Bank Lending and Interest Rate Changes in a Dynamic Matching Model PDF Download

Author: Mr.Giovanni Dell'Ariccia
Publisher: International Monetary Fund
ISBN: 1451951310
Category : Business & Economics
Languages : en
Pages : 47

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Book Description
This paper presents theory and evidence on the dynamic relationship between aggregate bank lending and interest rate changes. Theoretically, it proposes and solves a stochastic matching model where credit expansion and contraction are time consuming. It shows that the response of bank lending to changes in money market rates is likely to be asymmetric and depends crucially on two structural parameters: the speed at which new loans become available, and the speed at which banks recall existing loans. Empirically, it provides evidence that bank lending in Mexico and the United States responds asymmetrically to positive and negative shocks in money market rates.

Author: International Monetary Fund. Research Dept.
Publisher: International Monetary Fund
ISBN: 1451973608
Category : Business & Economics
Languages : en
Pages : 168

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Book Description
This paper presents international evidence on the determinants of trade dynamics. It provides some new empirical perspectives on the relationship between international trade and macroeconomic fluctuations in industrial economies. A comprehensive set of stylized facts concerning fluctuations in trade variables and their determinants is presented. A measure of the quantitative importance of international trade for the propagation of domestic business cycles is then constructed, focusing on the role of external trade as a catalyst for cyclical recoveries.

Author:
Publisher: Lulu.com
ISBN: 9291316695
Category : Bank capital
Languages : en
Pages : 294

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Book Description

Author: Stuart Sayer
Publisher: John Wiley & Sons
ISBN: 1405129115
Category : Business & Economics
Languages : en
Pages : 292

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Book Description
This collection of survey articles sheds light on crucial questions in the field of monetary, financial and macroeconomic policy. Applies rigorous economic theory and empirical analysis to important practical policy issues. Considers the role of the financial sector in economic development. Looks at why financial crises occur and how they can be avoided. Discusses the relationship between macroeconomic adjustment and poverty. Asks if low-inflation rate regimes are at risk from the ‘zero bound’ to nominal interest rates. Provides accessible overviews of recent research into these questions.

Author: International Monetary Fund
Publisher: International Monetary Fund
ISBN: 9781557758606
Category : Business & Economics
Languages : en
Pages : 124

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Book Description
A selective index of major research papers prepared by IMF staff in 1991-98.

Author: Mengbo Zhang
Publisher:
ISBN:
Category :
Languages : en
Pages : 298

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Book Description
This dissertation consists of three chapters on banking and monetary economics. In Chapter 1, I study whether monetary policy is less effective in a low interest-rate environment. To answer this question, I examine how the passthrough of monetary policy to banks' deposit rates has changed, during the secular decline in interest rates in the U.S. over the last decades. In the data, the passthrough increased for about one third of banks, and decreased for the rest. Moreover, the deposit-weighted bank-average passthrough increased under a lower interest rate. I explain this observation in a model where banks have market power over loans and face capital constraints. In the model, when interest rates are low, the passthrough falls as policy rates fall, only in markets where loan competition is high. Hence, the overall passthrough depends on the distribution of loan market power. I confirm the model's prediction using branch-level data of U.S. banks. This channel also impacts the transmission of monetary policy to bank lending under low interest rates. In Chapter 2 (joint with Tsz-Nga Wong), we document a new channel mediating the effects of monetary policy and regulation, the disintermediation channel. When the interest rate on excess reserves (IOER) increases, fewer banks are intermediating in the Fed funds market, and they intermediate less. Thus, the total Fed funds traded decreases. Similarly, disintermediation happens after the balance sheet cost rises, e.g. the introduction of Basel III regulations. The disintermediation channel is significant and supported by empirical evidence on U.S. banks. To explain this channel, we develop a continuous-time search-and-bargaining model of divisible funds and endogenous search intensity that includes the matching model (e.g. Afonso and Lagos, 2015b) and the transaction cost model (e.g. Hamilton, 1996) as special cases. We solve the equilibrium in closed form, derive the dynamic distributions of trades and Fed fund rates, and the stopping times of entry and exit from the Fed fund market. IOER reduces the spread of marginal value of holding reserves, and hence the gain of intermediation. In general, the equilibrium is constrained inefficient, as banks intermediate too much. In Chapter 3 (joint with Saki Bigio and Eduardo Zilberman), we compare the advantages of lump-sum transfers versus a credit policy in response to the Covid-19 crisis. The Covid-19 crisis has lead to a reduction in the demand and supply of sectors that produce goods that need social interaction to be produced or consumed. We interpret the Covid-19 shock as a shock that reduces utility stemming from "social" goods in a two-sector economy with incomplete markets. For the same path of government debt, transfers are preferable when debt limits are tight, whereas credit policy is preferable when they are slack. A credit policy has the advantage of targeting fiscal resources toward agents that matter most for stabilizing demand. We illustrate this result with a calibrated model. We discuss various shortcomings and possible extensions to the model.

Author: International Monetary Fund
Publisher: International Monetary Fund
ISBN: 9781557759801
Category : Business & Economics
Languages : en
Pages : 144

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Book Description
Research activity in the IMF emphasizes the links between the organization's policy and operational concerns. The main objectives of research is IMF staff understanding of policy and operational issues relevant to the institution, and to improve the analytical quality of the work prepared for management and the Executive Board and the advice provided to member countries. The scope of research in the IMF is defined by the purposes and functions of the institution. In order to foster innovation and ensure quality control, the IMF makes much of its research available outside the institution and encourages staff to interact with academia and other research organizations through conferences, seminars, and occasional joint research projects. The visiting scholar’s program has also enhanced the quality of research done in the IMF. This program brings in leading members of the economics profession from around the world to assist in the preparation of papers for the Executive Board and to conduct research on IMF-related issues.

Author: Ken O. Kortanek
Publisher: John Wiley & Sons
ISBN:
Category : Business & Economics
Languages : en
Pages : 248

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Book Description
This book offers a new approach to interest rate and modeling term structure by using models based on optimization of dynamical systems, rather than the traditional stochastic differential equation models. The authors use dynamic models to estimate the term structure of interest rates and show the reader how to build their own numerical simulations. It includes software that will enable readers to simulate the various models covered in the book.

Author: Morton Glantz
Publisher: Academic Press
ISBN: 0123785863
Category : Business & Economics
Languages : en
Pages : 557

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Book Description
More efficient credit portfolio engineering can increase the decision-making power of bankers and boost the market value of their banks. By implementing robust risk management procedures, bankers can develop comprehensive views of obligors by integrating fundamental and market data into a portfolio framework that treats all instruments similarly. Banks that can implement strategies for uncovering credit risk investments with the highest return per unit of risk can confidently build their businesses. Through chapters on fundamental analysis and credit administration, authors Morton Glantz and Johnathan Mun teach readers how to improve their credit skills and develop logical decision-making processes. As readers acquire new abilities to calculate risks and evaluate portfolios, they learn how credit risk strategies and policies can affect and be affected by credit ratings and global exposure tracking systems. The result is a book that facilitates the discipline of market-oriented portfolio management in the face of unending changes in the financial industry. Concentrates on the practical implementation of credit engineering strategies and tools Demonstrates how bankers can use portfolio analytics to increase their insights about different groups of obligors Investigates ways to improve a portfolio’s return on risk while minimizing probability of insolvency

Author: International Monetary Fund
Publisher: International Monetary Fund
ISBN: 9781557758620
Category : Business & Economics
Languages : en
Pages : 98

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Book Description
This report, commissioned by the Executive Board, was prepared by a committee of academic economists. The report assesses the appropriateness of current research activities, the quality and added value of the IMF's economic research and its utility in the IMF among its member countries and within the wider economics community. This publication also includes responses to the report by the IMF's staff, Managing Director, and Executive Board.