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Outlook for Interest Rates and Japanese Banksâ€™ Risk Exposures under Abenomics

Arslanalp, Serkan; Lam, Raphael W. - International Monetary Fund (IMF) - 2013

This paper examines how Japan’s long-term interest rates and Japanese banks’ interest rate risk exposures may evolve … yields in Japan are determined to a large extent by growth and inflation outlook, fiscal conditions, demography, and the … increased purchases by the Bank of Japan. At the same time, illustrative scenarios suggest the interest rate risk exposure of …

Persistent link: https://www.econbiz.de/10011142198

Global Bonding; Do U.S. Bond and Equity Spillovers Dominate Global Financial Markets?

Bayoumi, Tamim; Bui, Trung - International Monetary Fund (IMF) - 2012

financial markets and spillovers from Europe to Japan. The results also suggest that the uncertainty about the direction of …

Persistent link: https://www.econbiz.de/10011242378

Does the Clarity of Inflation Reports Affect Volatility in Financial Markets?

Bulir, Ales; Cihak, Martin; Jansen, David-Jan - International Monetary Fund (IMF) - 2014

We study whether clarity of central bank inflation reports affects return volatility in financial markets. We measure clarity of reports by the Czech National Bank, the European Central Bank, the Bank of England, and Sveriges Riksbank using the Flesch-Kincaid grade level, a standard readability...

Persistent link: https://www.econbiz.de/10010959473

Deciphering Delphic Guidance: The Bank of England and Brexit

Chadha, Jagjit - 2024

Brexit, the Bank of England (BoE) adopted various methods of influencing market rates, including conventional, unconventional … Committee minutes is then used to measure the stance of policy, attitudes to QE and Brexit. We show that the Bank …, and acted to lower the term premium that might otherwise have risen in response to Brexit uncertainty …

Persistent link: https://www.econbiz.de/10015080192

Systemic Risk and Asymmetric Responses in the Financial Industry

López-Espinosa, Germán; Rubia, Antonio; Valderrama, Laura - International Monetary Fund (IMF) - 2012

To date, an operational measure of systemic risk capturing non-linear tail comovement between system-wide and individual bank returns has not yet been developed. This paper proposes an extension of the so-called CoVaR measure that captures the asymmetric response of the banking system to...

Persistent link: https://www.econbiz.de/10011142002

FX Funding Risks and Exchange Rate Volatilityâ€“Koreaâ€™s Case

Ree, Jack; Yoon, Kyoungsoo; Park, Hail - International Monetary Fund (IMF) - 2012

This paper examines how exchange rate volatility and Korean banksâ€™ foreign exchange liquidity mismatches interacted with each other during the Global Financial Crisis, and whether the vulnerability stemming from this interaction has been reduced since then. Structural and cyclical changes...

Persistent link: https://www.econbiz.de/10011142019

Equity Returns in the Banking Sector in the Wake of the Great Recession and the European Sovereign Debt Crisis

International Monetary Fund (IMF); International … - 2012

This study finds that equity returns in the banking sector in the wake of the Great Recession and the European sovereign debt crisis have been driven mainly by weak growth prospects and heightened sovereign risk and to a lesser extent, by deteriorating funding conditions and investor sentiment....

Persistent link: https://www.econbiz.de/10011142021

Banking and Trading

Boot, Arnoud W.A.; Ratnovski, Lev - International Monetary Fund (IMF) - 2012

We study the effects of a bank's engagement in trading. Traditional banking is relationship-based: not scalable, long-term oriented, with high implicit capital, and low risk (thanks to the law of large numbers). Trading is transactions-based: scalable, shortterm, capital constrained, and with...

Persistent link: https://www.econbiz.de/10011142044

Why are the G-20 Data Gaps Initiative and the SDDS Plus Relevant for Financial Stability Analysis?

Heath, Robert M. - International Monetary Fund (IMF) - 2013

In the wake of the recent global crisis the international community is giving an increased focus on stability of the financial system, so-called financial stability analysis. With the increasing need for data sets to undertake this analysis, the question naturally arises as to what types of data...

Persistent link: https://www.econbiz.de/10011142045

Capital Regulation, Liquidity Requirements and Taxation in a Dynamic Model of Banking

Nicoló, Gianni De; Gamba, Andrea; Lucchetta, Marcella - International Monetary Fund (IMF) - 2012

This paper studies the impact of bank regulation and taxation in a dynamic model with banks exposed to credit and liquidity risk. We find an inverted U-shaped relationship between capital requirements and bank lending, efficiency, and welfare, with their benefits turning into costs beyond a...

Persistent link: https://www.econbiz.de/10011142059