Search results

1 – 10 of over 15000
Book part
Publication date: 18 January 2022

Alessandro Rebucci, Jonathan S. Hartley and Daniel Jiménez

This chapter conducts an event study of 30 quantitative easing (QE) announcements made by 21 central banks on daily government bond yields and bilateral US dollar exchange…

Abstract

This chapter conducts an event study of 30 quantitative easing (QE) announcements made by 21 central banks on daily government bond yields and bilateral US dollar exchange rates in March and April 2020, in the midst of the global financial turmoil triggered by the COVID-19 outbreak. The chapter also investigates the transmission of innovations to long-term interest rates in a standard GVAR model estimated with quarterly pre-COVID-19 data. The authors find that QE has not lost effectiveness in advanced economies and that its international transmission is consistent with the working of long-run uncovered interest rate parity and a large dollar shortage shock during the COVID-19 period. In emerging markets, the QE impact on bond yields is much stronger and its transmission to exchange rates is qualitatively different than in advanced economies. The GVAR evidence that the authors report illustrates the Fed’s pivotal role in the global transmission of long-term interest rate shocks, but also the ample scope for country-specific interventions to affect local financial market conditions, even after controlling for common factors and spillovers from other countries. The GVAR evidence also shows that QE interventions can have sizable real effects on output driven by a very persistent impact on long-term interest rates.

Details

Essays in Honor of M. Hashem Pesaran: Prediction and Macro Modeling
Type: Book
ISBN: 978-1-80262-062-7

Keywords

Article
Publication date: 6 March 2017

He Li, Zhixiang Yu, Chuanjie Zhang and Zhuang Zhang

The paper aims to investigate the determinants of China’s daily intervention in the foreign exchange market since the 2005 reform aimed at moving the Renminbi (RMB…

Abstract

Purpose

The paper aims to investigate the determinants of China’s daily intervention in the foreign exchange market since the 2005 reform aimed at moving the Renminbi (RMB) exchange rate regime towards greater flexibility.

Design/methodology/approach

The paper uses bivariate probit models to test whether China’s intervention decision is driven by three sets of factors, comprising Model I (basic model), Model II and Model III.

Findings

Evidence from the models suggests that medium-term Chinese interventions tend to be leaning-against-the-wind, whereas long-term interventions are leaning-with-the-wind. Furthermore, by analyzing exchange rate volatility, this paper finds that intervention is used by the Chinese central bank to ensure that there are no big swings in the RMB exchange rate.

Originality/value

The paper will be of value to other researchers attempting to understand the policy of the central bank and, in particular, the factors that can lead to interventions during periods of financial crisis.

Details

Studies in Economics and Finance, vol. 34 no. 1
Type: Research Article
ISSN: 1086-7376

Keywords

Article
Publication date: 1 March 2014

Andreas Bergmann

This paper investigates the accounting and reporting of government interventions during the most recent global financial crisis. It shows that governments do not report…

Abstract

This paper investigates the accounting and reporting of government interventions during the most recent global financial crisis. It shows that governments do not report all their interventions as required by accounting standards. The incompleteness of information may systematically lead to erroneous decisions and therefore jeopardize financial sustainability. Particularly relevant are shortcomings in the field of consolidation and the presentation of financial guarantees.

Details

Journal of Public Budgeting, Accounting & Financial Management, vol. 26 no. 1
Type: Research Article
ISSN: 1096-3367

Article
Publication date: 27 July 2010

Sarel Johannes Oberholster

The purpose of this paper is to examine modern monetary policy as practiced and promoted by the officials of Central Banks, with the Federal Reserve Bank of the USA and…

1381

Abstract

Purpose

The purpose of this paper is to examine modern monetary policy as practiced and promoted by the officials of Central Banks, with the Federal Reserve Bank of the USA and the Bank of Japan in leading roles.

Design/methodology/approach

Modern monetary policy is assessed for its rhetoric and its philosophies steeped in Keynesian traditions. The fallacies of relying on patently incorrect economic theory with specific critique on the assumption that saving is equal to investment (S=I) is exposed in the policy failures of themes such as quantitative easing, approaching the zero bound, wealth effects, the liquidity trap, forbearance lending and an unwavering belief in the power to inflate. An alternative credit theory is presented and discussed to explain the accumulation of monetary interventions in the modern banking environment. The credit theory is further expanded to evaluate an economy in distress as a result of an accumulation of monetary stimulations against a background of the philosophies of the Austrian school of economics.

Findings

Three decisive monetary policy outcomes are identified and substantiated in the Austrian philosophy of laissez faire; the probable outcome of modern monetary policies in deflationary stasis; and the destructive outcome of extreme monetary and fiscal interventions resulting in a hyperinflationary depression and destruction of the money unit.

Originality/value

The conceptual framework and content of the paper are mostly original and will contribute to the study of political and monetary economics.

Details

Journal of Financial Regulation and Compliance, vol. 18 no. 3
Type: Research Article
ISSN: 1358-1988

Keywords

Abstract

Details

Central Bank Policy: Theory and Practice
Type: Book
ISBN: 978-1-78973-751-6

Article
Publication date: 20 November 2017

Martin F. Grace, Jannes Rauch and Sabine Wende

The authors aim to analyze the impact of monetary policy interventions during the financial crisis of 2007-2009 on the stock prices of US insurance firms.

Abstract

Purpose

The authors aim to analyze the impact of monetary policy interventions during the financial crisis of 2007-2009 on the stock prices of US insurance firms.

Design/methodology/approach

The authors use an event study methodology and a database of 89 policy announcements to analyze if monetary policy interventions could restore stability in the insurance sector. In addition, the authors conduct a second-stage analysis to identify the individual firms’ determinants of their stock market response.

Findings

The results indicate that the market reaction depends upon the type of policy intervention as well as the timing of the intervention. A second stage analysis examines firm level determinants of the insurers’ stock price responses and finds various firm specific factors also affect the insurers’ reaction to policy interventions.

Originality/value

First, to the best of the authors’ knowledge, this paper is the first to examine the impact of non-conventional policy announcements on firms from the insurance sector during the financial crisis. Moreover, the authors add to the literature an analysis on how conventional central bank announcements affect insurance firms.

Details

The Journal of Risk Finance, vol. 18 no. 5
Type: Research Article
ISSN: 1526-5943

Keywords

Abstract

Details

Central Bank Policy: Theory and Practice
Type: Book
ISBN: 978-1-78973-751-6

Article
Publication date: 22 February 2008

David T. Llewellyn

The purpose of this paper is to offer an initial assessment of the Northern Rock (NR) crisis.

5376

Abstract

Purpose

The purpose of this paper is to offer an initial assessment of the Northern Rock (NR) crisis.

Design/methodology/approach

The paper describes the context of financial market turmoil and the multi‐dimensional aspects of the crisis.

Findings

The central finding of this paper is that the NR episode is a multi‐dimensional problem and reflects a complex set of inter‐related problems.

Originality/value

The paper brings together some of the strands of the analysis and addresses several lessons that can be learned.

Details

Journal of Financial Regulation and Compliance, vol. 16 no. 1
Type: Research Article
ISSN: 1358-1988

Keywords

Article
Publication date: 20 September 2011

Eria Hisali

This paper aims to examine regime switching behaviour of the nominal exchange rate in Uganda to shed light on the necessity (as well as efficacy) of the participation of…

Abstract

Purpose

This paper aims to examine regime switching behaviour of the nominal exchange rate in Uganda to shed light on the necessity (as well as efficacy) of the participation of the central bank market.

Design/methodology/approach

The homogenous two‐state Markov chain methodology was employed to investigate the possibility of regime changes in the nominal exchange rate. The maximum likelihood parameter estimates were obtained using the Broyden‐Fletcher‐Goldfarb‐Shanno iteration algorithm.

Findings

The results validate the expectation of the two distinct state spaces characterized as sharp and disruptive but short‐lived depreciations as well as small appreciations occurring through a long period. The central bank intervention actions are shown to be largely successful in mitigating the disruptive effects of the sharp depreciations.

Practical implications

The paper lends empirical support to the intervention actions of the Bank of Uganda. In face of the numerous disruptions to the short‐term exchange rate process, failure to intervene may cause rational panic and given the nature of investor behavior, this may quickly spread and even cause further disruptions. It is important for the central bank to send signals that these disruptions are temporary.

Originality/value

The homogenous Markov chain specification employed in this study makes it possible to avoid the pitfalls that may arise by attempting to specify a structural model for the exchange rate. In addition, inference about the different possible state spaces is made on the basis of all available information.

Details

African Journal of Economic and Management Studies, vol. 2 no. 2
Type: Research Article
ISSN: 2040-0705

Keywords

Abstract

Details

Central Bank Policy: Theory and Practice
Type: Book
ISBN: 978-1-78973-751-6

1 – 10 of over 15000