115 research outputs found

    Interdependencies between Monetary Policy and Foreign Exchange Intervention under Inflation Targeting: The Case of Brazil and the Czech Republic

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    The bulk of recent literature on foreign exchange interventions has overlooked the potential interdependencies that may exist between these operations and the conduct of monetary policy. This is the case even under inflation targeting and especially in emerging-market economies, because central banks often explicitly reserve the right to intervene to calm disorderly markets and to accumulate foreign reserves, and when the exchange rate is perceived as being out of step with fundamentals. This paper uses a friction model to estimate intervention reaction functions and the associated marginal effects for Brazil and the Czech Republic since the adoption of inflation targeting in these countries in 1999 and 1998, respectively. The main findings are that: (i) in both countries interventions occur predominantly to reduce exchange rate volatility, while in Brazil the central bank also reacts to exchange rate deviations from medium-term trends; (ii) there are strong, asymmetric threshold effects in the reaction functions, and interventions are more likely and of higher magnitudes when they are carried out to depreciate than to appreciate the domestic currency; and (iii) interventions seem to take place independently of contemporaneous monetary policy in Brazil, but not in the Czech Republic, where both policies appear to be interrelated.monetary policy, interventions, inflation targeting, friction model, Brazil, Czech Republic

    Intervention Policy of the BoJ: A Unified Approach

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    Intervening in the FX market implies a complex decision process for central banks. Monetary authorities have to decide whether to intervene or not, and if so, when and how. Since the successive steps of this procedure are likely to be highly interdependent, we adopt a nested logit approach to capture their relationships and to characterize the prominent features of the various steps of the intervention decision. Our findings shed some light on the determinants of central bank interventions, on the so-called secrecy puzzle and on the identification of the variables influencing the detection of foreign exchange transactions by market traders.FX intervention, secrecy puzzle, market detection, nested logit

    System-wide tail comovements: A bootstrap test for cojump identification on the S&P 500, US bonds and currencies

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    This paper studies bivariate tail comovements on financial markets that are of crucial importance for the world economy: the S&P 500, US bonds, and currencies. We propose to study that form of dependence under the lens of cojump identification in a bivariate Brownian semimartingale with idiosyncratic jumps, as well as cojumps. Whereas univariate jump identification has been widely studied in the high-frequency data literature, the multivariate literature on cojump identification is more recent and scarcer. Cojump identification is of interest, as it may identify comovements which are not trivially visible in a univariate setting. That is, price changes can be small relative to local variation, but still abnormal relative to local covariation. This paper investigates how simple parametric bootstrapping of the product of assets' intraday returns can help detect cojumps in a multivariate Brownian semi-martingale with both idiosyncratic jumps and cojumps. In particular, we investigate how to disentangle idiosyncratic jumps from common jumps at an intraday level for pairs of assets. The approach is flexible, trivial to implement, and yields good power properties. It allows to shed new light on extreme dependence at the world economy level. We detect cojumps of heterogeneous size which are partly undetected with a univariate approach. We find an increased cojump intensity after the crisis on the S&P 500-US bonds pair before a return to normal

    Measuring Interconnectedness between Financial Institutions with Bayesian Time-Varying Vector Autoregressions

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    We propose a market-based framework that exploits time-varying parameter vector autoregressions to estimate the dynamic network of financial spillover effects. We apply it to financials in the Standard & Poor’s 500 index and estimate interconnectedness at the sectoral and institutional levels. At the sectoral level, we uncover two main events in terms of interconnectedness: the Long-Term Capital Management crisis and the 2008 financial crisis. After these crisis events, we find a gradual decrease in interconnectedness, not observable using the classical rolling-window approach. At the institutional level, our framework delivers more stable interconnectedness rankings than other comparable market-based measures.Communauté Française de Belgiqu

    Les médicaments génériques (aspects pharmacotechnique et biopharmaceutique)

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    Résumé françaisCHATENAY M.-PARIS 11-BU Pharma. (920192101) / SudocSudocFranceF

    A multilevel analysis to systemic exposure: insights from local and system-wide information

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    In the aftermath of the financial crisis, the growing literature on financial networks has widely documented the predictive power of topological characteristics (e.g. degree centrality measures) to explain the systemic impact or systemic vulnerability of financial institutions. In this work, we show that considering alternative topological measures based on local sub-network environment improves our ability to identify systemic institutions. To provide empirical evidence, we apply a two-step procedure. First, we recover network communities (i.e. close-peer environment) on a spillover network of financial institutions. Second, we regress alternative measures of vulnerability on three levels of topological measures: the global level (i.e. firm topological characteristics computed over the whole system), local level (i.e. firm topological characteristics computed over the community) and aggregated level by averaging individual characteristics over the community. The sample includes 4646 financial institutions (banks, broker-dealers, insurance and real-estate companies) listed in the Standard \& Poor's 500 index. Our results confirm the informational content of topological metrics based on close-peer environment. Such information is different from the one embeds in traditional system wide topological metrics and is proved to be predictor of distress for financial institutions in time of crisis.Comment: 12 pages, 3 figures and 3 table

    The economic desirability of transparency in foreign-exchange policy - Insights from Japan-

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    Ce travail étudie les couts et bénéfices liés à l'accroissement de la transparence dans les politiques d'interventions des banques centrales sur le marché des changes. Il s'articule autour de quatre articles de recherche. Chaque article repose sur des méthodes économétriques récentes et une base de données originale (politique de la banque centrale japonaise de 1991 à 2004).(DOCSESG01)--FUNDP, 200
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