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Working Paper
U.S. Unconventional Monetary Policy and Transmission to Emerging Market Economies
Bowman, David; Londono, Juan M.; Sapriza, Horacio
(2014-06-23)
We investigate the effects of U.S. unconventional monetary policies on sovereign yields, foreign exchange rates, and stock prices in emerging market economies (EMEs), and we analyze how these effects depend on country-specifc characteristics. We find that, although EME asset prices, mainly those of sovereign bonds, responded strongly to unconventional monetary policy announcements, these responses were not outsized with respect to a model that takes into account each country's time-varying vulnerability to U.S. interest rates affected by monetary policy shocks.
International Finance Discussion Papers
, Paper 1109
Working Paper
International Stock Comovements with Endogenous Clusters
Owyang, Michael T.; Jackson, Laura E.; Coroneo, Laura
(2020-03-27)
We examine international stock return comovements of country-industry portfolios. Our model allows comovements to be driven by a global and a cluster component, with the cluster membership endogenously determined. Results indicate that country-industry portfolios tend to cluster mainly within geographical areas that can include one or more countries. The cluster compositions substantially changed over time, with the emergence of clusters among European countries from the early 2000s. The cluster component was the main driver of country-industry portfolio returns for most of the sample, except ...
Working Papers
, Paper 2018-038
Working Paper
Policy Rules and Large Crises in Emerging Markets
Espino, Emilio; Sanchez, Juan M.; Martin, Fernando M.; Kozlowski, Julian
(2023-02-21)
Emerging countries have increasingly adopted rules to discipline government policy. The COVID-19 shock lead to widespread suspension and modification of these rules. We study rules and flexibility in a sovereign default model with domestic fiscal and monetary policies and long-term external debt. We find welfare gains from adopting monetary targets and debt limits during normal times. Though government policy cannot itself counteract fundamental shocks hitting the economy, the adoption of rules has a significant impact on policy, macroeconomic outcomes and welfare during large, unexpected ...
Working Papers
, Paper 2022-018
Working Paper
Institutional Investors, the Dollar, and U.S. Credit Conditions
Schmidt-Eisenlohr, Tim; Niepmann, Friederike
(2019-04-22)
This paper documents that an appreciation of the U.S. dollar is associated with a reduction in the supply of commercial and industrial loans by U.S. banks. An increase in the broad dollar index by 2.5 points (one standard deviation) reduces U.S. banks' corporate loan originations by 10 percent. This decline is driven by a reduction in the demand for loans on the secondary market where prices fall and liquidity worsens when the dollar appreciates, with stronger effects for riskier loans. Today, the main buyers of U.S. corporate loans---and, hence, suppliers of funding for these loans---are ...
International Finance Discussion Papers
, Paper 1246
Working Paper
Optimal Bailouts in Banking and Sovereign Crises
Hur, Sewon; Sosa-Padilla, César; Yom, Zeynep
(2021-01-29)
We study optimal bailout policies in the presence of banking and sovereign crises. First, we use European data to document that asset guarantees are the most prevalent way in which sovereigns intervene during banking crises. Then, we build a model of sovereign borrowing with limited commitment, where domestic banks hold government debt and also provide credit to the private sector. Shocks to bank capital can trigger banking crises, with government sometimes finding it optimal to extend guarantees over bank assets. This leads to a trade-off: Larger bailouts relax domestic financial frictions ...
Globalization Institute Working Papers
, Paper 406
Journal Article
Decentralized Finance: On Blockchain- and Smart Contract-Based Financial Markets
Schär, Fabian
(2021-04-15)
The term decentralized finance (DeFi) refers to an alternative financial infrastructure built on top of the Ethereum blockchain. DeFi uses smart contracts to create protocols that replicate existing financial services in a more open, interoperable, and transparent way. This article highlights opportunities and potential risks of the DeFi ecosystem. I propose a multi-layered framework to analyze the implicit architecture and the various DeFi building blocks, including token standards, decentralized exchanges, decentralized debt markets, blockchain derivatives, and on-chain asset management ...
Review
, Volume 103
, Issue 2
, Pages 153-174
Working Paper
Bad Sovereign or Bad Balance Sheets? Euro Interbank Market Fragmentation and Monetary Policy, 2011-2015
Gabrieli, Silvia; Labonne, Claire
(2018-07-12)
We measure the relative role of sovereign-dependence risk and balance sheet (credit) risk in euro area interbank market fragmentation from 2011 to 2015. We combine bank-to-bank loan data with detailed supervisory information on banks? cross-border and cross-sector exposures. We study the impact of the credit risk on banks? balance sheets on their access to, and the price paid for, interbank liquidity, controlling for sovereign-dependence risk and lenders? liquidity shocks. We find that (i) high non-performing loan ratios on the GIIPS portfolio hinder banks? access to the interbank market ...
Supervisory Research and Analysis Working Papers
, Paper RPA 18-3
Report
LIBOR: origins, economics, crisis, scandal, and reform
Hou, David; Skeie, David R.
(2014-03-01)
The London Interbank Offered Rate (LIBOR) is a widely used indicator of funding conditions in the interbank market. As of 2013, LIBOR underpins more than $300 trillion of financial contracts, including swaps and futures, in addition to trillions more in variable-rate mortgage and student loans. LIBOR's volatile behavior during the financial crisis provoked questions surrounding its credibility. Ongoing regulatory investigations have uncovered misconduct by a number of financial institutions. Policymakers across the globe now face the task of reforming LIBOR in the aftermath of the scandal and ...
Staff Reports
, Paper 667
Working Paper
Financial Crises and the Composition of Cross-Border Lending
Cerutti, Eugenio; Minoiu, Camelia; Hale, Galina
(2014-08-10)
We examine the composition and drivers of cross-border bank lending between 1995 and 2012, distinguishing between syndicated and non-syndicated loans. We show that on-balance sheet syndicated loan exposures, which account for almost one third of total cross-border loan exposures, increased during the global financial crisis due to large drawdowns on credit lines extended before the crisis. Our empirical analysis of the drivers of cross-border loan exposures in a large bilateral dataset leads to three main results. First, banks with lower levels of capital favor syndicated over other kinds of ...
Working Paper Series
, Paper 2014-20
Working Paper
Domestic Policies and Sovereign Default
Kozlowski, Julian; Espino, Emilio; Martin, Fernando M.; Sanchez, Juan M.
(2023-09-06)
A model with two essential elements, sovereign default and distortionary fiscal and monetary policies, explains the interaction between sovereign debt, default risk and inflation in emerging countries. We derive conditions under which monetary policy is actively used to support fiscal policy and characterize the intertemporal tradeoffs that determine the choice of debt. We show that in response to adverse shocks to the terms of trade or productivity, governments reduce debt and deficits, and increase inflation and currency depreciation rates, matching the patterns observed in the data for ...
Working Papers
, Paper 2020-017
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affine arbitrage-free models 1 items
arbitrage-free model 1 items
art auction 1 items
bank 1 items
bank holding companies 1 items
betting against beta 1 items
blockmodels 1 items
bond market 1 items
bond yields 1 items
boom-bust cycles 1 items
business cycle 1 items
business models 1 items
central banks 1 items
central parity 1 items
climate change 1 items
commodity price 1 items
convenience yields 1 items
copula 1 items
corporate bond returns 1 items
corporate capital structure 1 items
corporate credit 1 items
country risk premium 1 items
covered interest parity 1 items
credit and real activity outcomes 1 items
credit rationing 1 items
credit risks 1 items
credit supply 1 items
credit-risk spillovers 1 items
cross-border banking 1 items
cross-border operations 1 items
cross-border payments 1 items
cross-border transmission 1 items
cross‐border lending 1 items
cryptocurrency 1 items
currency depreciation 1 items
currency policy 1 items
currency swaps 1 items
debt issuances 1 items
debt market 1 items
debt maturity 1 items
debt structure 1 items
default risk 1 items
derivatives 1 items
derivatives hedging 1 items
diversification benefit 1 items
dollar hedging 1 items
dollar. 1 items
dynamic factor models 1 items
dynamic panel data model 1 items
efficiency 1 items
efficient international portfolio 1 items
emerging market economies (EMEs) 1 items
equity 1 items
equity index portfolio 1 items
equity risk premium 1 items
etfs 1 items
euro 1 items
exchange controls 1 items
exchange market pressure 1 items
exchange rate disconnect 1 items
exchange rate forecasting 1 items
exchange rate policy 1 items
exchange rate regimes 1 items
exchange rate stabilization 1 items
exchange-traded funds 1 items
external finance dependence 1 items
facilities 1 items
financial crisis 1 items
financial cycles 1 items
financial development 1 items
financial services 1 items
firm performance 1 items
fiscal deficits 1 items
fixed exchange rates 1 items
flexible exchange rate 1 items
flight-to-safety 1 items
force majeure 1 items
forecasting 1 items
foreign exchange reserves 1 items
foreign exchange risk 1 items
foreign exposure 1 items
fragmentation 1 items
futures 1 items
global credit 1 items
global dollar cycle 1 items
global equity activity 1 items
global financial crisis 1 items
global imbalances 1 items
global liquidity 1 items
global production network 1 items
government bonds 1 items
government demand 1 items
government expenditures 1 items
growth 1 items
heat wave 1 items
high-frequency data 1 items
house prices 1 items
immediacy 1 items
incomplete markets 1 items
information contagion 1 items
innovation 1 items
interbank 1 items
interbank markets 1 items
interconnectedness 1 items
international 1 items
international business cycles 1 items
international diversification 1 items
international financial shocks 1 items
international financing 1 items
international prices 1 items
intervention 1 items
intraday 1 items
inventory risk 1 items
investing 1 items
joint predictive distribution 1 items
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