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Are Fund Managers Rewarded for Taking Cyclical Risks?
Ryan, Ellen - 2022
, which may keep managers from fully internalising the effects of adverse outcomes on their portfolios. The fact that market … discipline may not be sufficient to ensure prudential behaviour among managers, combined with the externalities of this risk …
Persistent link: https://www.econbiz.de/10013298369
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Ranking, Risk-Taking and Effort : An Analysis of the ECB's Foreign Reserves Management
Scalia, Antonio; Sahel, Benjamin - 2021
The investment of the ECB reserves in US dollars and yen, delegated to a network of portfolio managers in the …. Employing a new data set on individual portfolio variables during 2002-2009, we study this peculiar tournament and show the … existence of risk-shifting behaviour by reserve managers related to their year-to-date ranking: interim losers increase relative …
Persistent link: https://www.econbiz.de/10013315986
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Inflation Dynamics with Labour Market Matching : Assessing Alternative Specifications
Christoffel, Kai Philipp; Costain, James S.; de Walque, … - 2010
This paper reviews recent approaches to modeling the labour market and assesses their implications for inflation dynamics through both their effect on marginal cost and on price-setting behaviour. In a search and matching environment, we consider the following modeling setups: right-to-manage...
Persistent link: https://www.econbiz.de/10014208182
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Unobserved Components Model(s) : Output Gaps and Financial Cycles
Guillochon, Justine; Le Roux, Julien - 2023
The Global Financial Crisis established that policymakers should consider the stage of the financial cycle to better evaluate the cyclical position of the economy when designing monetary policy decisions. If financial variables are omitted from the estimations of the output gap, a common and...
Persistent link: https://www.econbiz.de/10014353253
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Rational Inattention and the Business Cycle Effects of Productivity and News Shocks
Maćkowiak, Bartosz; Wiederholt, Mirko - 2023
We solve a real business cycle model with rational inattention (an RI-RBC model). In the RIRBC model, the growth rates of employment, investment, and output are about as persistent as in the data, with an amount of inattention consistent with survey data on expectations. Moreover, consumption,...
Persistent link: https://www.econbiz.de/10014353582
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CBDC and Business Cycle Dynamics in a New Monetarist New Keynesian Model
Assenmacher, Katrin; Bitter, Lea; Ristiniemi, Annukka - 2023
To study implications of an interest-bearing CBDC on the economy, we integrate a New Monetarist-type decentralised market that explicitly accounts for the means-of-exchange function of bank deposits and CBDC into a New Keynesian model with financial frictions. The central bank influences the...
Persistent link: https://www.econbiz.de/10014354929
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The Role of Labor Markets for Euro Area Monetary Policy
Christoffel, Kai Philipp - 2009
In this paper, we explore the role of labor markets for monetary policy in the euro area in a New Keynesian model in which labor markets are characterized by search and matching frictions. We first investigate to which extent a more flexible labor market would alter the business cycle behaviour...
Persistent link: https://www.econbiz.de/10012764518
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Macroeconomic Adjustment to Monetary Union
Fagan, Gabriel - 2008
The move to monetary union in Europe led to convergence of interest rates among the participating countries. This was associated with notable cross-country differences in the behaviour of key macroeconomic aggregates. Compared to the low interest rate countries, former high interest rate...
Persistent link: https://www.econbiz.de/10012770251
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The New Area-Wide Model of the Euro Area : A Micro-Founded Open-Economy Model for Forecasting and Policy Analysis
Christoffel, Kai Philipp - 2008
In this paper, we outline a version of the New Area-Wide Model (NAWM) of the euro area designed for use in the (Broad) Macroeconomic Projection Exercises regularly undertaken by ECB/Eurosystem staff. We present estimation results for the NAWM that are obtained by employing Bayesian inference...
Persistent link: https://www.econbiz.de/10012770293
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Financial Cycles, Credit Bubbles and Stabilization Policies
Schuler, Tobias - 2019
This paper analyzes the effects of several policy instruments for mitigating financial bubbles generated in the banking sector. We augment a New Keynesian macroeconomic framework by endogenizing boundedly-rational expectations on asset values of loan portfolios, allow for interbank trading and...
Persistent link: https://www.econbiz.de/10012858317