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External Shocks, Transmission Mechanisms and Deflation in Asia
The concern with deflation in industrialised countries has prompted a number of studies assessing the causes and consequences of deflation, proposing appropriate policy responses, as well as drawing lessons from historical experiences. The concern has also motivated particular interest in understanding the sources and dynamics of the deflations in Japan...
Beyond Current Policy Frameworks
This paper tells us about bad deflations which involves a combination of falling goods and asset prices. It is against this background that the rest of this paper is set out. To give a flavour of the overall message of this paper, a sufficiently aggressive, and courageous central bank in...
Explaining the Level of Credit Spreads: Option-Implied Jump Risk Premia in a Firm Value Model
Prices of equity index put options contain information on the price of systematic downward jump risk. The paper uses a structural jump-diffusion firm value model to assess the level of credit spreads that is generated by option-implied jump risk premia and compounds the option pricing model, an equity index option...
The Pricing of Unexpected Credit Losses
Why are spreads on corporate bonds so wide relative to expected losses from default? The paper suggests that the most commonly cited explanations, taxes, liquidity and systematic diffusive risk, are inadequate. It argues instead that idiosyncratic default risk, or the risk of unexpected losses due to single- name defaults in...
Japan's Deflation, Problems in the Financial System and Monetary Policy
The purpose of this paper is threefold. First, it aims to survey various discussions of the so-called "lost decade" from a macroeconomic perspective. Second, it reviews the sequence of how monetary policy responded to the weak economy during the decade and provides some preliminary analysis of the effects of policy...
Revisiting Recent Productivity Developments Across OECD Countries
This paper compares productivity developments across industrial countries based on official OECD (Organisation for Economic Co-operation and Development) data in the business sector. It discusses the uncertainties surrounding the measurement of both productivity levels and productivity growth, and then focuses on changes in productivity growth. The paper analyses labour productivity...
Explaining Credit Default Swap Spreads With Equity Volatility and Jump Risks of Individual Firms
A structural model with stochastic volatility and jumps implies particular relationships between observed equity returns and credit spreads. This paper explores such effects in the credit default swap CDS market. It uses a novel approach to identify the realized jumps of individual equity from high frequency data. The empirical results...
Accounting, Prudential Regulation and Financial Stability: Elements of a Synthesis
What information about the financial condition of firms is conducive to efficient and stable operation of the financial system and of the economy more broadly? The paper outlines the contours of an ideal set of such information, identify existing gaps and propose a way forward to fill them. The paper...
Ageing and Pension System Reform: Implications for Financial Markets and Economic Policies
The paper highlights that the changes under way in public and private pension schemes may increase significantly the influence of retirement saving and related capital flows in financial markets. Regulatory and supervisory developments should aim to influence and support the trend towards more rigorous risk management, greater transparency, and better...
The Application of Basel II to Trading Activities and the Treatment of Double Default Effects
The efforts of the Basel Committee on Banking Supervision BCBS to revise the standards governing the capital adequacy of internationally active banks achieved a critical milestone in the publication of an agreed text in June 2004. The International Convergence of Capital Measurement and Capital Standards: a Revised Framework describes a...
An Empirical Evaluation of Structural Credit Risk Models
This paper evaluates empirically the performance of six structural credit risk models by comparing the probabilities of default PDs they deliver to ex post default rates. The paper employs firm-level data and finds that theory-based PDs tend to match closely the actual level of credit risk and to account for...
The Effectiveness of Foreign Exchange Intervention in Emerging Market Countries
This paper attempts to provide a comprehensive overview of what is known about the effectiveness of foreign exchange intervention in emerging market countries. A major stumbling block in assessing the effectiveness of intervention in emerging markets has been a lack of data. In constructing an overview of the results, it...
Motives for Intervention
Central banks intervene in foreign exchange markets in order to achieve a variety of overall economic objectives, such as controlling inflation, maintaining competitiveness or maintaining financial stability. Three immediate objectives of intervention have been important: to influence the level of the exchange rate; to dampen exchange rate volatility or supply...
Governance Aspects of Foreign Exchange Interventions
This paper provides comparative information on governance arrangements guiding foreign exchange interventions, on central banks' related communications policies, and on the accountability of central banks for their intervention decisions. At the operational level, governance arrangements for foreign exchange interventions also seem somewhat less clearly defined and more opaque than those...
Foreign Exchange Market Intervention: Methods and Tactics
This paper focuses on the methods and tactics of foreign exchange market intervention with an emphasis on how the tactics of intervention can depend on intervention objectives and the environment. The paper highlights the main features of the survey responses provided by emerging market central banks on questions of the...
The Increased Role of Foreign Bank Entry in Emerging Markets
The past decade has seen a transformation of the role of foreign banks in emerging markets. The greater scale and changing character of foreign participation in banking systems raise many questions: about the impact on the efficiency of financial institutions; about the macroeconomic effects on aggregate lending and on the...
Globalisation and Monetary Operations in Emerging Economies
Globalization has encouraged a convergence of monetary policy operating procedures in emerging market economies towards market-based instruments. The influence of globalization on operating procedures (controls versus market-based policies, quantities versus interest rates, short- versus medium-term rates) is discussed in this paper. It considers how operating procedures may need to be...
Has Globalisation Reduced Monetary Policy Independence?
Growing global financial integration has influenced monetary policy in important ways. Developments have shown, however, that, while many countries have adopted more flexible exchange rate regimes, they often intervene to dampen exchange rate movements. Such developments raise several questions. The paper addresses these questions. It discusses the choice of exchange...
Local Complications of Global Economic Integration: Privatisation Receipts and Volatile Export Earnings
This paper discusses two complications for domestic monetary policy stemming from greater international integration of the emerging market economies: privatization-related capital inflows and large swings in export earnings. It discusses why foreign exchange inflows from privatization receipts and large swings in export earnings differ from other capital inflows, and why...
Research on Exchange Rates and Monetary Policy: An Overview
This paper reviews research carried out on exchange rates and monetary policy by a few central banks. The paper focuses on the approaches that central banks have found most useful in modeling exchange rate behavior. It also highlights research that examines the actual experience that countries have had in incorporating...
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