In this paper we look to model the volatility of money market interest rates -and the transmission of volatility- along the money market yield curve in four countries: the UK, Germany, France and Spain. We use a conditional variance specification which is based on Nelson's Exponential ARCH. We...

Version en ingles del documento de trabajo reseñado anteriormente en el Boletin del Sistema Financiero Español n.47, en el que se incluye un resumen del contenido de este documento. (igg) ; En este trabajo se ofrecen algunas estimaciones sectoriales del mecanismo de transmision monetaria en...

Ofrece estimaciones sectoriales del mecanismo de transmision monetaria en España. Utilizando la metodologia VAR, se cuantifican los efectos que un impulso monetario exogeno tiene sobre las variables intermedias y finales que son el objetivo de la politica monetaria. Partiendo de que la...

A number of recent papers have used policy simulations from small empirical macro models to assess the efficacy of inflation-forecast targeting. The macro models used to undertake the simulations differ significantly with the assumed degree of openness, an important factor for the analysis....

AbstractThe following sections are included:IntroductionComplexity, Comparability, and CredibilityCan Less Be More in Finance?Leverage versus Risk-Based CapitalModelling the Risk of Small Bank DefaultModeling Financial RiskPublic Policy ImplicationsConclusionReferences

This paper discusses the too-big-to-fail problem from the perspective of individual banks and the financial system as a whole. It starts by exploring the potential implications of recent financial deepening and concentration, which has generated escalating expectations of state support, thereby...