Negative Monetary Policy Rates And Portfolio Rebalancing PDF Download
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| Author | : Margherita Bottero |
| Publisher | : International Monetary Fund |
| Total Pages | : 59 |
| Release | : 2019-02-28 |
| Genre | : Business & Economics |
| ISBN | : 1498300855 |
Download Negative Monetary Policy Rates and Portfolio Rebalancing: Evidence from Credit Register Data Book in PDF, ePub and Kindle
We study negative interest rate policy (NIRP) exploiting ECB's NIRP introduction and administrative data from Italy, severely hit by the Eurozone crisis. NIRP has expansionary effects on credit supply-- -and hence the real economy---through a portfolio rebalancing channel. NIRP affects banks with higher ex-ante net short-term interbank positions or, more broadly, more liquid balance-sheets, not with higher retail deposits. NIRP-affected banks rebalance their portfolios from liquid assets to credit—especially to riskier and smaller firms—and cut loan rates, inducing sizable real effects. By shifting the entire yield curve downwards, NIRP differs from rate cuts just above the ZLB.
| Author | : MARGHERITA; MINOIU BOTTERO (CAMELIA; PEYDRO, JOSE.) |
| Publisher | : |
| Total Pages | : |
| Release | : |
| Genre | : |
| ISBN | : 9781498301800 |
Download NEGATIVE MONETARY POLICY RATES AND PORTFOLIO REBALANCING Book in PDF, ePub and Kindle
| Author | : Andreas Jobst |
| Publisher | : International Monetary Fund |
| Total Pages | : 48 |
| Release | : 2016-08-20 |
| Genre | : Business & Economics |
| ISBN | : 1475528590 |
Download Negative Interest Rate Policy (NIRP) Book in PDF, ePub and Kindle
More than two years ago the European Central Bank (ECB) adopted a negative interest rate policy (NIRP) to achieve its price stability objective. Negative interest rates have so far supported easier financial conditions and contributed to a modest expansion in credit, demonstrating that the zero lower bound is less binding than previously thought. However, interest rate cuts also weigh on bank profitability. Substantial rate cuts may at some point outweigh the benefits from higher asset values and stronger aggregate demand. Further monetary accommodation may need to rely more on credit easing and an expansion of the ECB’s balance sheet rather than substantial additional reductions in the policy rate.
| Author | : Luís Brandão Marques |
| Publisher | : International Monetary Fund |
| Total Pages | : 84 |
| Release | : 2021-03-03 |
| Genre | : Business & Economics |
| ISBN | : 1513570080 |
Download Negative Interest Rates Book in PDF, ePub and Kindle
This paper focuses on negative interest rate policies and covers a broad range of its effects, with a detailed discussion of findings in the academic literature and of broader country experiences.
| Author | : Christoph Basten |
| Publisher | : |
| Total Pages | : 62 |
| Release | : 2018 |
| Genre | : |
| ISBN | : |
Download How Banks Respond to Negative Interest Rates Book in PDF, ePub and Kindle
We analyze the effect of negative monetary policy rates on banks, using detailed supervisory information from Switzerland. For identification, we compare changes in the behavior of banks that had different fractions of their central bank reserves exempt from negative rates. More affected banks reduce costly reserves and bond financing while maintaining non-negative deposit rates and larger deposit ratios. Higher fee and interest income successfully compensates for squeezed liability margins, but credit and interest rate risk increase. Portfolio rebalancing implies relatively more lending, also compared to an earlier rate cut within positive territory, and risk-taking reduces regulatory capital cushions and liquidity.
| Author | : Mr.Giovanni Dell'Ariccia |
| Publisher | : International Monetary Fund |
| Total Pages | : 41 |
| Release | : 2013-06-06 |
| Genre | : Business & Economics |
| ISBN | : 1484381130 |
Download Bank Leverage and Monetary Policy's Risk-Taking Channel Book in PDF, ePub and Kindle
We present evidence of a risk-taking channel of monetary policy for the U.S. banking system. We use confidential data on the internal ratings of U.S. banks on loans to businesses over the period 1997 to 2011 from the Federal Reserve’s survey of terms of business lending. We find that ex-ante risk taking by banks (as measured by the risk rating of the bank’s loan portfolio) is negatively associated with increases in short-term policy interest rates. This relationship is less pronounced for banks with relatively low capital or during periods when banks’ capital erodes, such as episodes of financial and economic distress. These results contribute to the ongoing debate on the role of monetary policy in financial stability and suggest that monetary policy has a bearing on the riskiness of banks and financial stability more generally.
| Author | : Ruchir Agarwal |
| Publisher | : International Monetary Fund |
| Total Pages | : 89 |
| Release | : 2019-04-29 |
| Genre | : Business & Economics |
| ISBN | : 1484398777 |
Download Enabling Deep Negative Rates to Fight Recessions: A Guide Book in PDF, ePub and Kindle
The experience of the Great Recession and its aftermath revealed that a lower bound on interest rates can be a serious obstacle for fighting recessions. However, the zero lower bound is not a law of nature; it is a policy choice. The central message of this paper is that with readily available tools a central bank can enable deep negative rates whenever needed—thus maintaining the power of monetary policy in the future to end recessions within a short time. This paper demonstrates that a subset of these tools can have a big effect in enabling deep negative rates with administratively small actions on the part of the central bank. To that end, we (i) survey approaches to enable deep negative rates discussed in the literature and present new approaches; (ii) establish how a subset of these approaches allows enabling negative rates while remaining at a minimum distance from the current paper currency policy and minimizing the political costs; (iii) discuss why standard transmission mechanisms from interest rates to aggregate demand are likely to remain unchanged in deep negative rate territory; and (iv) present communication tools that central banks can use both now and in the event to facilitate broader political acceptance of negative interest rate policy at the onset of the next serious recession.
| Author | : Edward E. Qian |
| Publisher | : CRC Press |
| Total Pages | : 263 |
| Release | : 2018-12-07 |
| Genre | : Mathematics |
| ISBN | : 1498732453 |
Download Portfolio Rebalancing Book in PDF, ePub and Kindle
The goal of Portfolio Rebalancing is to provide mathematical and empirical analysis of the effects of portfolio rebalancing on portfolio returns and risks. The mathematical analysis answers the question of when and why fixed-weight portfolios might outperform buy-and-hold portfolios based on volatilities and returns. The empirical analysis, aided by mathematical insights, will examine the effects of portfolio rebalancing in capital markets for asset allocation portfolios and portfolios of stocks, bonds, and commodities.
| Author | : Laurent Ferrara |
| Publisher | : Springer |
| Total Pages | : 298 |
| Release | : 2018-06-13 |
| Genre | : Business & Economics |
| ISBN | : 3319790757 |
Download International Macroeconomics in the Wake of the Global Financial Crisis Book in PDF, ePub and Kindle
This book collects selected articles addressing several currently debated issues in the field of international macroeconomics. They focus on the role of the central banks in the debate on how to come to terms with the long-term decline in productivity growth, insufficient aggregate demand, high economic uncertainty and growing inequalities following the global financial crisis. Central banks are of considerable importance in this debate since understanding the sluggishness of the recovery process as well as its implications for the natural interest rate are key to assessing output gaps and the monetary policy stance. The authors argue that a more dynamic domestic and external aggregate demand helps to raise the inflation rate, easing the constraint deriving from the zero lower bound and allowing monetary policy to depart from its current ultra-accommodative position. Beyond macroeconomic factors, the book also discusses a supportive financial environment as a precondition for the rebound of global economic activity, stressing that understanding capital flows is a prerequisite for economic-policy decisions.
| Author | : International Monetary Fund. Monetary and Capital Markets Department |
| Publisher | : INTERNATIONAL MONETARY FUND |
| Total Pages | : 0 |
| Release | : 2015-04-15 |
| Genre | : Business & Economics |
| ISBN | : 9781498372930 |
Download Global Financial Stability Report, April 2015 Book in PDF, ePub and Kindle
The current report finds that, despite an improvement in economic prospects in some key advanced economies, new challenges to global financial stability have arisen. The global financial system is being buffeted by a series of changes, including lower oil prices and, in some cases, diverging growth patterns and monetary policies. Expectations for rising U.S. policy rates sparked a significant appreciation of the U.S. dollar, while long term bond yields in many advanced economies have decreased—and have turned negative for almost a third of euro area sovereign bonds—on disinflation concerns and the prospect of continued monetary accommodation. Emerging markets are caught in these global cross currents, with some oil exporters and other facing new stability challenges, while others have gained more policy space as a result of lower fuel prices and reduced inflationary pressures. The report also examines changes in international banking since the global financial crisis and finds that these changes are likely to promote more stable bank lending in host countries. Finally, the report finds that the asset management industry needs to strengthen its oversight framework to address financial stability risks from incentive problems between end-investors and portfolio managers and the risk of runs due to liquidity mismatches.
