemayel, Sarwat Jahan, and Alexandra Peter

Affiliation

Strategy, Policy, and Review Department, IMF

Title

What Can Low-Income Countries Expect from Adopting Inflation Targeting?

Summary /
Abstract

Inflation targeting (IT) is a relatively new monetary policy framework for low-income countries (LICs). The limited number of LICs with an IT framework and the short time that has elapsed since the adoption of this framework explains why there are no previous empirical studies on the performance of IT in LICs. This paper has made a first attempt at filling this gap. It finds that inflation targeting appears to be associated with lower inflation and inflation volatility. At the same time, there is no robust evidence of an adverse impact on output. This may explain the appeal of IT for many LICs, where building credibility of monetary policy is difficult and minimizing output costs of reducing inflation is imperative for social and political reasons.

Keywords

Albania , Armenia , Cross country analysis , Developed countries , Emerging markets , Ghana , Inflation targeting , Low-income developing countries , Monetary policy

URL

http://www.imf.org/external/pubs/ft/wp/2011/wp11276.pdf



Record ID

189     [ Page 49 of 68, No. 8 ]

Date

2011-11

Author

Antonio, Paradiso; Kumar, Saten; and Rao, B Bhaskara

Affiliation

University of Rome La Sapienza, Auckland University of Technology, and University of Western Sydney

Title

A New Keynesian IS Curve for Australia: Is it Forward Looking or Backward Looking?

Summary /
Abstract

This paper estimates the forward looking, backward looking and an extended version of the New Keynesian IS curve for Australia. The validity of these models is investigated by imposing the constraint on real rate of interest and as well as when the constraint is relaxed. Two measures of output gap viz. GAP1 (constructed using the unobserved components approach) and GAP2 (constructed using a quadratic trend) are utilized. Our results suggest that the baseline backward looking and forward looking models are overwhelmingly rejected by the data. Evidence strongly supports for the extended backward looking model (with GAP2) being relevant for monetary policy analysis.

Keywords

New Keynesian IS curve; Backward looking; Forward looking; Australia

URL

http://mpra.ub.uni-muenchen.de/35296/1/MPRA_paper_35296.pdf



Record ID

188     [ Page 49 of 68, No. 9 ]

Date

2011-12

Author

Ian Christensen, Césaire Meh, and Kevin Moran

Affiliation

Bank of Canada and Département d’économique, Université Laval

Title

Bank Leverage Regulation and Macroeconomic Dynamics

Summary /
Abstract

This paper assesses the merits of countercyclical bank balance sheet regulation for the stabilization of financial and economic cycles and examines its interaction with monetary policy. The framework used is a dynamic stochastic general equilibrium model with banks and bank capital, in which bank capital solves an asymmetric information problem between banks and their creditors. In this economy, the lending decisions of individual banks affect the riskiness of the whole banking sector, though banks do not internalize this impact. Regulation, in the form of a constraint on bank leverage, can mitigate the impact of this externality by inducing banks to alter the intensity of their monitoring efforts. We find that countercyclical bank leverage regulation can have desirable stabilization properties, particularly when financial shocks are an important source of economic fluctuations. However, the appropriate contribution of countercyclical capital requirements to stabilization after a technology shock depends on the size of the externality and on the conduct of the monetary authority.

Keywords

Moral hazard, bank capital, countercyclical capital requirements, leverage, monetary policy

URL

http://www.cirpee.org/fileadmin/documents/Cahiers_2011/CIRPEE11-40.pdf



Record ID

187     [ Page 49 of 68, No. 10 ]

Date

2011-12

Author

Anton Korinek

Affiliation

Research Department, IMF

Title

The New Economics of Capital Controls Imposed for Prudential Reasons

Summary /
Abstract

This paper provides an introduction to the new economics of prudential capital controlsin emerging economies. This literature is based on the notion that there are externalities associated with financial crises because individual market participants do not internalize their contribution to aggregate financial instability when they make their finacing decisions. As a result they impose externalities in the form of greater financial instability on each other, and the private financing decisions of individuals are distorted towards excessive risk-taking. We discuss how prudential capital controls can induce private agents to internalize these externalities and thereby increase macroeconomic stability and enhance welfare.

Keywords

Financial crises, balance sheet effects, pecuniary externalities, capital controls

URL

http://www.imf.org/external/pubs/ft/wp/2011/wp11298.pdf



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