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Interpreting deviations from covered interest parity during the financial market turmoil of 2007-08

Baba, Naohiko; Packer, Frank - Bank für Internationalen Zahlungsausgleich <Basel> - 2008

parity (CIP) condition between the US dollar and the euro through the foreign exchange (FX) swap market. Sharp and persistent …

Persistent link: https://www.econbiz.de/10009248819

Credit frictions and optimal monetary policy

Cúrdia, Vasco; Woodford, Michael - Bank für Internationalen Zahlungsausgleich <Basel> - 2009

We extend the basic (representative-household) New Keynesian [NK] model ofthe monetary transmission mechanism to allow for a spread between the interestrate available to savers and borrowers, that can vary for either exogenous orendogenous reasons. We nd that the mere existence of a positive...

Persistent link: https://www.econbiz.de/10009138501

Monetary policy implementation: Misconceptions and their consequences

Disyatat, Piti - Bank für Internationalen Zahlungsausgleich <Basel> - 2008

Despite constituting the very heart of the monetary transmission mechanism, widespreadmisconceptions still exist regarding how monetary policy is implemented. This paperhighlights the key misconceptions in this regard and shows how they have compromised theunderstanding of important aspects of...

Persistent link: https://www.econbiz.de/10009248817

Price discovery from cross-currency and FX swaps: a structural analysis

Baba, Naohiko; Amatatsu, Yasuaki - Bank für Internationalen Zahlungsausgleich <Basel> - 2008

This paper investigates the relative role of price discovery between two long-term swap contracts that exchange U ….S. dollars for Japanese yen - the cross-currency basis swap and the foreign exchange (FX) swap - using structural state space … models. Our main findings are that: (i) the currency swap market plays a much more dominant role in price discovery than... …

Persistent link: https://www.econbiz.de/10009248829

Does monetary policy affect bank risk-taking?

Altunbaş, Yener; Gambacorta, Leonardo; Marqués … - Bank für Internationalen Zahlungsausgleich <Basel> - 2010

This paper investigates the relationship between short-term interest rates and bank risk. Using a unique database that includes quarterly balance sheet information for listed banks operating in the European Union and the United States in the last decade, we find evidence that unusually low...

Persistent link: https://www.econbiz.de/10005871021

A Framework for Assessing the Systemic Risk of Major Financial Institutions

Huang, Xin Xun; Zhou, Hao; Zhu, Haibin - Bank für Internationalen Zahlungsausgleich <Basel> - 2009

In this paper we propose a framework for measuring and stress testing the systemic risk of a group of major financial institutions. The systemic risk is measured by the price of insurance against financial distress, which is based on ex ante measures of default probabilities of individual banks...

Persistent link: https://www.econbiz.de/10009138492

Measuring portfolio credit risk correctly: why parameter uncertainty matters

Tarashev, Nikola A. - Bank für Internationalen Zahlungsausgleich <Basel> - 2009

Why should risk management systems account for parameter uncertainty? In order to answer this question, this paper lets an investor in a credit portfolio face non-diversifiable estimation-driven uncertainty about two parameters: probability of default and asset-return correlation. Bayesian...

Persistent link: https://www.econbiz.de/10009138496

Innovations in credit risk transfer: implications for financial stability

Duffie, Darrell - Bank für Internationalen Zahlungsausgleich <Basel> - 2008

Banks and other lenders often transfer credit risk to liberate capital for further loan intermediation. This paper aims to explore the design, prevalence and effectiveness of credit risk transfer (CRT). The focus is on the costs and benefits for the efficiency and stability of the financial...

Persistent link: https://www.econbiz.de/10009302515