4,260 research outputs found
The daily market for funds in Europe: Mathematical appendix
This paper includes the derivations of the main expressions in the paper ``The Daily Market for Funds in Europe: Has Something Changed With the EMU?'' by G. PĂ©rez QuirĂłs and H. RodrĂguez MendizĂĄbal.Overnight rates, reserve demand, martingale hypothesis
The daily market for funds in Europe: Has something changed with the EMU?
This paper presents evidence that the existence of deposit and lending facilities combined with an averaging provision for the reserve requirement are powerful tools to stabilize the overnight rate. We reach this conclusion by comparing the behavior of this rate in Germany before and after the start of Stage III of the EMU. The analysis of the German experience is useful because it allows us to isolate the effects on the overnight rate of these particular instruments of monetary policy. To show that this outcome is a general conclusion and not a particular result of the German market, we develop a theoretical model of reserve management which is able to reproduce our empirical findings.Overnight rates, reserve demand, Martingale hypothesis
Asymmetric Standing Facilities: An Unexploited Monetary Policy Tool
This paper analyzes the role of standing facilities in the determination of the demand for reserves in the overnight money market. In particular, we study how the asymmetric nature of the deposit and lending facilities could be used as a powerful policy tool for the simultaneous control of prices and quantities in the market for daily funds.Monetary policy implementation; standing facilities; overnight interest rates; fine-tuning operations.
Towards a Unified Framework for Declarative Structured Communications
We present a unified framework for the declarative analysis of structured
communications. By relying on a (timed) concurrent constraint programming
language, we show that in addition to the usual operational techniques from
process calculi, the analysis of structured communications can elegantly
exploit logic-based reasoning techniques. We introduce a declarative
interpretation of the language for structured communications proposed by Honda,
Vasconcelos, and Kubo. Distinguishing features of our approach are: the
possibility of including partial information (constraints) in the session
model; the use of explicit time for reasoning about session duration and
expiration; a tight correspondence with logic, which formally relates session
execution and linear-time temporal logic formulas
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