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Funding liquidity risk in a quantitative model of systemic stability
The global financial crisis of 2007–09 has illustrated the importance of including funding liquidity feedbacks in any model of systemic risk. This paper illustrates how we have incorporated such channels into a risk assessment model for systemic institutions (RAMSI) and it outlines the Bank of England’s ...
Inflation targeting versus price-path targeting: looking for improvements
The world’s central banks have undergone dramatic changes in the past fifteen years. Increases in independence and transparency have been coupled with a shift in focus. Price stability is now the paramount objective for the vast majority of modern central bankers. Combined, these changes in central ...
Equity market spillovers in the Americas
Many aspects of financial markets merit monitoring in risk management and portfolio allocation contexts, including (and perhaps especially) in contexts of interest to central banks. Much recent attention, for example, has been devoted to measuring and forecasting return volatilities and correlations, ...
Does inflation targeting increase output volatility?: an international comparison of policymakers' preferences and outcomes
Monetary policy regimes around the world changed dramatically over the decade of the 1990s. Central banks have become more transparent, more independent, more accountable, and (apparently) more successful. The biggest transformation has benn the move away from focusing on intermediate objectives, susch ...
Contingent reserves management: an applied framework
One of the most serious problems that a central bank in an emerging market economy can face is the sudden reversal of capital inflows (or sudden stops). Hoarding international reserves can be used to smooth the impact of such reversals (see, for example, Lee, 2004), but these reserves are seldom ...
Forward guidance in hte yield curve: short rates versis bond supply
Since late 2008 when short-term interest rates reached their zero lower bound central banks have been conducting monetary policy through two primary instruments: quantitative easing (QE) in which they buy long-term government bonds and other long-term securities and so-called forward guidance in which ...
Shocks de oferta persistentes: ¿un dolor de cabeza para los bancos centrales?
pensaba cuando se iniciaron y llevaron la tasa de inflación a niveles muy superiores a la meta establecida por el Banco Central En este contexto, el objetivo de este artículo es analizar y cuantificar las implicaciones de shocks de oferta más persistentes...
A decade of inflation targeting in the world: what do we know and what do we need to know?
The emergence of inflation targeting over the last ten years represents an exciting development in central banks' approach to the conduct of monetary policy. After initial adoption by New Zealand in 1990, a growing number of central banks in industrial and emerging economies have opted for inflation ...
Metas de inflación en economías financieramente estables: ¿un sistema suficientemente flexible?
La crisis financiera y la recesión de 2008-2009 exigieron importantes medidas de política de parte de los bancos centrales. Entre los países con metas de inflación, surge la pregunta natural sobre si sus esquemas de política monetaria mostraron la...