The interest rate pass-through in the Euro area during the global financial crisis

This paper uses panel vector autoregressive (VAR) models for euro area member countries to explore the widening of retail bank interest rate spreads that emerged in the course of the global financial crisis. We find that the interest rate pass-through was generally complete on impact before the outbreak of the financial crisis, but became significantly distorted in the period thereafter, which hampered the effectiveness of monetary policy. Empirical evidence suggests that the decrease in the interest rate pass-through can be related to a change in the structural parameters characterizing the economies and a substantial increase in the average size of structural shocks. DSGE model simulations show that an increase in the frictions that banks are subject to can explain the decrease in the retail bank interest rate pass-through.     

The long-run Phillips curve: A structural VAR investigation

Both cointegration methods, and non-cointegrated structural VARs identified based on either long-run restrictions, or a combination of long-run and sign restrictions, are used in order to explore the long-run trade-off between inflation and the unemployment rate in the post-WWII U.S., U.K., Euro area, Canada, and Australia. Overall, neither approach produces clear evidence of a non-vertical trade-off. The extent of uncertainty surrounding the estimates is however substantial, thus implying that a researcher holding alternative priors about what a reasonable slope of the long-run trade-off might be will likely not see her views falsified.     

Banks’ external financing costs and the bank lending channel: Results from a SVAR analysis

We analyze the dynamic response of banks’ financing costs to structural, macroeconomic shocks, which we identify by imposing combinations of zero and sign restrictions on impulse responses. For the estimation we combine US bank balance sheet data from the Call reports with macroeconomic aggregates over the period from 1984Q1 to 2007Q3. We find that banks’ financing costs mainly respond to monetary policy and aggregate demand shocks. Furthermore, funding costs of undercapitalized and illiquid banks increase more strongly after a contractionary monetary policy shock as compared to better capitalized and more liquid banks. These results provide support for the view that banks’ financing costs represent an important element of the bank lending channel.     

The identification of fiscal and monetary policy in a structural VAR

Good economic management depends on understanding shocks from monetary policy, fiscal policy and other sources affecting the economy and their subsequent interactions. This paper presents a new methodology to disentangle such shocks in a structural VAR framework. The method combines identification via sign restrictions, cointegration and traditional exclusion restrictions within a system which explicitly models stationary and non-stationary variables and accounts for both permanent and temporary shocks. The usefulness of the approach is demonstrated on a small open economy where policy makers are actively considering the interaction between monetary and fiscal policies.     

Sources of exchange rate fluctuations: Are they real or nominal?

I analyze the role of real and monetary shocks on exchange rate behavior using a structural vector autoregressive model of the US vis-à-vis the rest of the world. The shocks are identified using sign restrictions on the responses of the variables to orthogonal disturbances. These restrictions are derived from the predictions of a two-country DSGE model. I find that monetary shocks are unimportant in explaining exchange rate fluctuations. By contrast, demand shocks explain between 21% and 37% of exchange rate variance at 4-quarter and 20-quarter horizons, respectively. The contribution of demand shocks plays an important role but not of the order of magnitude sometimes found in earlier studies. My results, however, support the recent focus of the literature on real shocks to match the empirical properties of real exchange rates.     

银行公示语翻译现状调查与研究——以浙江省10家银行为例

本文选取浙江省10所银行的公示语英译语料,对银行业公示语英译的现状进行调查与分析.通过对公示语的语言特点和文本类型分析,指出公示语翻译应遵循"统一、简洁、易懂"的原则,以"模仿-借用-创新"的应用英语翻译模式为指导.文章从银行专业术语公示语的翻译、银行公示语翻译的统一、准确和文体几个方面对所收集的公示语中存在的问题进行分析,并提出修改意见.     

Monetary policy shocks and exchange rates in Asian countries

In this paper, we empirically investigate the effects of monetary policy shocks on exchange rates in Asian countries. To do so, we use VAR models which impose sign restrictions on impulse responses to identify monetary policy shocks. We find that contractionary monetary policy shocks lead to significant exchange rate appreciation in Malaysia, the People’s Republic of China, and the Republic of Korea. However, in India, Indonesia, the Philippines and Thailand, we find either a significant depreciation or no significant effect. These results suggest that an interest rate increase (or decrease) may not necessarily shield Asian countries from exchange rate depreciation (or appreciation) pressure following a U.S. interest rate increase (or decrease).     

The global effects of productivity gains in Asian emerging economies

This paper investigates international responses of key macroeconomic variables to simultaneous shocks to productivity in the traded sector in eight Asian emerging and developing countries. We use panel estimation techniques to construct component sub-models in a thirty country global vector autoregressive (GVAR) model. We identify the shocks by using sign restricted impulse responses. We find that increases in traded-sector productivity in Asian emerging and developing countries have a positive effect on economic growth and international trade for most countries.     

A multiple regime smooth transition Heterogeneous Autoregressive model for long memory and asymmetries

In this paper we propose a flexible model to describe nonlinearities and long-range dependence in time series dynamics. The new model is a multiple regime smooth transition extension of the Heterogeneous Autoregressive (HAR) model, which is specifically designed to model the behavior of the volatility inherent in financial time series. The model is able to simultaneously approximate long memory behavior, as well as describe sign and size asymmetries. A sequence of tests is developed to determine the number of regimes, and an estimation and testing procedure is presented. Monte Carlo simulations evaluate the finite-sample properties of the proposed tests and estimation procedures. We apply the model to several Dow Jones Industrial Average index stocks using transaction level data from the Trades and Quotes database that covers ten years of data. We find strong support for long memory and both sign and size asymmetries. Furthermore, the new model, when combined with the linear HAR model, is viable and flexible for purposes of forecasting volatility.     

Transmission of US financial and trade shocks to Asian economies: Implications for spillover of the 2007–2009 US financial crisis

This paper describes an investigation of the transmission of US shocks to Asian economies with consideration of financial linkages and trade linkages. Using the sign restriction vector autoregression (VAR) approach during 2000–2012, our empirical results can be summarized as follows. First, both US financial and trade linkages exert a significant impact on production in Asian economies. Second, through both financial and trade linkages, US spillover shocks account for around 50% of the production fluctuation in Asian economies. Third, during the episodes of 2007–2009 US financial crisis, the impact of financial shocks is greater than that of trade shocks. Results suggest that (i) Asian economies are not decoupled with US; and (ii) different from conventional findings, financial linkages between US and Asian economies are strong, especially for highly developed Asian economies. Therefore, investors and policymakers of Asian economies should take account of US financial conditions.