RSS Parrot

Is Foreign Exchange Intervention through derivative instruments effective? An analysis of the Peruvian case

https://d.repec.org/n?u=RePEc:gii:giihei:heidwp17-2024&r=&r=cba

Published: August 20, 2024 00:00

This paper presents an empirical analysis of the effectiveness of foreign exchange (FX) intervention in Peru, with emphasis on the intervention carried out through derivative instruments. I use two different but related approaches to estimate the impact of…

ECB Spillovers to Emerging Europe: The Past and Current Experience

https://d.repec.org/n?u=RePEc:imf:imfwpa:2024/170&r=&r=cba

Published: August 9, 2024 00:00

We provide new evidence on the spillover effects of ECB monetary policy shocks to emerging European economies, using a combination of empirical methods and model-based simulations and focusing on spillovers from interest rate and balance sheet policies…

Fiscal R-Star: Fiscal-Monetary Tensions and Implications for Policy

https://d.repec.org/n?u=RePEc:imf:imfwpa:2024/174&r=&r=cba

Published: August 9, 2024 00:00

Since the Global Financial Crisis, fiscal policy in advanced economies has become more “active” – that is, increasingly unresponsive to rising debt levels. This paper explores tensions between active fiscal and monetary policies by introducing the concept…

Changes in Risk Perceptions on Yen Interest Rates and Exchange Rates Observed in Options Markets: Developments in Implied Probability Distributions amid Rate Hikes in the United States and Europe from 2022 to 2023

https://d.repec.org/n?u=RePEc:boj:bojrev:rev24e08&r=&r=cba

Published: August 7, 2024 00:00

In this paper, we extract the implied probability distributions from daily option prices for the future levels of yen swap rates and the U.S. dollar/yen exchange rate, which came under upward pressure amid rate hikes by central banks in the United States…

The Performance of Emerging Markets During the Fed’s Easing and Tightening Cycles: A Resilience Analysis Across Economies

https://d.repec.org/n?u=RePEc:ris:adbewp:0735&r=&r=cba

Published: August 2, 2024 00:00

We investigate the determinants of the performance of emerging markets (EMs) during five United States (US) Federal Reserve monetary tightening and easing cycles from 2004 to 2023. We study how macroeconomic and institutional conditions of an EM at the…

Transition and systemic risk in the South African banking sector assessment and macroprudential options

https://d.repec.org/n?u=RePEc:rbz:wpaper:11065&r=&r=cba

Published: July 22, 2024 00:00

By signing the Paris Agreement, South Africa committed to transform its economy to contribute to keeping global temperature rises well below 2C. This transformation will inevitably impact financial institutions and could represent a systemic risk for the…

Counterfactual Simulation of the Effect of Large-Scale Monetary Easing on Japan's Financial System

https://d.repec.org/n?u=RePEc:boj:bojwps:wp24e08&r=&r=cba

Published: July 18, 2024 00:00

In this paper, we use a counterfactual simulation to analyze the effect on the function of financial intermediation in Japan of the decline in interest rates due to large-scale monetary easing. The results show that the decline in interest rates due to…

Interest Rate Pass-through under a Currency Board Regime: Evidence from Bosnia & Herzegovina

https://d.repec.org/n?u=RePEc:gii:giihei:heidwp10-2024&r=&r=cba

Published: July 4, 2024 00:00

This paper examines the pass-through of European Central Bank (ECB) monetary policy to deposit rates in Bosnia and Herzegovina (B&H). We use aggregate and bank-level data to study interest rate pass-through by bank size and ownership for the period…

The Special Theory of Employment, Exchange Rate, and Money With the Focus on Inflation and Technological Progress

https://d.repec.org/n?u=RePEc:osf:socarx:nxshd&r=&r=cba

Published: July 3, 2024 00:00

We introduce the quantity theory of money into the Harrod–Balassa–Samuelson effect model. Our policy rule specifies the impossibility of perfect exchange rate stability with monetary policy, as Friedman (1953) suggests. We discover the importance of…

The True Risk-free Rate: A Gateway to Bond Risk

https://d.repec.org/n?u=RePEc:osf:socarx:2dazg&r=&r=cba

Published: June 25, 2024 00:00

This study argues that a future payment’s risk approaches zero as maturity approaches zero. We employ two factors to model the risk-free rate (which is captured by the central bank’s short-term interest rate) that the market expects the current monetary…

Different Newspapers – Different Inflation Perceptions

https://d.repec.org/n?u=RePEc:awi:wpaper:0748&r=&r=cba

Published: June 25, 2024 00:00

In this paper, I investigate how inflation signals from different types of newspapers influence household inflation expectations in Germany. Using text data and the large language model GPT-3.5-turbo-1106, I construct newspaper-specific indicators and find…