Selected Reference and Reading Materials compiled by Dan Villanueva


Total records: 676 | Select no. of records per page: 10 | 20 | 30 | 50 | 100 | Show all | Search
Select a Page:   << Previous  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 Next >>


Record ID

96     [ Page 59 of 68, No. 1 ]

Date

2010-12

Author

Gabriele Galati Richhild Moessner

Affiliation

De Nederlandsche Bank

Title

Macroprudential policy - a literature review

Summary /
Abstract

The recent financial crisis has highlighted the need to go beyond a purely micro approach to financial regulation and supervision. In recent months, the number of policy speeches, research papers and conferences that discuss a macro perspective on financial regulation has grown considerably. The policy debate is focusing in particular on macroprudential tools and their usage, their relationship with monetary policy, their implementation and their effectiveness. Macroprudential policy has recently also attracted considerable attention among researchers. This paper provides an overview of research on this topic. We also identify important future research questions that emerge from both the literature and the current policy debate.

Keywords

Macroprudential policy

URL

http://d.repec.org/n?u=RePEc:dnb:dnbwpp:267&r=mac



Record ID

95     [ Page 59 of 68, No. 2 ]

Date

2010-12

Author

Hiroyuki Taguchi Chizuru Kato

Affiliation

Ministry of Finance, Japan

Title

Assessing the Performance of Inflation Targeting in East Asian economies

Summary /
Abstract

This paper aims at assessing the performance of the inflation targeting framework from the quantitative perspective of the money and inflation relationship, focusing on the four East Asian economies, i.e. Korea, Indonesia, Thailand and the Philippines, who adopted the inflation targeting framework soon after the 1997-98 Asian currency crisis. Our estimation results told us that the inflation targeting framework in the sample economies, except for the Philippines, has functioned well as an anchor to curb inflation, in the sense that the framework speeds up price adjustment against money supply compared with their previous regime of pegged exchange rates. We interpret the speeding-up of price adjustment under inflation targeting framework in such a way that the framework may have been able to curb inflation through stabilizing inflationary expectations. We also found that the well-functioning inflation targeting framework was consistent with another estimation outcome: that of enhanced monetary autonomy under the post-crisis floating exchange rate regime.

Keywords

inflation targeting framework, East Asian emerging market economy, money-inflation relationship, co-integration test, error correction estimation

URL

http://d.repec.org/n?u=RePEc:eab:macroe:2421&r=mon

Remarks

Notice in their summary the authors' conclusion that the IT framework has functioned well as an anchor to curb inflation only in Korea, Indonesia, and Thailand, but not the Philippines. However, this conclusion is based on how well the quantity theory of money is upheld. But this is the major drawback of the authors' approach--the IT framework's success has nothing to do with the money demand-supply relationship, since inflation is affected by many variables, not just the money supply. In fact, among other reasons, IT was adopted precisely because of the instability of money demand and the breakdown of the link between money supply and inflation.



Record ID

94     [ Page 59 of 68, No. 3 ]

Date

2010-12

Author

Barajas, Adolfo ; Chami, Ralph ; Hakura, Dalia ; Montiel, Peter

Affiliation

International Monetary Fund and Williams College

Title

Workers' Remittances and the Equilibrium Real Exchange Rate: Theory and Evidence

Summary /
Abstract

This paper investigates the impact of workers' remittances on equilibrium real exchange rates (ERER) in recipient economies. Using a small open economy model, it shows that standard "Dutch Disease" results of appreciation are substantially weakened or even overturned depending on: degree of openness; factor mobility between domestic sectors; counter cyclicality of remittances; the share of consumption in tradables; and the sensitivity of a country's risk premium to remittance flows. Panel cointegration techniques on a large set of countries provide support for these analytical results, and show that ERER appreciation in response to sustained remittance flows tends to be quantitatively small.

Keywords

Worker’s remittances, equilibrium real exchange rate, low-income countries

URL

http://www.imf.org/external/pubs/ft/wp/2010/wp10287.pdf



Record ID

93     [ Page 59 of 68, No. 4 ]

Date

2010-12

Author

Ong, Li L. | Maino, Rodolfo | Duma, Nombulelo

Affiliation

Money and Capital Markets Department, International Monetary Fund

Title

Into the Great Unknown: Stress Testing with Weak Data

Summary /
Abstract

Stress testing has become the risk management tool du jour in the wake of the global financial crisis. In countries where the information reported by financial institutions is considered to be of sufficiently good quality, and supervisory and regulatory standards are high, stress tests can be of significant value. In contrast, the proliferation of stress testing in underdeveloped financial systems with weak oversight regimes is fraught with uncertainties, as it is unclear what the results actually represent and how they could be usefully applied. In this paper, problems associated with stress tests using weak data are examined. We offer a potentially more useful alternative, the "breaking point" method, which also requires close coordination with on-site supervision and complemented by other supervisory tools and qualitative information. Excel spreadsheet templates of the stress tests presented in this paper are provided.

Keywords

Ad hoc shock, breaking point, data quality, loan classification, provision, stress testing

URL

http://www.imf.org/external/pubs/ft/wp/2010/wp10282.pdf



Record ID

92     [ Page 59 of 68, No. 5 ]

Date

2010-09

Author

Andreas Steiner

Affiliation

Universitaet Osnabrueck

Title

Central Banks’ Dilemma: Reserve Accumulation, Inflation and Financial Instability

Summary /
Abstract

Central banks’ international reserves have increased significantly in the recent past. While this accumulation has been widely perceived as precautionary savings to prevent financial crises, rising reserves might also endanger monetary and financial stability. This paper sheds new light on the implications for financial stability and assesses the consequences for monetary policy on theoretical and empirical grounds. Our estimation results show that the accumulation of reserves raises the inflation rate, both on the global and the individual-country level.

Keywords

International Reserves, Inflation, Panel Data Analysis

URL

http://d.repec.org/n?u=RePEc:iee:wpaper:wp0084&r=mon



Record ID

91     [ Page 59 of 68, No. 6 ]

Date

2010-12

Author

Das, Udaibir S. ; Papaioannou, Michael G ; Pedras, Guilherme ; Ahmed, Faisal ; Surti, Jay

Affiliation

Money and Capital Markets Department, International Monetary Fund

Title

Managing Public Debt and Its Financial Stability Implications

Summary /
Abstract

This paper explores the relationship between the level and management of public debt and financial stability, and explains the channels through which the two are interlinked. It suggests that the broader implications of a debt management strategy and its implementation should be carefully analyzed by debt managers and policy makers in terms of their impact on the government’s balance sheet, macroeconomic developments, and the financial system.

Keywords

Public Debt Structure, Public Debt Management, Financial Stability

URL

http://www.imf.org/external/pubs/ft/wp/2010/wp10280.pdf

Remarks

This Working Paper was published as Chapter 15 of the book “Sovereign Debt and the Financial Crisis.” The World Bank is the source and copyright holder of this work. This Working Paper is based on an ongoing study by the authors of the recent global economic and financial crisis, cross-country experiences with debt management operations, and their implications for public sector balance sheets and financial stability.



Record ID

90     [ Page 59 of 68, No. 7 ]

Date

2010-10

Author

Gupta, Abhishek

Affiliation

Johns Hopkins University

Title

A Forecasting Metric for Evaluating DSGE Models for Policy Analysis

Summary /
Abstract

This paper evaluates the strengths and weaknesses of dynamic stochastic general equilibrium (DSGE) models from the standpoint of their usefulness in doing monetary policy analysis. The paper isolates features most relevant for monetary policymaking and uses the diagnostic tools of posterior predictive analysis to evaluate these features. The paper provides a diagnosis of the observed flaws in the model with regards to these features that helps in identifying the structural flaws in the model. The paper finds that model misspecification causes certain pairs of structural shocks in the model to be correlated in order to fit the observed data.

Keywords

Posterior predictive analysis; DSGE; Monetary Policy; Forecast Errors; Model Evaluation

URL

http://mpra.ub.uni-muenchen.de/26718/1/MPRA_paper_26718.pdf



Record ID

89     [ Page 59 of 68, No. 8 ]

Date

2010-11

Author

Céline Gauthier, Zhongfang He, Moez Souissi

Affiliation

Bank of Canada

Title

Understanding Systemic Risk: The Trade-Offs between Capital, Short-Term Funding and Liquid Asset Holdings

Summary /
Abstract

We offer a multi-period systemic risk assessment framework with which to assess recent liquidity and capital regulatory requirement proposals in a holistic way. Following Morris and Shin (2009), we introduce funding liquidity risk as an endogenous outcome of the interaction between market liquidity risk, solvency risk, and the funding structure of banks. To assess the overall impact of different mix of capital and liquidity, we simulate the framework under a severe but plausible macro scenario for different balance-sheet structures. Of particular interest, we find that (1) capital has a decreasing marginal effect on systemic risk, (2) increasing capital alone is much less effective in reducing liquidity risk than solvency risk, (3) high liquid asset holdings reduce the marginal effect of increasing short term liability on systemic risk, and (4) changing liquid asset holdings has little effect on systemic risk when short term liability is sufficiently low.

Keywords

Financial stability; Financial system regulation and policies

URL

http://d.repec.org/n?u=RePEc:bca:bocawp:10-29&r=ban

Remarks

This is a very informative, timely and useful paper by economists from the Financial Stability and Financial Markets Departments of the Bank of Canada.



Record ID

88     [ Page 59 of 68, No. 9 ]

Date

2010-11

Author

Strategy and Policy Review, and Money and Capital Markets Departments

Affiliation

International Monetary Fund

Title

Understanding Financial Interconnectedness

Summary /
Abstract

This paper seeks to advance our understanding of global financial interconnectedness by (i) mapping aspects of the architecture of global finance and (ii) investigating critical fault lines related to interconnectedness along which systemic risks were built up and shocks transmitted in the crisis. It thus takes initial steps toward operationalizing enhanced financial sector and macro-financial surveillance called for by the IMF’s Executive Board and by experts such as de Larosiere et al. (2009). Getting a better handle on interconnectedness would strengthen the Fund‘s ability, together with the Financial Stability Board, to track systemic risk concentrations. It would also inform spillover and vulnerability analyses, and sharpen bilateral and multilateral surveillance.

Keywords

International financial system | Economic integration | Financial sector | Banks | Nonbank financial sector | Globalization | Cross country analysis

URL

http://www.imf.org/external/np/pp/eng/2010/100410.pdf

Remarks

Useful for the ASEAN+3's AMRO.



Record ID

87     [ Page 59 of 68, No. 10 ]

Date

2010-11

Author

Ranciere, Romain ; Tornell, Aaron ; Vamvakidis, Athanasios

Affiliation

International Monetary Fund

Title

A New Index of Currency Mismatch and Systemic Risk

Summary /
Abstract

This paper constructs a new measure of currency mismatch in the banking sector that controls for bank lending to unhedged borrowers. This measure explicitly takes into account the indirect exchange rate risk that banks undertake when they lend to borrowers that will not be able to repay in the event of a sharp depreciation. Such systemic risk taking is not captured by indicators that are based only on banks' balance sheet data. The new measure is constructed for 10 emerging European economies and for a broader sample that includes 19 additional emerging economies, for the period 1998 - 2008. Comparisons with previous currency mismatch measures that do not adjust for unhedged foreign currency borrowing illustrate the advantages of the new approach. In particular, the new measure flagged the indirect currency mismatch vulnerabilities that were building up in a number of emerging economies before the recent global crisis. Measuring currency mismatch more accurately can help country authorities in their efforts to address vulnerabilities at the right time, avoiding hurting growth prospects.

Keywords

Currency mismatch; emerging economies; systemic risk; financial crises

URL

http://www.imf.org/external/pubs/ft/wp/2010/wp10263.pdf

Remarks

Written by RES and SPR economists of the IMF, this more meaningful new index of currency mismatch and systemic risk is constructed for the Philippines and other emerging economies of Asia and Europe. Highly useful in measuring the vulnerabilities of such economies. Their results suggest that the largest increases in vulnerabilities prior to the recent crisis were concentrated in six emerging European economies; were these measures available on a timely basis, they would have flagged vulnerabilities of these economies well before the crisis struck, and appropriate macro-prudential and other measures could have averted or minimize the crisis' impact on output and employment.



Total records: 676 | Select no. of records per page: 10 | 20 | 30 | 50 | 100 | Show all | Search
Select a Page:   << Previous  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 Next >>



Copyright ©2010-2013 Web development and maintenance by Ferdinand S. Co | Updated by: Dan Villanueva