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1.
This paper examines the effect of the Riksbank's currency market interventions on the level and volatility of the SEK/USD and SEK/DEM exchange rates between 1993 and 1996. This is the first study investigating effects on the Swedish krona after the currency peg was abandoned in 1992. To model volatility, both GARCH models and implied volatilities from currency options are used. Some support is found for the idea that interventions affect the exchange-rate level during certain sub periods but, overall, the results are weak. Furthermore, in line with the findings for other countries, little empirical support is found for the hypothesis that central bank intervention systematically decreases exchange rate volatility.  相似文献   

2.
This paper seeks to inform about a feature of monetary policy that is largely overlooked, yet occupies a central role in modern monetary and financial systems, namely central bank collateral frameworks. Their importance can be understood by the observation that the money at the core of these systems, central bank money, is injected into the economy on terms, not defined in a market, but by the collateral frameworks and interest rate policies of central banks. Using the collateral framework of the Eurosystem as a basis of illustration and case study, the paper brings to light the functioning, reach, and impact of collateral frameworks. A theme that emerges is that collateral frameworks may have distortive effects on financial markets and the wider economy. They can, for example, bias the private provision of real liquidity and thereby also the allocation of resources in the economy as well as contribute to financial instability. Evidence is presented that the collateral framework in the euro area promotes risky and illiquid collateral and, more generally, impairs market forces and discipline. The paper also emphasizes the important role of ratings and government guarantees in the Eurosystem’s collateral framework.  相似文献   

3.
We present a model of central bank collateralized lending to study the optimal choice of the haircut policy. We show that a lending facility provides a bundle of two types of insurance: insurance against liquidity risk as well as insurance against downside risk of the collateral. Setting a haircut therefore involves balancing the trade-off between relaxing the liquidity constraints of agents on one hand, and increasing potential inflation risk and distorting the portfolio choices of agents on the other. We argue that the optimal haircut is higher when the central bank is unable to lend exclusively to agents who actually need liquidity. Finally, for a temporary surprise drop in the haircut, the central bank can be more aggressive than when setting a permanent level of the haircut.  相似文献   

4.
We propose a novel theory of the impact of sterilized spot interventions on the microstructure of currency markets that focuses on their liquidity. We analyze the effectiveness of intervention operations in a model of sequential trading in which i) a rational Central Bank faces a trade-off between policy motives and wealth maximization; ii) currency dealers' sole objective is to provide immediacy at a cost while maintaining a driftless expected foreign currency position; and iii) adverse selection, inventory, signaling, and portfolio balance considerations are absent by assumption. In this setting, and consistent with available empirical evidence, we find that i) the mere likelihood of a future intervention—even if expected, non-secret, and uninformative—is sufficient to generate endogenous effects on exchange rate levels, to increase exchange rate volatility, and to impact bid-ask spreads; and ii) these effects are exacerbated by the intensity of dealership competition, the extent of the Central Bank's policy trade-off, and the credibility of its threat of future actions.  相似文献   

5.
This paper tests the effects of central bank intervention on the ex ante volatility of $/DM and $/yen exchange rates between 1985 and 1991. In contrast to previous research which employed GARCH estimates of conditional volatility, we estimate ex ante volatility using the implied volatilities of currency option prices. We also control for the effects of other macroeconomic announcements. We find little support for the hypothesis that central bank intervention decreases expected exchange rate volatility. Instead, central bank intervention is generally associated with a positive change in ex ante exchange rate volatility, or with no change.  相似文献   

6.
张海生  王瑶 《国际融资》2003,(10):27-36
以目前房地产贷款余额1/4违规,就意味着全国有4500亿元贷款是违规的,无怪乎中央领导去年下半年以来多次提到,要防止房地产过热,防止房地产出现泡沫; 有些看上去颇具实力的地产大亨,其实,开发的项目却几乎全是银行的钱堆起来的,这种游戏能持续玩下去的前提是建起的房子要能够卖出去。一旦项目空置或烂尾,“以小博大”的游戏就将难以为继,并最终导致银行大量呆坏账: 上个世纪末,日本的房地产泡沫破灭,使得日本商业银行迟迟无法走出巨大的呆帐危机,也使得日本经济的复苏遥遥无期。香港的情况也是如此,目前香港经济迟迟不能够复苏,是与香港房地产泡沫破灭分不开的; 新房贷政策对资产负债率高和自有资金不足的中小企业会有不良影响,从某种意义上可能会促进房地产企业向更大规模聚集。从长远来看,对中国房地产发展有促进作用,未尝不是好事。 请看北京大学国家高新区发展战略研究院张海生、王瑶的评述  相似文献   

7.
It has been argued that central bank independence (CBI) may not only be beneficial for reaching the objective of price stability, but also for maintaining financial stability. Greater independence from external pressure implies that central banks are less politically constrained in acting to prevent financial distress, while it also will allow them to act earlier and more decisively when a crisis erupts. We estimate the relation between CBI and a newly constructed measure of financial instability using a dynamic panel model for the period 1985–2005 with a large set of control variables. We find a significant and robust negative relation between CBI and financial instability, which is mostly due to political independence.  相似文献   

8.
This paper extends genetic programming techniques to show that US foreign exchange intervention information improves technical trading rules' profitability for two of four exchange rates over part of the out-of-sample period. Rules trade contrary to intervention and are unusually profitable on days prior to intervention, indicating that intervention is intended to halt predictable trends. Intervention seems to be more successful in checking such trends in the out-of-sample (1981–98) period than in the in-sample (1975–80) period. Any improvement in performance results from more precise estimation of the relationship between current and past exchange rates, rather than from information about contemporaneous intervention.  相似文献   

9.
This paper seeks to inform about a feature of monetary policy that is largely overlooked, yet occupies a central role in modern monetary and financial systems, namely central bank collateral frameworks. Their importance can be understood by the observation that the money at the core of these systems, central bank money, is injected into the economy on terms, not defined in a market, but by the collateral frameworks and interest rate policies of central banks. Using the collateral framework of the Eurosystem as a basis of illustration and case study, the paper brings to light the functioning, reach, and impact of collateral frameworks. A theme that emerges is that collateral frameworks may have distortive effects on financial markets and the wider economy. They can, for example, bias the private provision of real liquidity and thereby also the allocation of resources in the economy as well as contribute to financial instability. Evidence is presented that the collateral framework in the euro area promotes risky and illiquid collateral and, more generally, impairs market forces and discipline. The paper also emphasizes the important role of ratings and government guarantees in the Eurosystem’s collateral framework.  相似文献   

10.
Interbank market liquidity and central bank intervention   总被引:3,自引:0,他引:3  
We develop a simple model of the interbank market where banks trade a long term, safe asset. When there is a lack of opportunities for banks to hedge idiosyncratic and aggregate liquidity shocks, the interbank market is characterized by excessive price volatility. In such a situation, a central bank can implement the constrained efficient allocation by using open market operations to fix the short term interest rate. It can be constrained efficient for banks to hoard liquidity and stop trading with each other if there is sufficient uncertainty about aggregate liquidity demand compared to idiosyncratic liquidity demand.  相似文献   

11.
The central bank is analyzed as a utility-maximizing unit acting in the framework of a politico- economic model. It derives utility from keeping the price level stable and is constrained by government, the structure of the economy, and the political commitment to stable exchange rates. It uses a satisficing strategy, concentrating on keeping conflicts with government below a certain level. In the case of serious conflict, the central bank follows the policy directions undertaken by government but with a time lag. The complete model comprising endogenous consumer/voters, government and central bank is econometrically tested for Germany, with good results.  相似文献   

12.
This paper assesses the impact of G3 official central bank interventions on daily realized moments of DEM/USD exchange rate returns obtained from intraday data, 1989–2001. Event studies of the realized moments for the intervention day, the days preceding and following the intervention illustrate the shape of this impact. Rolling regressions results for an AR(FI)MA model for realized moments are used to measure the impact and its significance. The analysis confirms previous empirical findings of a temporary increase of volatility after a coordinated central bank intervention. It highlights new findings on the timing and the temporary nature of the impact of coordinated interventions on exchange rate volatility and on cross-moments between foreign exchange markets.  相似文献   

13.
We estimate central bank reaction functions using the autoregressive conditional hazard model and the autoregressive conditional binomial model. We find that the Federal Reserve and Bundesbank intervened when the market was calmer, and the Bundesbank intervened in response to exchange rates being out-of-line with fundamentals. Japan intervened in response to changes in the nominal exchange rate, and intervention differed before and after Eisuke Sakakibara became Director General of the International Finance Bureau of the Ministry of Finance in Japan. We argue that these results are consistent with central bank policy goals and the effect of intervention on the exchange rate.  相似文献   

14.
抵押品政策是央行货市政策操作的配套制度安排。从政策实践看,在国际金融危机影响沉重时期,欧美日等主要国家和地区央行对抵押品政策做出相应的调整,增强对市场流动性的支持。本文在梳理抵押品政策规则基础上,回顾国际上央行抵押品政策的变化特点,进而探讨这一发展趋势对于完善国内央行抵押品操作的借鉴意义。  相似文献   

15.
金融危机中,许多发达国家央行致力于提升政策透明度,在货币政策目标分析和政策对外沟通方面取得了进步。文章介绍了前瞻性指引的概念,分析了美国、日本、英国和欧洲央行实施新一轮前瞻性指引的内容及其引发的讨论,并简析了未来前瞻性指引的运用空间。  相似文献   

16.
This paper examines the effects of the foreign exchange market interventions by the Bank of Japan on the ex ante correlations between the JPY/USD, EUR/USD, and GBP/USD exchange rates. The correlation estimates used in the analysis are derived from the market prices of OTC currency options. The results show that central bank interventions significantly affect the market expectations about future exchange rate co-movements. In particular, we find that interventions tend to temporarily increase the ex ante correlations among the major exchange rates. However, our results also suggest that intervention episodes are associated with lower-than-average levels of exchange rate correlations.  相似文献   

17.
This paper analyzes the relationship between central bank communication and corporate innovation. The results show that: (1) Communication in a loose direction of the central bank will promote corporate innovation. (2) The higher the degree of consistency between words and deeds, the stronger the positive impact of central bank communication on corporate innovation. (3) The increase in the proportion of policy continuity words in the central bank communication text will amplify the positive impact of the loose communication on corporate innovation. (4) Communication in the loose direction of the central bank will inhibit the corporate behavior of “Corporate Maturity Mismatch”, so as to promote corporate innovation. (5) The positive impact of central bank communication on corporate innovation is more significant in companies with stable investor sentiment and a high degree of management myopia. (6) The period of low moderation of monetary policy will help to strengthen the role of central bank communication in promoting corporate innovation.  相似文献   

18.
Failure to risk-adjust estimates of profits, from central-bank foreign exchange intervention or from private speculation, can have large effects on the estimated profits, including changing signs. Many choices arise in deciding how to adjust profits for risk. The time period over which a market model is fit has mixed effects on calendar-year profits; variations in profits across calendar years is much more important than the period over which the market model is fit. In some cases, but not in all, results are sensitive to whether a US stock market index is used or a world market index. For non-US central banks or private speculators, the relevant market index might be denominated in USD, but alternatively might be denominated in a foreign currency. For the Swedish central bank, estimated profits decline importantly if an index measured in USD is used instead of an index measured in SEK. In estimating market models where beta is conditioned on some measure of intervention, likely candidates are intervention or cumulative intervention; the first has an effect for one or a few days, the second has long-term effects. Estimates show that the choice can make an important difference, though the effects are not all one way.  相似文献   

19.
Central Bank Digital Currencies (CBDC) have attracted considerable interest and its deployment on a global scale is imminent. However, CBDC face several challenges. They include: legal, technological, and political considerations. We summarize those challenges and add a few more that have not received much attention in the literature. We then focus on two forms of CBDC: a narrow version that only replaces notes and coins and a broader form with a deposit feature. The narrow CBDC is the most likely one to be first introduced. Next, relying on evidence of past episodes of financial innovation, and using cross-country data, we explore the hypothetical impact of CBDC on inflation and financial stability, based on the historical behaviour of the velocity of circulation and incorporating a CBDC’s impact using McCallum’s policy rule which sets the stance of monetary policy based on money growth. Our simulations suggest that CBDC need not produce higher inflation, but financial stability remains at risk. We provide some policy implications.  相似文献   

20.
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