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Hodnotící komparace ústavněprávních pojetí vybraných centrálních bank světa z aspektu perspektiv ČNB. / The comparison of the constitutional conceptions of selected central banks of the world from perspectives of the CNBPospíšilová, Kateřina January 2016 (has links)
The master´s thesis is about the conceptions of the Czech National Bank, the Federal Reserve System, the European Central Bank and People's Bank of China. It focuses on the comparison of these conceptions with the created universal model of the central bank and its parameters, and finds out that the selected central banks are lot away from this model. Important is also a perspective of the Czech National Bank after joining the euro area and the fact that at this moment her role will be replaced by the European Central Bank. The European Central Bank, compared with the Federal Reserve and the People's Bank deviates the least from its inflation target and therefore is pretty close to reach a price stability. However, ECB clearly financed some government debts, and that is inconsistent with the law. In conclusion can be noted that the central banks of the Czech Republic, the United States and the euro area reach the high level of freedom and are independent of the other components of state power and vice versa People's Bank of China remains strongly dependent on the executive power.
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Three essays on the transmission of monetary policy in the euro area / Trois essais sur la transmission de la politique monétaire en zone euroPicault, Matthieu 28 June 2017 (has links)
Après Septembre 2008, du fait du gel du marché interbancaire, d’un manque de liquidité, d’une perte de confiance et des difficultés des institutions financières, la transmission de la politique monétaire au sein de la zone euro a été sévèrement altérée. La Banque Centrale Européenne (BCE) a donc dû avoir recours à des politiques monétaires non-conventionnelles. En considérant, au sein de la zone euro, les contraintes imposées à la banque centrale et la fragmentation des marchés financiers, l’objectif de cette thèse empirique est d’évaluer les canaux de transmission des politiques monétaires conventionnelles et non-conventionnelles de la BCE. Les comportements de prêts des banques étant liés à leurs coûts de financement, le premier essai se focalise sur le canal de transmission des prêts bancaires. Il étudie l’évolution des activités de prêts syndiqués d’institutions financières européennes et leur réaction aux politiques de la BCE. La communication de la banque centrale revêt une importance toute particulière dans une union monétaire. Les deuxième et troisième essais se concentrent sur le canal des signaux. Le deuxième essai étudie sur la communication durant les conférences de presse mensuelles ainsi que ses effets sur la prévisibilité des décisions de politique monétaire et sur les rendements et la volatilité des marchés financiers. Le dernier essai se focalise sur l’utilisation du guidage des taux d’intérêt futurs, une communication non-conventionnelle informant les marchés du niveau futur des taux d’intérêt de court-terme. Il étudie l’efficacité de cette annonce et sa capacité à influencer les prévisions de taux d’intérêt faites par les acteurs de marché. / After September 2008, due to a frozen interbank market, shortage of liquidity, loss of confidence, and collapsing financial institutions, the monetary policy transmission in the euro area was severely impaired. Under thus exceptional circumstances, the European Central Bank (ECB) had to turn to non-standard monetary policy measures. Considering, in the euro area, the constrained range of actions and fragmented financial markets, the objective of this empirical thesis is to assess the transmission channels of ECB standard and non-standard monetary policies and their effects on both financial markets and the economy.As banks’ lending behaviors are related to their financing costs, the first essay focuses on bank lending channel. It studies the evolution of lending activities of European financial institutions on the syndicated loan market and its reaction to the ECB standard and non-standard policies. The communication of the central bank is of utmost importance in a monetary union with heterogeneous, in terms of economic situations and cultures, countries. The second and third essays study the signaling channel of monetary policy. The second essay focuses on the communication during monthly press conferences and their effects on the predictability of monetary policy decisions and on financial markets returns and volatility. The last essay concentrates exclusively on the use of \textit{forward guidance} on interest rate, a non-standard central bank communication providing information on future short-term interest rates. It discusses its effectiveness and ability to lower market participants expected interest rates.
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The influence of the banking sector on central bank independence and inflation control : the case of Lebanon between 1985 and 1991Nasser, Yassar January 2008 (has links)
A substantial amount of prior research has focused on the relation between Central Bank Independence (CBI) and inflation control. However, this research is mainly theoretical or conducted using cross-country statistical regressions and correlations in the developed world. Little attention has been given to understanding this relation in emerging nations or the influence of interest groups on CBI and inflation in a specific context. This thesis addresses both gaps by conducting an in-depth observation and analysis of this relation in a single country (Lebanon) and the influence of the banking sector on both CBI and inflation during a period of high inflation. This empirical evidence in the case of Lebanon shows that Central Bank Independence from the government – even though abundant and complete – was not enough to control inflation. The influence of the banking sector on both CBI and inflation was more important. This work makes a contribution to knowledge through highlighting the importance of national contexts when evaluating the CBI-inflation relation. Furthermore, this research extends our understanding of the literature and its gaps, and presents a new way to conduct in-depth studies in the field. Finally, it provides practical insights that are of importance to central bankers, especially in emerging nations.
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The Impact of Electoral Cycles on Monetary Policies in Advanced and Developing EconomiesLupusor, Adrian January 2012 (has links)
The thesis provides a comparative estimation of the electoral cycles' influence on the monetary policies among a group of developed and developing countries. We use a non-linear central bank's reaction function which captures the regime switching behavior of the monetary authority depending on the proximity of elections. Moreover, we compare the reaction function with partial adjustment, which controls for policy inertia, with a non-inertial policy rule with serially correlated errors which takes into account other shocks determining the central bank to deviate from its policy rule. The estimation was performed via OLS, 2SLS and 3SLS, the preference being given to the last one due to correction of endogeneity problem and efficiency gains. Robust evidence about election induced monetary policies was found in 2 out of 10 developed economies and 4 out of 10 developing economies. In these countries, the central banks tend to be less inflation averse and/or less counter-cyclical (or even pro- cyclical) during electoral periods in comparison with normal times. Additionally, we find that the legislative framework, in these countries, incorporates significant deviations from the best practices of central bank independence. Finally, following the dynamic inconsistency problem, we document a strong...
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Komunikace centrálních bank vůči finanční stabilitě / Central bank communication on financial stabilityVaško, Dan January 2012 (has links)
This research analyses central bank communication on financial stability. First, most important international comparable features of the communication are identified, such as Financial Stability Reports, Stress tests, Financial soundness indicators, etc. These are then used for the construction of Financial stability transparency index (FST index) for 110 countries from 2000 to 2011. FST index is used to determine the most important drivers of central bank communication. In particular, the level of transparency towards financial stability depends most on monetary policy transparency, size and development of the economy. Finally, the impact of financial stability transparency on financial stability is under investigation. Using two proxies for financial stress, for the first time, evidence of the influence of central bank communication on financial soundness was found. It is concluded that the communication still has not reached its steady state and markets have only limited experience using it. However, the communication has a strong potential to influence financial stability in the future.
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Odhad VaR při využití ekonomických zpráv v modelech typu GARCH / Estimation of VaR in Risk Management by Employing Economic News in GARCH ModelsŠindelka, Ondřej January 2012 (has links)
We examined the influence of news, related to the main central banks, on the conditional volatility of the stock returns of eighteen major European banks. We model their conditional volatility with GARCH, EGARCH and TGARCH models plugging in variables representing news. As a practical application we evaluate whether applying the news into the volatility modeling improves the performance of the Value-at-Risk (VaR) measure for given banks. The two types of news variables we use are constructed from the press releases of main central banks and from the search query at Factiva Dow Jones news database. The information contained in news is proxied by daily news counts. Using the EGARCH setup we are able to model individual volatility reaction functions of the banks' stock returns to different news variables. We show that the content, origin of the news and also the amount of news (news count) matter to the conditional volatility behavior. The results confirm that increase in the amount of media coverage causes increase in volatility. Certain news types have calming effect (speeches of the central banks' representatives) on volatility while others stir it (monetary news). Finally, we conclude that adding the news into the modeling only slightly improves the VaR out-of-sample performance.
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[en] ESSAYS ON INFLATION EXPECTATIONS / [pt] ENSAIOS SOBRE A FORMAÇÃO DE EXPECTATIVAS DE INFLAÇÃODIOGO ABRY GUILLEN 24 September 2008 (has links)
[pt] A dissertação está dividida em quatro artigos que abordam
temas em política monetária. Inicialmente, avalia-se como se
dá a formação das expectativas de inflação no Brasil. Os
resultados sugerem que os dados não obedecem aos preceitos
da teoria de expectativas racionais ou adaptativas.
Utilizamos dois métodos para definir a freqüência de
reajuste informacional no Brasil e há indícios
de maior aderência à teoria de rigidez informacional. O
segundo artigo investiga o processo de transmissão de
expectativas dentro do mercado financeiro. Propomos
um modelo em que os agentes do mercado financeiro, ao
construírem suas expectativas, observam os dados mais
recentes e as expectativas já divulgadas dos
agentes do mercado que costumam apresentar previsões mais
acuradas, segundo ranking do Banco Central. O modelo é
avaliado empiricamente e mostramos que o peso dado às
expectativas dos melhores previsores cresce com a
aproximação da divulgação do dado. No terceiro artigo,
estudamos os impactos da política monetária e da taxa de
câmbio sobre a inflação no Brasil. Os resultados indicam
que leva entre seis e doze meses até que a estrutura de
preços volte a ser aquela que prevalecia antes do choque. O
quarto artigo investiga a credibilidade do
Banco Central do Brasil, através de uma base de dados com
expectativas desagregadas. A hipótese é de que a
heterogeneidade das expectativas de longo prazo advenha de
crenças distintas com relação à aversão do Banco Central à
inflação. Com base neste argumento, construímos um índice
utilizando Cadeias de Markov para o caso brasileiro. / [en] This dissertation is divided in four papers about monetary
policy. Initially, we evaluate how inflation expectations
are formed in BrazilOur results suggest that data do not
follow what rational or adaptive expectations would predict.
Using two different methods to measure the informational
readjustment frequency in Brazil, we find evidence that
inflation expectations seem to behave more closely to what
sticky information theory would predict. The second paper
investigates the inflation expectations transmission inside
the Brazilian financial market. We propose a model in which
financial market agents, when they build their own
forecasts, not only observe to recent data, but also use
lagged expectations from the best forecasters. Our model is
evaluated empirically and we can show that the weight given
to the best forecasters grows as we get closer to
the release of inflation data. In the third paper, we study
monetary policy and exchange rate impacts on inflation in
Brazil. Our results indicate that it takes from
six to twelve months until price structure returns to the
one that existed before the shock. The fourth paper
investigates central bank´s credibility using individual
financial market agents´ expectations. Our hypothesis is
that expectations´ heterogeneity for long term horizon comes
from different beliefs about central bank´s aversion to
inflation. Using this argument, we build a credibility index
using Markov Chains for Brazil.
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Propagação e combate à crise de liquidez bancária: o caso da minicrise de liquidez de 2004 / Propagation and combat of banking liquidity crisis: the case of the small crisis of 2004Ahmar, Carlos 20 October 2006 (has links)
A intervenção no Banco Santos, em novembro de 2004, propiciou o surgimento de uma crise de liquidez em um segmento bem delimitado do mercado bancário brasileiro. O presente estudo procurou caracterizar e dimensionar o fenômeno com base em dados contábeis e informações publicamente disponíveis de 84 instituições do mercado. Utilizou-se a análise gráfica associada à análise de correlação para avaliar o comportamento dos saldos das contas Depósitos antes e após a intervenção. Como resultado, os bancos foram segregados em 5 grupos. O grupo que agregou os maiores bancos do mercado passou a ser o grupo de controle para a análise. A delimitação do grupo dos bancos, presumivelmente, contagiados (grupo de estudo) possibilitou avaliar a evolução dos resgates de depósitos e o papel das carteiras de crédito e de títulos como provedoras de liquidez. A análise realçou a importância dos depósitos compulsórios sobre depósitos a prazo como reserva de liquidez. Determinou-se também o volume de créditos cedidos ao longo do período. Concluiu-se que houve uma mudança no perfil das carteiras de crédito dos bancos afetados, com um aumento do percentual aprovisionado para risco de crédito, aproximando-o dos valores do grupo de controle, que utiliza critérios mais conservadores. Procurou-se, por fim, cotejar os eventos observados e as características do sistema financeiro brasileiro com o arcabouço teórico e empírico existente, principalmente em relação a dois aspectos: fundamentos que justificam o exercício da supervisão bancária e teoria das cascatas de informações analisada no âmbito das corridas bancárias. / The intervention on a small bank (banco Santos), in November 2004, has provoked a liquidity crisis on a specific segment of the Brazilian banking market. The objective of this case study has been to assess and characterize the phenomenon, based on balance sheet data and public information about 84 financial institutions of the market. Through graphical analysis associated with statistical correlation analysis, the behavior of the deposit account, before and after the intervention, was determined. As a result banks have been classified on five different groups. The group with the biggest banks was designed as the control group and banks that have showed loss of deposits and could have been, potentially, affected by a liquidity crisis were denominated as study group. The definition of the, presumable, contaminated group of banks has permitted to assess the evolution of deposits? withdraws as well as the role of the credit and security portfolios as providers of liquidity. The analysis has shown the importance of the reserve requirements over time deposits as a liquidity reservoir. It has also been determined the volume of credit transferred along the period of analysis. The conclusion is that the credit loss provision has augmented, getting closer to the values of the control group that uses more conservative provision standards. This study has also evaluated the observed events and the characteristics of the Brazilian financial system, with theoretical and experimental background, mainly focusing two aspects: fundaments that justify the exercise of banking supervision and the theory of information cascades on basis of the bank runs.
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Controle da volatilidade do câmbio: um estudo não linear e simulado / Exchange rate volatility control: a non-linear and simulated studyMainente, João Pedro de Camargo 22 June 2018 (has links)
O objetivo da presente dissertação é avaliar a atuação do Banco Central do Brasil no controle do excesso de volatilidade da taxa de câmbio. Para tanto, estima-se um modelo SETAR com dois limiares, com o intuito de identificar uma estrutura não linear na taxa de câmbio e, por meio da proposição de um modelo teórico, avaliar de que forma ocorreria a tomada de decisão acerca de intervenções no mercado de câmbio. Busca-se, também, por meio de simulações do modelo teórico proposto, entender como se relacionariam o comportamento de maior prazo da taxa de câmbio e a política de controle da volatilidade. Conclui-se que períodos marcados por uma tendência de constante depreciação (apreciação) da moeda podem estar relacionados a momentos de redução (acúmulo) de reservas internacionais mantidas pelo Banco Central. / The objective of this dissertation is to evaluate the behavior of the Brazilian Central Bank, in its role of to controling exchange rate excess volatility. A SETAR model with two thresholds is estimated in order to identify a nonlinear structure for the exchange rate. A theoretical model is proposed for the monetary authority in order to evaluated optimal intervention policy. The theoretical model is then simulated to show how long-run trends in the exchange rate could be smoothed by control policies. The results shows that depreciation (appreciation) trends could be related to significant reductions (accumulation) of international reserves.
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[en] ESSAYS ABOUT INSTRUMENTS OF FOREIGN EXCHANGE POLICY AND HEDGE / [pt] ENSAIOS SOBRE OS INSTRUMENTOS DE POLÍTICA CAMBIAL E HEDGEFERNANDO NASCIMENTO DE OLIVEIRA 09 September 2004 (has links)
[pt] Esta Tese de Doutorado consiste de três ensaios sobre os
instrumentos de Política Cambial e Hedge. No primeiro
ensaio, mostramos que os instrumentos de intervenção do
Banco Central no mercado de câmbio só foram eficazes em
períodos sem crise cambial. No segundo ensaio, mostramos
utilizando um banco de dados original com 23.767
contratos de swap cambial abertos em 2002, que houve um
forte componente especulativo na demanda de derivativos
de câmbio de empresas de capital aberto brasileiras. De
um total de 93 empresas com posições abertas, 51
especularam e 42 fizeram hedge. Finalmente, o terceiro
ensaio mostra que as intervenções com derivativos de
câmbio do Banco Central só foram repassadas para o setor
produtivo pelas instituições financeiras em períodos sem
crise cambial. / [en] This Doctoral Thesis consists of three essays about
instruments of foreign exchange policy and hedge. In the
first essay, we show that the instruments of intervention
of the Central Bank in the foreign exchange market were
only effective in periods without foreign exchange crisis.
In the second essay, we show using an original database
with 23.767 contracts of foreign exchange swaps open in
2002, that there was a strong speculative motive in the
demand of foreign exchange derivatives of brazilian
corporations. Of a total of 93 corporations with open
positions, 51 speculated and 42 hedged. Finally, the third
essay shows that interventions with foreign exchange
derivatives were not transferred to the productive sector
by the financial institutions in periods of foreign
exchange crisis.
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