Macrofinancial Modeling At Central Banks
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Macrofinancial Modeling At Central Banks
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Author : Mr.Scott Roger
language : en
Publisher: International Monetary Fund
Release Date : 2012-01-01
Macrofinancial Modeling At Central Banks written by Mr.Scott Roger and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-01-01 with Business & Economics categories.
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.
Modeling With Macro Financial Linkages
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Author : Ms.Inci Ötker
language : en
Publisher: International Monetary Fund
Release Date : 2009-06-01
Modeling With Macro Financial Linkages written by Ms.Inci Ötker and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-06-01 with Business & Economics categories.
This paper develops a stylized, small, open economy macro model that incorporates an explicit and non-trivial role for financial intermediation. It illustrates how such a model could be used for policy analysis in an emerging market economy where policymakers are concerned about risks associated with rapid credit growth, financial dollarization, and foreign borrowing, while lacking traditional tools to effect monetary policy transmission, and hence could resort to more direct instruments, such as foreign exchange market intervention and regulatory and administrative measures. Calibrating the model to a stylized emerging European economy, the paper simulates real and financial sector implications of various external and policy-related shocks that could be used as input for monetary policy making.
Dealing With The Challenges Of Macro Financial Linkages In Emerging Markets
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Author : Otaviano Canuto
language : en
Publisher: World Bank Publications
Release Date : 2013-10-29
Dealing With The Challenges Of Macro Financial Linkages In Emerging Markets written by Otaviano Canuto and has been published by World Bank Publications this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-10-29 with Business & Economics categories.
This book deals with the challenges of macro financial linkages in the emerging markets.
An Estimated Model With Macrofinancial Linkages For India
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Author : Mr.Magnus Saxegaard
language : en
Publisher: International Monetary Fund
Release Date : 2010-01-01
An Estimated Model With Macrofinancial Linkages For India written by Mr.Magnus Saxegaard and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-01-01 with Business & Economics categories.
This paper develops a small open economy dynamic stochastic general-equilibrium model with macrofinancial linkages. The model includes a financial accelerator--entrepreneurs are assumed to partially finance investment using domestic and foreign currency debt--to assess the importance of financial frictions in the amplification and propagation of the effects of transitory shocks. We use Bayesian estimation techniques to estimate the model using India data. The model is used to assess the importance of the financial accelerator in India and the optimality of monetary policy.
Assessing Macro Financial Linkages
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Author : Rafael Gerke
language : en
Publisher:
Release Date : 2016
Assessing Macro Financial Linkages written by Rafael Gerke and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with categories.
The recent global financial crisis has increased interest in macroeconomic models that incorporate financial linkages. Here, we compare the simulation properties of five mediumsized general equilibrium models used in Eurosystem central banks which incorporate such linkages. The financial frictions typically considered are the financial accelerator mechanism (convex spread costs related to firms' leverage ratios) and collateral constraints (based on asset values). The harmonized shocks we consider illustrate the workings and mechanisms underlying the financial-macro linkages embodied in the models. We also look at historical shock decompositions of real GDP growth across the models since 2005 in order to shed light on the common driving factors underlying the recent financial crisis. In these exercises, the models share qualitatively similar and interpretable features. This gives us confidence that we have some broad understanding of the mechanisms involved. In addition, we also survey the current and developing trends in the literature on financial frictions.
Financial Stability Frameworks And The Role Of Central Banks Lessons From The Crisis
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Author : Erlend Nier
language : en
Publisher: INTERNATIONAL MONETARY FUND
Release Date : 2009-04-01
Financial Stability Frameworks And The Role Of Central Banks Lessons From The Crisis written by Erlend Nier and has been published by INTERNATIONAL MONETARY FUND this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-04-01 with categories.
This paper sets out general principles for the design of financial stability frameworks, starting from an analysis of the objectives and tools of financial regulation. The paper then offers a comprehensive analysis of the costs and benefits of the two main models that have emerged for modern financial systems: the integrated model, with a single supervisor outside of the central bank, and the twin-peaks model, with a systemic risk regulator (central bank) on the one hand and a conduct of business regulator on the other. The paper concludes that the twin-peaks model may become more attractive when regulatory structures are geared more explicitly towards the mitigation of systemic risk-including through the introduction of new macroprudential tools that could be used alongside monetary policy to contain macro-systemic risks; through enhanced regulation and special resolution regimes for systemically important institutions; and a more holistic approach to the oversight of clearing and settlement systems. Since the optimal solution may well be path-dependent and specific to the development of financial markets in any given country, a number of hybrid models are also discussed.
Macrofinancial Stress Testing Principles And Practices
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Author : International Monetary Fund. Monetary and Capital Markets Department
language : en
Publisher: International Monetary Fund
Release Date : 2012-08-22
Macrofinancial Stress Testing Principles And Practices written by International Monetary Fund. Monetary and Capital Markets Department and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-08-22 with Business & Economics categories.
The recent financial crisis drew unprecedented attention to the stress testing of financial institutions. On one hand, stress tests were criticized for having missed many of the vulnerabilities that led to the crisis. On the other, after the onset of the crisis, they were given a new role as crisis management tools to guide bank recapitalization and help restore confidence. This spurred an intense debate on the models, underlying assumptions, and uses of stress tests. Current stress testing practices, however, are not based on a systematic and comprehensive set of principles but have emerged from trial-and-error and often reflect constraints in human, technical, and data capabilities.
Institutional Models For Macroprudential Policy
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Author : Erlend Nier
language : en
Publisher: International Monetary Fund
Release Date : 2011-11-01
Institutional Models For Macroprudential Policy written by Erlend Nier and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-11-01 with Business & Economics categories.
Staff Discussion Notes showcase the latest policy-related analysis and research being developed by individual IMF staff and are published to elicit comment and to further debate. These papers are generally brief and written in nontechnical language, and so are aimed at a broad audience interested in economic policy issues. This Web-only series replaced Staff Position Notes in January 2011.
Macrofinancial Risk Analysis
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Author : Dale Gray
language : en
Publisher: John Wiley & Sons
Release Date : 2008-04-30
Macrofinancial Risk Analysis written by Dale Gray and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-04-30 with Business & Economics categories.
Macrofinancial risk analysis Dale Gray and Samuel Malone Macrofinancial Risk Analysis provides a new and powerful framework with which policymakers and investors can analyze risk and vulnerability in economies, both emerging market and industrial. Using modern risk management and financial engineering techniques applied to the macroeconomy, an economic value can be placed on the risks posed by inter-linkages between sectors, the risk of default of different sectors on their outstanding debt obligations quantified, and the value ex-ante of guarantees to private sector entities by the government calculated. This book guides the reader through the basic macroeconomic and financial models necessary to understand the framework, the core analytical tools, and more advanced contributions that will be of interest to researchers. This unique synthesis of ideas from finance and macroeconomics offers several original contributions to the theory of financial crises, as well as a range of new policy options for governments interested in achieving a better tradeoff between economic growth and macro risk.
How The Fed Moves Markets
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Author : Evan A. Schnidman
language : en
Publisher: Springer
Release Date : 2016-04-29
How The Fed Moves Markets written by Evan A. Schnidman and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-04-29 with Business & Economics categories.
Central banks have a profound impact on financial markets, and investors struggle to keep informed about their complex policy decisions. Technological and financial developments have transformed the US Federal Reserve Bank from a financial black box into a vocal, increasingly transparent institution—and the result is such a wealth of textual data that clues to future policy decisions may be lost among the details. This book presents a solution to this problem by keeping track of those details. Schnidman and MacMillan demonstrate how the latest advances in automated text analysis, combined with the precision of domain expertise, are the keys to understanding how central banks move markets with their words. The authors outline a method to not only examine every piece of every central bank communication, but to do it in a way that is completely comprehensive and unbiased while quickly yielding hard, quantitative data that can be put to work in modern financial models.