1,721,000 research outputs found
Measures of excess liquidity
Full text linkThe aim of this note is to provide an overview of various measures of excess liquidity, which can be defined as the deviation of the actual stock of money from an estimated equilibrium level. Given their dynamic nature, the excess liquidity measures under review are - in the light of long and variable lags of monetary policy - very useful tools to quantify future price pressures. In addition, excess liquidity measures consider inflation as a purely monetary phenomenon: neither the output gap nor liquidity gap - although both form an integral part of the concepts - an be held responsible for inducing a persistent rise in the price level. Despite strong theoretical support, the usefulness of excess liquidity measures depends on the stability of money demand, a question which has of course to be answered in the realm of empirical research. --P-star,excess liquidity,monetary policy,ECB
A case for money in the ECB monetary policy strategy
Full text linkOne major outcome of the review of the ECBs two pillar monetary policy strategy, which was published on 8 May 2003, has been the de facto downgrading of the hitherto prominent role assigned to the stock of money. According to the authors judgement, however, there is a strong theoretical and empirical rationale for the ECB monetary policy to pay close attention to the information content of money in the form of M3. However, the authors argue the ECB should make use of the so-called price gap or real money gap concept rather than the reference value as the latter runs the risk of giving misleading policy recommendations and compromising the indicator quality of the stock of money. Making use of M3 seems all the more rational as currently no better inflation indicator appears to exist in providing inflation forecasts in the euro area. --P-star,real money gap,excess liquidity,ECB
How the ECB and US Fed set interest rates
Full text linkMonetary policies of the ECB and US Fed can be characterised by Taylor rules, that is both central banks seem to be setting rates by taking into account the output gap and inflation. We also set up and tested Taylor rules which incorporate money growth and the euro-dollar exchange rate, thereby improving the fit between actual and Taylor rule based rates. In general, Taylor rules appear to be a much better way of describing Fed policy than ECB policy. Simulations suggest that the ECB's short-term interest rates have been at a much lower level in the last two years compared with what a Taylor rule would suggest. --European Central Bank,Federal Reserve,Monetary policy,Taylor rule
The slowdown in German bank lending - revisited
Full text linkThe rate of growth in bank loans to private households and firms in Germany has declined substantially since early 2000 and currently stands at virtually zero. In this article, we analyse whether cyclical factors (demand-side driven) or banks unwillingness and/or inability to lend (supply-side driven) can be held responsible for this trend.Our preliminary results suggest that the slowdown in bank loan expansion is largely driven by a decline in the demand for loans. This result is supported by taking into account the latest tendency of corporates substituting bank loans for the issuance of money and capital market instruments. Although it cannot be ruled out that supply-side restrictions have contributed to the dampening of real bank loan expansion, to date these factors have played only a minor role. --German bank lending,Credit rationing
'Free Banking' für nachhaltig gutes Geld
No full textDer internationale Finanzmarkt leidet derzeit unter den tiefgreifendsten Störungen seit der Weltwirtschaftskrise 1929. Wo liegen die Ursachen für die Krise? Wurden die Chancen für eine frühzeitige Eindämmung verpasst? Sind die verbreiteten Diagnoseansätze und die ergriffenen Maßnahmen zielführend? Wie ist das Finanzmarktstabilisierungsgesetz vor diesem Hintergrund zu beurteilen
Die Interimsperiode - eine Zeit für Turbulenzen?
Full text linkAnfang Mai dieses Jahres werden die Länder ausgewählt, die ab dem 1. Januar 1999 an der dritten Stufe der Europäischen Währungsunion teilnehmen werden, und gleichzeitig die bilateralen Zielparitäten zwischen den beteiligten Währungen verkündet. Die Entscheidung für diese frühzeitige Ankündigung der Zielparitäten wird damit begründet, daß dies den Finanzmarktteilnehmern Sicherheit über die Wertverhältnisse der teilnehmenden Währungen geben soll. Werden hierdurch in der Interimsperiode bis zum 31. Dezember 1998 Turbulenzen auf den Finanzmärkten vermieden? --
Interest rate convexity and the volatility smile
Full text linkWhen pricing the convexity effect in irregular interest rate derivatives such as, e.g., Libor-in-arrears or CMS, one often ignores the volatility smile, which is quite pronounced in the interest rate options market. This note solves the problem of convexity by replicating the irregular interest flow or option with liquidly traded options with different strikes thereby taking into account the volatility smile. This idea is known among practitioners for pricing CMS caps. We approach the problem on a more general scale and apply the result to various examples. --interest rate options,volatility smile,convexity,,option replication
The slowdown in German bank lending - revisited
Full text linkThe rate of growth in bank loans to private households and firms in Germany has declined substantially since early 2000 and currently stands at virtually zero. In this article, we analyse whether cyclical factors ('demand-side driven') or banks' unwillingness and/or inability to lend ('supply-side driven') can be held responsible for this trend.Our preliminary results suggest that the slowdown in bank loan expansion is largely driven by a decline in the demand for loans. This result is supported by taking into account the latest tendency of corporates substituting bank loans for the issuance of money and capital market instruments. Although it cannot be ruled out that supply-side restrictions have contributed to the dampening of real bank loan expansion, to date these factors have played only a minor role
Die Interimsperiode - eine Zeit für Turbulenzen?
No full textAnfang Mai dieses Jahres werden die Länder ausgewählt, die ab dem 1. Januar 1999 an der dritten Stufe der Europäischen Währungsunion teilnehmen werden, und gleichzeitig die bilateralen Zielparitäten zwischen den beteiligten Währungen verkündet. Die Entscheidung für diese frühzeitige Ankündigung der Zielparitäten wird damit begründet, daß dies den Finanzmarktteilnehmern Sicherheit über die Wertverhältnisse der teilnehmenden Währungen geben soll. Werden hierdurch in der Interimsperiode bis zum 31. Dezember 1998 Turbulenzen auf den Finanzmärkten vermieden
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