Annual Conference

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International Macroeconomics, Money & Banking

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May 2016

Monetary Policy and Financial Spillovers: Losing Traction?

Piti DISYATAT , Phurichai RUNGCHAROENKITKUL
Has financial globalisation compromised central banks' ability to manage domestic financial conditions? This paper tackles this question by studying the dynamics of bond yields encompassing 31 advanced and emerging market economies. To gauge the extent to which external financial conditions complica...
Keywords: monetary policy, financial spillovers, contagion, interest rates, trilemma, bond risk premium, capital flows
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Annual Conference

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International Macroeconomics, Money & Banking

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May 2016

Long-term interest rates and bank loan supply: Evidence from firm-bank loan-level data

Arito ONO, Kosuke AOKI, Shinichi NISHIOKA, Kohei SHINTANI, Yosuke YASUI
Based on a mean-variance model of bank portfolio selection subject to the value-at-risk constraint, we make predictions on transmission channels through which lower long-term interest rates increase bank loan supply: the portfolio balance channel, the bank balance sheet channel, and the risk-taking ...
Keywords: monetary policy, bank loan, portfolio balance channel, bank balance sheet channel, risk-taking channel, value-at-risk constraint
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Annual Conference

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International Macroeconomics, Money & Banking

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May 2016

Lender of Last Resort versus Buyer of Last Resort - The Impact of the European Central Bank Actions on the Bank-Sovereign Nexus

Viral V. ACHARYA, Diane PIERRET, Sascha STEFFEN
In summer 2011, elevated sovereign risk in Eurozone peripheral countries increased the solvency risk of Eurozone banks, precipitating a run on their short-term debt. We assess the effectiveness of different European Central Bank (ECB) interventions that followed – lender of last resort vs. buyer o...
Keywords: Money market funds, repos, bank risk, sovereign debt, ECB
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Annual Conference

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International Macroeconomics, Money & Banking, Senior Fellows/Fellows

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May 2016

International Transmissions of Monetary Shocks: Between a Trilemma and a Dilemma

Shang-Jin WEI , Xuehui HAN
This paper re-examines international transmissions of monetary policy shocks from advanced economies to emerging market economies. In terms of methodologies, it combines three novel features. First, it separates co-movement in monetary policies due to common shocks from spillovers of monetary polici...
Keywords: Interest rate shocks, Fixed exchange rate, Flexible exchange rate, dilemma, trilemma, Capital flow management
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Annual Conference

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International Macroeconomics, Money & Banking, Senior Fellows/Fellows

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May 2016

Declining Trends in the Real Interest Rate and Inflation: Role of Aging

Shigeru FUJITA , Ippei FUJIWARA
This paper explores a causal link between aging of the labor force and declining trends in the real interest rate and inflation in Japan. We develop a New Keynesian search/matching model that features heterogeneities in age and firm-specific skills. Using the model, we examine the long-run implicati...
Keywords: aging, natural rate, deflation, Japan
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