Përmbajtja - Banka e Shqipërisë

Transcrição

Përmbledhje 20 Tetor – 20 Nëntor 2013
Përmbajtja
Artikuj shkencorë nga
1. Federal Reserve System
2.
Banka Qendrore Europiane
3. Banka e Finlandës
4.
Bank for International Settlements
faqe 2
faqe 14
faqe 19
faqe 20
5. Banka e Gjermanisë
faqe 20
6. Banka e Austrisë
faqe 24
Fjalime të guvernatorëve
faqe 25
INSTITUTI I STUDIMEVE EKONOMIKE DHE BANKARE
Artikuj shkencorë
1. Federal Reserve System
Size-Dependent Regulations, Firm Size Distribution, and
Reallocation
Francois Gourio, Nicolas Roys
In France, firms with 50 employees or more face substantially more regulation than firms with
less than 50. As a result, the size distribution of firms is visibly distorted: there are many firms with
exactly 49 employees. We model the regulation as the combination of a sunk cost that must
be paid the first time the firm reaches 50 employees, and a payroll tax that is paid each
period thereafter when the firm operates with more than 50 employees. We estimate the
model using indirect inference by fitting the discontinuity of the size distribution. The key
finding is that the regulation is equivalent to a combination of a sunk cost approximately
equal to about one year of an average employee salary, and a small payroll tax of 0.04%.
Our structural model fits well the discontinuity in the size distribution. Removing the regulation
improves labor allocation across firms, leading in steady-state to an increase in output per
worker slightly less than 0.3%, holding the number of firms fixed. However, if firm entry is elastic,
the steady-state gains are an order of magnitude smaller.
http://www.chicagofed.org/webpages/publications/working_papers/2013/wp_11.cfm
Modeling the Evolution of Expectations and Uncertainty in
General Equilibrium
Francesco Bianchi, Leonardo Melosi
We develop methods to solve general equilibrium models in which forward-looking agents
are subject to waves of pessimism, optimism, and uncertainty that turn out to critically affect
macroeconomic outcomes. Agents in the model are fully rational, conduct Bayesian
learning, and they know that they do not know. Therefore, agents take into account that their
beliefs will evolve according to what they will observe. This framework accommodates both
gradual and abrupt changes in beliefs and allows for an analytical characterization of
uncertainty. Shocks to beliefs affect economic dynamics and uncertainty. We use a
prototypical Real Business Cycle to illustrate the methods.
http://www.chicagofed.org/webpages/publications/working_papers/2013/wp_12.cfm
2
The FRBNY DSGE Model
Marco Del Negro, Stefano Eusepi, Marc Giannoni, Argia Sbordone, Andrea Tambalotti,
Matthew Cocci, Raiden Hasegawa, M. Henry Linder
The goal of this paper is to present the dynamic stochastic general equilibrium (DSGE) model
developed and used at the Federal Reserve Bank of New York. The paper describes how the
model works, how it is estimated, how it rationalizes past history, including the Great
Recession, and how it is used for forecasting and policy analysis.
http://www.newyorkfed.org/research/staff_reports/sr647.pdf
The Effects of the Saving and Banking Glut on the U.S.
Economy
Alejandro Justiniano, Giorgio E. Primiceri, Andrea Tambalotti
We use a quantitative equilibrium model with houses, collateralized debt, and foreign
borrowing to study the impact of global imbalances on the U.S. economy in the 2000s. Our
results suggest that the dynamics of foreign capital flows account for between one-fourth
and one-third of the increase in U.S. house prices and household debt that preceded the
financial crisis. The key to these findings is that the model generates the sustained low level of
interest rates observed over that period.
Fiscal Foundations of Inflation: Imperfect Knowledge
Stefano Eusepi, Bruce Preston
This paper proposes a theory of the fiscal foundations of inflation based on imperfect
knowledge and learning. The theory is similar in spirit to, but distinct from, unpleasant
monetarist arithmetic and the fiscal theory of the price level. Because the assumption of
imperfect knowledge breaks Ricardian equivalence, details of fiscal policy, such as the
average scale and composition of the public debt, matter for inflation. As a result, fiscal
policy constrains the efficacy of monetary policy. Heavily indebted economies with debt
maturity structures observed in many countries require aggressive monetary policy to anchor
inflation expectations. The model predicts that the Great Moderation period would not have
been so moderate had fiscal policy been characterized by a scale and composition of
public debt now witnessed in some advanced economies in the aftermath of the 2007-09
global recession.
3
Did Liquidity Providers Become Liquidity Seekers?
Jaewon Choi, Or Shachar
The misalignment between corporate bond and credit default swap (CDS) spreads (i.e.,
CDSbond basis) during the 2007-09 financial crisis is often attributed to corporate bond
dealers shedding off their inventory, right when liquidity was scarce. This paper documents
evidence against this widespread perception. In the months following Lehman’s collapse,
dealers, including proprietary trading desks in investment banks, provided liquidity in response
to the large selling by clients. Corporate bond inventory of dealers rose sharply as a result.
Although providing liquidity, limits to arbitrage, possibly in the form of limited capital,
obstructed the convergence of the basis. We further show that the unwinding of precrisis
“basis trades” by hedge funds is the main driver of the large negative basis. Price drops
following Lehman’s collapse were concentrated among bonds with available CDS contracts
and high activity in basis trades. Overall, our results indicate that hedge funds that serve as
alternative liquidity providers at times, not dealers, caused the disruption in the credit market.
Intermediary Balance Sheets
Tobias Adrian, Nina Boyarchenko
We document the cyclical properties of the balance sheets of different types of
intermediaries.
While the leverage of the bank sector is highly procyclical, the leverage of the nonbank
financial sector is acyclical. We propose a theory of a two-agent financial intermediary sector
within a dynamic model of the macroeconomy. Banks are financed by issuing risky debt to
households and face risk-based capital constraints, which leads to procyclical leverage.
Households can also participate in financial markets by investing in a nonbank “fund” sector
where fund managers face skin-in-the-game constraints, leading to acyclical leverage in
equilibrium. The model also reproduces the empirical feature that the banking sector’s
leverage growth leads the financial sector’s asset growth, while leverage in the fund sector
does not precede growth in financialsector assets. The procyclicality of the banking sector is
due to its risk-based funding constraints, which give a central role to the time variation of
endogenous uncertainty.
The Effects of Policy Guidance on Perceptions of the Fed’s
Reaction Function
Katherine Femia, Steven Friedman, Brian Sack
In the past few years, the Federal Open Market Committee (FOMC) has been using forward
guidance about the federal funds rate in a more explicit way than ever before. This paper
explores the market reaction to the forward guidance, with particular focus on the use of
calendar dates and economic thresholds in the FOMC statement. The results show that
market participants interpreted the FOMC’s policy guidance as conveying important
4
information about the Committee’s policy reaction function. In particular, market participants
came to expect the FOMC to wait for lower levels of unemployment for a given level of
inflation before beginning to raise the target federal funds rate, thereby shifting to a more
accommodative policy approach aimed at supporting the economic recovery.
Coordinating Monetary and Macroprudential Policies
Bianca De Paoli, Matthias Paustian
The financial crisis has prompted macroeconomists to think of new policy instruments that
could help ensure financial stability. Policymakers are interested in understanding how these
should be set in conjunction with monetary policy. We contribute to this debate by analyzing
how monetary and macroprudential policy should be conducted to reduce the costs of
macroeconomic fluctuations. We do so in a model in which such costs are driven by nominal
rigidities and credit constraints. We find that, if faced with cost-push shocks, policy authorities
should cooperate and commit to a given course of action. In a world in which monetary and
macroprudential tools are set independently and under discretion, our findings suggest that
assigning conservative mandates (á la Rogoff [1985]) and having one of the authorities act
as a leader can mitigate coordination problems. At the same time, choosing monetary and
macroprudential tools that work in a similar fashion can increase such problems.
http://www.newyorkfed.org/research/staff_reports/sr653.html
Macro Fiscal Policy in Economic Unions: States as Agents
Gerald Carlino, Robert P. Inman
The American Recovery and Reinvestment Act (ARRA) was the US government’s fiscal
response to the Great Recession. An important component of ARRA’s $796 billion proposed
budget was $318 billion in fiscal assistance to state and local governments. We examine the
historical experience of federal government transfers to state and local governments and
their impact on aggregate GDP growth, recognizing that lower-tier governments are their
own fiscal agents. The SVAR analysis explicitly incorporates federal intergovernmental
transfers, disaggregated into project (e.g., infrastructure) aid and welfare aid, as separate
fiscal policies in addition to federal government purchases and federal net taxes on
household and firms. A narrative analysis provides an alternative identification strategy. To
better understand the estimated aggregate effects of aid on the economy, we also estimate
a behavioral model of state responses to such assistance. The analysis reaches three
conclusions. First, aggregate federal transfers to state and local governments are less
stimulative than are transfers to households and firms. It is important to evaluate the two
policies separately. Second, within intergovernmental transfers, matching (price) transfers for
welfare spending are more effective for stimulating GDP growth than are unconstrained
(income) transfers for project spending. Matching aid is fully spent on welfare services or
middle-class tax relief; half of project aid is saved and only slowly spent in future years. Third,
simulations using the SVAR specification suggest ARRA assistance would have been 30
percent more effective in stimulating GDP growth had the share spent on government
purchases and project aid been fully allocated to private sector tax relief and to matching
aid to states for lower-income support.
http://www.philadelphiafed.org/research-and-data/publications/working-papers/2013/wp13-40.pdf
5
The Political Polarization Index
Marina Azzimonti
American politics have become increasingly polarized in recent decades. To the extent that
political polarization introduces uncertainty about economic policy, this pattern may have
adversely affected the economy. According to existing theories, a rise in the volatility of fiscal
shocks faced by individuals should result in a decline in economic activity. Moreover, if
polarization is high around election dates, businesses and households may be induced to
delay decisions that involve high reversibility costs (such as investment or hiring under search
costs). Testing these theories has been challenging given the low frequency at which existing
polarization measures have been computed (in most studies, the series is available only
biannually). In this paper, I provide a novel high-frequency measure of polarization, the
political polarization index (PPI). The measure is constructed monthly for the period 1981-2013
using a search-based approach. I document that while the PPI uctuates around a constant
mean for most of the sample period prior to 2007, it has exhibited a steep increasing trend
since the Great Recession. Evaluating the effects of this increase using a simple VAR, I find
that an innovation to polarization significantly discourages investment, output, and
employment. Moreover, these declines are persistent, which may help explain the slow
recovery observed since the 2007 recession ended.
Dynamic
Market
Participation
Information Aggregation
and
Endogenous
Edison G. Yu
This paper studies information aggregation in financial markets with recurrent investor exit and
entry. I consider a dynamic general equilibrium model of asset trading with private
information and collateral constraints. Investors differ in their aversion to Knightian uncertainty:
When uncertainty is high, some investors exit the market. Since exiting investors' information is
not fully revealed by prices, conditional return volatility and risk premia both increase. I use
data on institutional investors' holdings of individual stocks to show that investor exits indeed
move negatively with price informativeness. The model also implies that exit is more likely
when wealth is more concentrated in the hands of less uncertainty-averse investors. The
model thus predicts less informative prices toward the end of a long boom, as seen in the
data. Moreover, economies with looser collateral constraints should see more volatility due to
exit and partial revelation. Higher capital requirements can improve welfare by inducing
more information revelation by prices.
Rising Intangible Capital, Shrinking Debt Capacity, and the
US Corporate Savings Glut
Antonio Falato, Dalida Kadyrzhanova, Jae W. Sim
This paper explores the hypothesis that the rise in intangible capital is a fundamental driver of
the secular trend in US corporate cash holdings over the last decades. Using a new
6
measure,we show that intangible capital is the most important firm-level determinant of
corporate cash holdings. Our measure accounts for almost as much of the secular increase in
cash since the 1980s as all other determinants together. We then develop a new dynamic
model of corporate cash holdings with two types of productive assets, tangible and
intangible capital. Since only tangible capital can be pledged as collateral, a shift toward
greater reliance on intangible capital shrinks the debt capacity of firms and leads them to
optimally hold more cash in order to preserve financial flexibility. In the model, firms with
growth options tend to hold more cash in anticipation of (S,s)-type adjustments in physical
capital because they want to avoid raising costly external finance. We show that this
mechanism is quantitatively important, as our model generates cash holdings that are up to
an order of magnitude higher than the standard benchmark and in line with their empirical
averages for the last two decades. Overall, our results suggest that technological change has
contributed significantly to recent changes in corporate liquidity management.
http://www.federalreserve.gov/pubs/feds/2013/201367/201367abs.html
Going Public Abroad
Cecilia Caglio, Kathleen Weiss Hanley, Jennifer Marietta-Westberg
This paper examines the decision to go public abroad using a sample of 17,808 IPOs.
Although only 6% of initial public offerings are offered abroad, these represent approximately
25% of total IPO proceeds. We find that alleviating informational frictions in order to obtain
greater offering proceeds is an important determinant of the decision to go public abroad.
Foreign and global IPOs originate from countries with significantly fewer recent IPOs in the
same industry, less developed capital markets, and lower disclosure standards. Contrary to
assumptions in prior research, we also show that the determinants of whether to go public
abroad or to go public at home and cross-list later are not similar. In addition, we find that the
preferences for going public in certain foreign markets have changed over time and the
factors that impact the choice of listing market are not consistent across all countries.
Learning from the Test: Raising
Enrollment by Providing Information
Selective
College
Sarena F. Goodman
In the last decade, five U.S. states adopted mandates requiring high school juniors to take a
college entrance exam. In the two earliest-adopting states, nearly half of all students were
induced into testing, and 40-45% of them earned scores high enough to qualify for selective
schools. Selective college enrollment rose by 20% following implementation of the mandates,
with no effect on overall attendance. I conclude that a large number of high-ability students
appear to dramatically underestimate their candidacy for selective colleges. Policies aimed
at reducing this information shortage are likely to increase human capital investment for a
substantial number of students.
7
Effects of Monetary Policy Shocks across Time and across
Sectors
Ekaterina V. Peneva
Recent empirical research by Olivei and Tenreyro (2007) demonstrates that the effect of
monetary policy shocks on output and prices depends on the shock's timing: In the United
States, a monetary policy shock that takes place in the first half of the year has a larger effect
on output than on prices, while the opposite is true in the second half of the year. Olivei and
Tenreyro argue that this finding reflects the fact that a greater fraction of wage rates are recontracted in the second half of the year, implying that wages (and prices) are less flexible in
the first half. In this paper, I assess this explanation in light of several additional empirical
results. Most importantly, I demonstrate that within-year differences in the responses of output
and prices following a monetary policy shock are not more pronounced in the serviceproducing sector, where labor costs represent a larger fraction of total production costs. I also
find that movements in prices following a monetary shock tend to lead wage changes. These
and other empirical results suggest that something other than uneven wage adjustment
might be responsible for the differential within-year effect of monetary policy shocks that
Olivei and Tenreyro document.
Volatility, Labor Heterogeneity and Asset Prices
Marcelo Ochoa
This paper shows that a firm's reliance on skilled labor is an underlying determinant of its
exposure to aggregate volatility risk. I present a model in which firms make hiring and firing
decisions in an environment of time-varying aggregate volatility, and face linear adjustment
costs that increase with the skill of a worker. In the model, an increase in aggregate volatility
slows a firm's labor demand reaction to changes in economic conditions, reducing its ability
to smooth cash flows. The rise in aggregate volatility has a more pronounced impact on firms
with a high share of skilled labor because their labor is more costly to adjust. Therefore, the
compensation for volatility risk and its contribution to risk compensation increases with a firm's
reliance on skilled labor. I empirically test the implications of the model using occupational
estimates to construct a measure of a firm's reliance on skilled labor, and find a positive and
statistically significant cross-sectional relation between the reliance on skilled labor and
expected returns. In times of high aggregate volatility, firms with a high share of skilled workers
earn an annual return of 2.7% above those with a high share of unskilled workers. This spread
reduces by one third in times when volatility is back to normal.
8
Yield Curve Impacts of Forward Guidance and Maturity
Extension Programs
Jeff W. Huther, Jason S. Seligman
In 2011 and 2012, the Federal Reserve sold Treasury securities from the short end of the yield
curve at the same time it was providing market participants with date-specific assurances
that overnight interest rates would not rise. We investigate how these two policies, which had
conflicting pricing pressures, were absorbed by the market. We analyze the impacts of sales
on the volume and composition of inventories of the Federal Reserve's counterparties, and
examine how announcements of accommodative monetary policy affected spreads and
prices across maturities. Our results suggest that these two reserve-neutral policies affected
interest rates both within and beyond the stated policy periods. The finding that Federal
Reserve's sales, conducted during periods of date-based forward guidance, were associated
with higher interest rates suggests that the policy effects were not limited to the anticipated
path of federal funds rates. We also find that the accumulation of Treasury securities by
Federal Reserve counterparties was consistent with the idea that those dealers responded
opportunistically to the forward guidance on rates.
Sectoral Allocation,
Moderation
Risk
Efficiency
and
the
Great
Manjola Tase
This paper argues that the decline in U.S. real GDP growth volatility after the mid 1980s was an
outcome of more risk efficient and more diversified sectoral allocations. Using a portfolio
approach, I distinguish between the two determinants of GDP growth volatility: sectoral
covariances and sectoral allocations. I use the sectoral growth and covariances to compute
the growth-volatility frontier of the economy. I define the efficiency of the actual sectoral
allocation as the distance of the economy from the frontier, measured in the (volatility,
growth) space. There are three main findings. 1) The frontier has shifted due to a lower
sectoral growth rate and a higher sectoral variance. 2) The distance of the economy from the
frontier has decreased. The efficiency over the period increased by 1.4 percentage points.
This increase occurred along the volatility dimension and it is interpreted as the decline in the
growth volatility in the economy, if there were no changes in the sectoral covariances. This
efficiency improvement is comparable to the 1.5 percentage points decline in GDP growth
volatility in the data after the mid 1980s. 3) The U.S. economy became more diversified across
sectors after the early 1980s, shifting away from manufacturing and agriculture towards
services. The increase in the share of Finance and Insurance coupled with the doubling of the
growth volatility in this sector, might have contributed to the recent increase in GDP growth
volatility.
9
Trend Inflation in Advanced Economies
Christine Garnier, Elmar Mertens, Edward Nelson
We derive estimates of trend inflation for fourteen advanced economies from a framework in
which trend shocks exhibit stochastic volatility. The estimated specification allows for timevariation in the degree to which longer-term inflation expectations are well anchored in each
economy. Our results bring out the effect of changes in monetary regime (such as the
adoption of inflation targeting in several countries) on the behavior of trend inflation. Our
estimates expand on the previous literature in several dimensions: For each country, we
employ a multivariate approach that pools different inflation series in order to identify their
common trend. In addition, our estimates of the inflation gap—defined as the difference
between trend and observed inflation—are allowed to exhibit considerable persistence.
Consequently, the fluctuations in estimates of trend inflation are much lower than those
reported in studies that use stochastic volatility models in which inflation gaps are serially
uncorrelated. This specification also makes our estimates less sensitive than trend estimates in
the literature to the effect of distortions to inflation arising from non-market influences on
prices, such as tax changes. A forecast evaluation based on pseudo-real-time estimates
documents improvements in inflation forecasts, even though it remains hard to outperform
simple random walk forecasts to a statistically significant degree.
Who Works for Startups? The Relation between Firm Age,
Employee Age, and Growth
Paige Ouimet, Rebecca Zarutskie
Young firms disproportionately employ young workers, controlling for firm size, industry,
geography and time. The same positive correlation between young firms and young
employees holds when we look just at new hires. On average, young employees in young
firms earn higher wages than young employees in older firms. Further, young employees
disproportionately join young firms with greater innovation potential and that exhibit higher
growth, conditional on survival. These facts are consistent with the argument that the skills, risk
tolerance, and career dynamics of young workers are contributing factors to their
disproportionate share of employment in young firms. Finally, we show that an increase in the
regional supply of young workers is positively related to the rate of new firm creation,
especially in high tech industries, suggesting a causal link between the supply of young
workers and new firm creation.
The Federal Reserve's Framework for Monetary Policy-Recent Changes and New Questions
William B. English, J. David Lopez-Salido, Robert J. Tetlow
In recent years, the Federal Reserve has made substantial changes to its framework for
monetary policymaking by providing greater clarity regarding its objectives, its intentions
regarding the use of monetary policy--including nontraditional policy tools such as forward
10
guidance and asset purchases--in the pursuit of those objectives, and its broader policy
strategy. These changes reflected both a response to changes in economists' understanding
of the most effective way to implement monetary policy and a response to specific
challenges posed by the financial crisis and its aftermath, particularly the effective lower
bound on nominal interest rates. We trace the recent evolution of the Federal Reserve's
framework, and use a small-scale macro model and a simple static model to help illuminate
the approaches taken with nontraditional monetary policy tools. A number of foreign central
banks have made similar innovations in response to similar developments. On balance, the
Federal Reserve has moved closer to "flexible inflation targeting," but the Federal Reserve's
approach includes a balanced focus on two objectives and the use of a flexible horizon over
which policy aims to foster those objectives. Going forward, further changes in central banks'
frameworks may be needed to address issues raised by the financial crisis. For example, some
have suggested that the sustained period at the effective lower bound points to the need for
central banks to establish a different policy objective, such as a higher inflation target or a
nominal income target. We use our small-scale model of the U.S. economy to examine the
potential benefits and costs of such changes. We also discuss the broad issue of how central
banks should integrate financial stability policy and monetary policy.
Aggregate Supply in the United States: Recent
Developments and Implications for the Conduct of
Monetary Policy
Dave Reifschneider, William Wascher, David Wilcox
The recent financial crisis and ensuing recession appear to have put the productive capacity
of the economy on a lower and shallower trajectory than the one that seemed to be in place
prior to 2007. Using a version of an unobserved components model introduced by Fleischman
and Roberts (2011), we estimate that potential GDP is currently about 7 percent below the
trajectory it appeared to be on prior to 2007. We also examine the recent performance of the
labor market. While the available indicators are still inconclusive, some indicators suggest that
hysteresis should be a more present concern now than it has been during previous periods of
economic recovery in the United States. We go on to argue that a significant portion of the
recent damage to the supply side of the economy plausibly was endogenous to the
weakness in aggregate demand—contrary to the conventional view that policymakers must
simply accommodate themselves to aggregate supply conditions. Endogeneity of supply
with respect to demand provides a strong motivation for a vigorous policy response to a
weakening in aggregate demand, and we present optimal-control simulations showing how
monetary policy might respond to such endogeneity in the absence of other considerations.
We then discuss how other considerations--such as increased risks of financial instability or
inflation instability--could cause policymakers to exercise restraint in their response to cyclical
weakness.
11
Equity Market Misvaluation, Financing, and Investment
Missaka Warusawitharana, Toni M. Whited
We quantify how much nonfundamental movements in stock prices affect firm decisions. We
estimate a dynamic investment model in which firms can finance with equity or cash (net of
debt). Misvaluation affects equity values, and firms optimally issue and repurchase
overvalued and undervalued shares. The funds owing to and from these activities come from
either investment, dividends, or net cash. The model fits a broad set of data moments in large
heterogeneous samples and across industries. Firms respond to misvaluation by adjusting
financing more than by adjusting investment. Managers' rational responses to misvaluation
increase shareholder value by up to 8%.
Are Homeowners in Denial about their House Values?
Comparing Owner Perceptions with Transaction-Based
Indexes
Alice M. Henriques
The boom and bust of the housing market has been a prominent feature of the household
financial landscape in recent years. The exact magnitude of the house price swings depends
on whether you ask homeowners how much their houses are worth at two points in time or
use the change in a transaction-based house price index (HPI). During the boom, ownerreported values rose much more rapidly than the HPI, and after the bust, owner-reported
values fell slightly less than the HPI. Individual homeowner "errors" are estimated to explain
about one-third of the different in aggregate changes in the housing stock as measured by
the Survey of Consumer Finances and CoreLogic national HPI. In a panel of homeowners
surveyed during the housing downturn, owner-reported changes in value do not
systematically diverge from local house price index changes.
Sticky Deposit Rates
John C. Driscoll, Ruth A. Judson
We examine the dynamics of eleven different deposit rates for a panel of over 2,500
branches of about 900 depository institutions observed weekly over ten years. We replicate
previous work showing that rates are downwards-flexible and upwards-sticky, and show that
a simple menu cost model can generate this behavior. The degree of asymmetric rigidity
varies substantially by deposit type, bank size, and across branches of the same bank. In the
absence of such stickiness, depositors would have received as much as $100 billion more in
interest per year during periods when market rates were rising. These results also suggest that
deposit rates are likely to lag increases in policy and market rates in future tightening cycles.
12
Payday Loans and Consumer Financial Health
Neil Bhutta
The annualized interest rate for a payday loan often exceeds 10 times that of a typical credit
card, yet this market grew immensely in the 1990s and 2000s, elevating concerns about the
risk payday loans pose to consumers and whether payday lenders target minority
neighborhoods. This paper employs individual credit record data, and Census data on
payday lender store locations, to assess these concerns. Taking advantage of several state
law changes since 2006 and, following previous work, within-state-year differences in access
arising from proximity to states that allow payday loans, I find little to no effect of payday
loans on credit scores, new delinquencies, or the likelihood of overdrawing credit lines. The
analysis also indicates that neighborhood racial composition has little influence on payday
lender store locations conditional on income, wealth and demographic characteristics.
Cost Shifting and the Freezing of Corporate Pension Plans
Joshua Rauh, Irina Stefanescu, Stephen Zeldes
Many U.S. corporations have frozen defined benefit (DB) pension plans, replacing new DB
promises with contributions to defined contribution (DC) plans. We estimate expected DB
accruals from the age-service and salary distributions of a large sample of U.S. corporate
pension plans with more than 1,000 employees. Comparing the counterfactual DB accruals
to the actual increase in 401(k) and other DC contributions for firms that freeze, we find only
partial compensation to employees for the lost DB accruals. Net of the increase in total DC
contributions, firms save 2.7-3.6% of payroll per year, and over a 10-year horizon they save
3.1% of total firm assets. Workers would have to value the structure, choice, flexibility, or
portability of DC plans by at least this much more to experience welfare gains from freezes.
The forgone accruals and net cost effects are initially largest for older employees but over
time become largest for middle-aged employees who plan to stay with the firms until
retirement. Furthermore, the probability that a firm freezes a pension plan is positively related
to the value of new accruals as a share of firm assets. While there are differences in the ageservice distributions of firms that freeze versus those that do not, we find that the differential
accrual effect is largely driven by differences in benefit factors and the relative importance of
labor in the freeze firm's production function. The results overall support the hypothesis that
pension freezes affect overall compensation and therefore that they change compensation
costs relative to a worker's marginal product.
Repo Collateral Fire Sales: The Effects of Exemption from
Automatic Stay
Sebastian Infante
What are the consequences of a potential fire sale stemming from the exemption of
repurchase agreements (repos) from automatic stay? This paper shows that repo's exemption
from stay alters firms' financing and investment decisions ex ante. Specifically, a stay
13
exemption changes firms' investment opportunity set, enabling them to purchase assets of
defaulted firms at fire sale prices. Fire sales arise endogenously because of limited capital
available to purchase collateral posted by insolvent firms, i.e., cash-in-the-market pricing. A
fire sale effectively creates a premium for holding on to dry powder and concentrates asset
ownership with firms that have preferences to hold highly leveraged positions and risk default.
The premium reduces the initial asset price, potentially inducing more firms to take on risky
positions, increasing the fraction of defaulting firms in the economy. In contrast, when repo is
subject to automatic stay secured lenders do not receive their collateral immediately,
reducing the severity of a fire sale and ex ante price distortions.
2. Banka Qendrore Europiane
How do firms in Argentina get financing to export?
Tomás Castagnino, Laura D’Amato, Máximo Sangiácomo
This paper, developed in the context of the CompNet initiative, delves into the importance of
access to financing for the performance of firms in export markets. Using a unique
microeconomic database that combines data on Argentine firms' characteristics and export
performance with information on their domestic and external financing, we provide a rich
insight into their financing patterns. We find that: (i) Exporters have more access to bank
credit than non-exporters, (ii) firms with more access to bank credit are more likely to start
exporting, particularly the medium size ones and (iii) those firms with more access to foreign
financing export a wider variety of products and serve more distant and developed markets.
We also study the duration of firms in export markets using the Kaplan-Meier estimator. We
find that the probability of firms' survival in export markets increases with their size in the earlier
years of exporting. Once firms become regular exporters, their permanence in export markets
seems to be less dependent on their size.
http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1601.pdf
High frequency trading and price discovery
Jonathan Brogaard, Terrence Hendershott, Ryan Riordan
We examine empirically the role of high-frequency traders (HFTs) in price discovery and price
efficiency. Based on our methodology, we find overall that HFTs facilitate price efficiency by
trading in the direction of permanent price changes and in the opposite direction of
transitory pricing errors, both on average and on the highest volatility days. This is done
through their liquidity demanding orders. In contrast, HFTs' liquidity supplying orders are
adversely selected. The direction of buying and selling by HFTs predicts price changes over
short horizons measured in seconds. The direction of HFTs' trading is correlated with public
information, such as macro news announcements, market-wide price movements, and limit
order book imbalances.
www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1602.pdf
14
Competition in the Portuguese economy: insights from a
profit elasticity approach
João Amador, Ana Cristina Soares
This article segments the Portuguese economy into fairly disaggregated markets and
estimates a new competition measure suggested by Boone (2008), which draws on the
concept of profit elasticity to marginal costs. In addition, robustness of results across
econometric specifications is discussed, along with their consistency with classical
competition indicators. The article concludes that the majority of Portuguese markets
exhibited a reduction in competition in the period 2000-2009, though there is substantial
heterogeneity. In addition, markets that faced competition reductions represent the large
majority of sales, gross value added and employment in the Portuguese economy. The nontradable sector shows lower competition intensity than the tradable sector. Moreover,
reductions in competition are relatively widespread across markets in both sectors, but in
terms of sales, gross value added and employment these reductions are more substantial in
the non-tradable sector. In the majority of markets the assessment on the evolution of
competition using profit elasticities is similar to that obtained with classical competition
indicators.
Setting countercyclical capital buffers based on early
warning models: would it work?
Markus Behn, Carsten Detken, Tuomas A. Peltonen, Willem Schudel
This paper assesses the usefulness of private credit variables and other macrofinancial and
banking sector indicators for the setting of Basel III / CRD IV countercyclical capital buffers
(CCBs) in a multivariate early warning model framework, using data for 23 EU Members States
from 1982 Q2 to 2012 Q3. We find that in addition to credit variables, other domestic and
global financial factors such as equity and house prices as well as banking sector variables
help to predict vulnerable states of the economy in EU Member States. We therefore suggest
that policy makers take a broad approach in their analytical models supporting CCB policy
measures.
Is quantity theory still alive?
Pedro Teles, Harald Uhlig
This paper investigates whether the quantity theory of money is still alive. We demonstrate
three insights. First, for countries with low inflation, the raw relationship between average
inflation and the growth rate of money is tenuous at best. Second, the fit markedly improves,
15
when correcting for variation in output growth and the opportunity cost of money, using
elasticities implied by theories of Baumol-Tobin and Miller-Orr. Finally, the sample after 1990
shows considerably less inflation variability, worsening the fit of a one-for-one relationship
between money growth and inflation, and generates a fairly low elasticity of money
demand.
Credit constraints and investment in human capital:
training evidence from transition economies
Alexander Popov
Using a unique survey database of 8265 firms from 25 transition economies, I find that lack of
access to finance in general, and to bank credit in particular, is associated with significantly
lower investment in on-the-job training. This effect is stronger in education-intensive industries
and in industries facing good global growth opportunities. To address endogeneity issues, I
use the structure of local credit markets as an instrument for credit constraints at the firm-level.
In addition, in panel estimates, I control for the presence of unobserved firm-level
heterogeneity, as well as for changes in macroeconomic conditions.
Central bank refinancing, interbank markets and the
hypothesis of liquidity hoarding: evidence from a euroarea banking system
Massimiliano Affinito
This paper tests the hypothesis of liquidity hoarding in the Italian banking system during the
2007-2011 global financial crisis. According to this hypothesis, in periods of crisis, interbank
markets stop working and central banks’ interventions are ineffective because banks hoard
the liquidity injected rather than channelling it on to other banks and the real economy. The
test uses monthly data at banking-group level for all intermediaries operating in Italy between
January 1999 and August 2011. This is the first paper to use micro data to analyse the
relationship between single banks’ positions vis-à-vis the central bank and the interbank
market. The results show that the Italian interbank market functioned well even during the
crisis, and, contrary to widespread conjecture, the liquidity injected by the Eurosystem was
intermediated among banks and towards the real economy. This finding is robust to the use
of several estimation methods and data on the different segments of the money market.
16
Optimal control with heterogeneous agents in continuous
time
Galo Nuño
This paper introduces the problem of a planner who wants to control a population of
heterogeneous agents subject to idiosyncratic shocks. The agents differ in their initial states
and in the realization of the shocks. In continuous time, the distribution of states across agents
is described by a Kolmogorov forward equation. The planner chooses the controls in order to
maximize an optimality criterion subject to an .aggregate resource constraint. We
demonstrate how the solution should satisfy a system of partial differential equations that
includes a generalization of the Hamilton-Jacobi-Bellman equation and the Kolmogorov
forward equation.
Foreign investors and risk shocks: seeking a safe haven or
running for the exit?
Maurizio Michael Habib, Livio Stracca
In this paper we study the impact of shocks to global risk and global risk aversion (such as
Lehman) as well as shocks with a more idiosyncratic nature (such as the euro debt crisis) on
cross border portfolio flows, taking the perspective of foreign investors. We find robust
evidence of systematic portfolio outflows in the wake of both types of shocks. There are no
securities which are consistently safe haven assets, namely experiencing portfolio inflows
when risk is on the rise or perceived to be high. Nevertheless, especially money market
instruments issued by the US, euro area low-yield countries and Japan, as well as securities
issued in Switzerland have behaved as safe haven assets in specific episodes or following
changes in certain risk measures. We also find that the role of US-based crises and risk shocks
is special, with the US not necessarily experiencing portfolio outflows or even attracting inflows
for short-term dated securities, as a safe haven country, in those episodes.
Central bank collateral, asset fire sales, regulation and
liquidity
Ulrich Bindseil
This paper analyses the potential roles of bank asset fire sales and recourse to central bank
credit to ensure banks' funding liquidity and solvency. Both asset liquidity and central bank
haircuts are modelled as power functions within the unit interval. Funding stability is captured
as strategic bank run game in pure strategies between depositors. Asset liquidity, the central
bank collateral framework and regulation determine jointly the ability of the banking system
to deliver maturity transformation and financial stability. The model also explains why banks
tend to use the least liquid eligible assets as central bank collateral and why a sudden non-
17
anticipated reduction of asset liquidity, or a tightening of the collateral framework, can
destabilize short term liabilities of banks. Finally, the model allows discussing how the collateral
framework can be understood, beyond its essential aim to protect the central bank, as
financial stability and non-conventional monetary policy instrument.
Bank reactions after capital shortfalls
Christoffer Kok, Glenn Schepens
This paper investigates whether European banks have capital targets and how deviations
from the target impact their equity composition and activity mix. Using quarterly data for a
sample of large European banks between 2004 and 2011, we show that there are notable
asymmetries in banks' reactions to deviations from optimal capital levels. Banks prefer to
reshuffle risk-weighted assets or increase asset holdings when being above their optimal Tier 1
ratio, whereas they rather try to increase equity levels or reshuffle risk-weighted assets without
changing asset holdings when being below target. At the same time, focusing instead on a
unweighted equity ratio target, we find evidence of deleveraging and lower loan growth for
undercapitalized banks during the recent financial crisis, whereas in the pre-crisis periods
banks primarily reacted to deviations from their optimal target by adjusting equity levels.
Non-price competitiveness of exports from emerging
countries
Konstantins Benkovskis, Julia Wörz
Building on the methodology pioneered by Feenstra (1994) and Broda and Weinstein (2006),
we construct an export price index that adjusts for changes in the set of competitors (variety)
and changes in non-price factors (quality in a broad sense) for nine emerging economies
(Argentina, Brazil, Chile, China, India, Indonesia, Mexico, Russia and Turkey). The highly
disaggregated dataset covers the period 1996?2011 and is based on the standardised 6-digit
Harmonized System (HS). Our method highlights notable differences in non-price
competitiveness across markets. China shows a huge gain in international competitiveness
due to non-price factors. Similarly, Brazil, Chile, India and Turkey show discernible
improvements in their competitive position when accounting for non-price factors. Oil exports
account for strong improvement in Russia's non-price competitiveness, as well as the modest
losses of competitiveness for Argentina and Indonesia. Mexico's competitiveness deteriorates
prior to 2006 and improves afterwards.
18
House price cycles in Europe
Stefano Corradin, Alessandro Fontana
This paper examines the house price dynamics for thirteen European countries. A Markovswitching error correction model is estimated on house price returns at the country level, with
deviations between house prices and fundamentals feeding into the short-run dynamics. The
system is assumed to be in either a stable regime, in which deviations from the long-run
equilibrium tend to vanish over time, or in an unstable regime, in which no such correction
takes place. The analysis yields three sets of results. First, house price returns in Europe are
generally characterized by three (high, medium and low) phases; growth rates within regimes
differ largely across countries. Second, for some European countries the observed high
growth phases are associated with a stable regime. Third, European housing markets have
been more in sync with each other since 2000 following a growing trend in the time-span
2002-2006 and a dramatic downturn after the Lehman collapse in 2008 and during the Euro
area sovereign debt crisis.
3. Banka e Finlandës
FDI spillovers and time since foreign entry
Bruno Merlevede, Koen Schoors and Mariana Spatareanu
This study measures the effect of foreign direct investment (FDI) on the productivity of local
firms. Unlike earlier studies, our empirical approach does not require that FDI manifests
immediate or permanent effects. We find that foreign entry initially affects productivity of
local competitors negatively, but is more than offset by a permanent positive effect on local
competitors once majority-foreign-owned firms have been present for a while. The effect on
the productivity of local suppliers, in contrast, is transient. The entry of majority-foreign-owned
firms boosts productivity of local suppliers after a short adaption period, but then fades. The
positive impact of minority-foreign-owned firms on local suppliers is immediate, but smaller
and transient.
http://www.suomenpankki.fi/bofit_en/tutkimus/tutkimusjulkaisut/dp/Documents/2013/dp2713.pdf
Do capital requirements affect bank efficiency? Evidence
from China
Pierre Pessarossi and Laurent Weill
This paper contributes to the debate on the effect of capital requirements on bank
efficiency. We study the relation between capital ratio and bank efficiency for Chinese banks
over the period 2004−2009, taking advantage of the profound regulatory changes in capital
19
requirements that occurred during this period to measure the exogenous impact of an increase in the capital ratio on banks’ cost efficiency. We find that such an increase has a
positive effect on cost efficiency, the size of which depends to an extent on the bank’s
ownership type. Our results therefore suggest that capital requirements can improve bank
efficiency.
http://www.suomenpankki.fi/bofit_en/tutkimus/tutkimusjulkaisut/dp/Documents/2013/dp2813.pdf
4. Bank for International Settlements
Can non-interest rate policies stabilise housing markets?
Evidence from a panel of 57 economies
Kenneth N Kuttner, Ilhyock Shim
Using data from 57 countries spanning more than three decades, this paper investigates the
effectiveness of nine non-interest rate policy tools, including macroprudential measures, in
stabilising house prices and housing credit. In conventional panel regressions, housing credit
growth is significantly affected by changes in the maximum debt-service-to-income (DSTI)
ratio, the maximum loan-to-value ratio, limits on exposure to the housing sector and housingrelated taxes. But only the DSTI ratio limit has a significant effect on housing credit growth
when we use mean group and panel event study methods. Among the policies considered,
a change in housing-related taxes is the only policy tool with a discernible impact on house
price appreciation.
http://www.bis.org/publ/work433.htm
5. Banka e Gjermanisë
Uncertainty and Bank Wholesale Funding
Valeriya Dinger, Ben Craig
In this paper we relate a bank’s choice between retail and wholesale liabilities to real
economic uncertainty and the resulting volatility of bank loan volumes. We argue that since
the volume of retail deposits is slow and costly to adjust to shocks in the volume of bank
assets, banks facing more intense uncertainty and more volatile loan demand tend to
employ more wholesale liabilities rather than retail deposits. We empirically confirm this
argument using a unique dataset constructed from the weekly reports of the 122 largest U.S.
commercial banks. The high frequency of the data allows us to employ dynamic
identification schemes. Given the evidence presented in this paper we argue that regulatory
measures targeting a cap on wholesale funding would limit funding uncertainty but will
increase the exposure to asset-side shocks.
http://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2013/2013_10_21_dkp_39.pd
f?__blob=publicationFile
20
How stressed are banks in the interbank market?
Puriya Abbassi, Falko Fecht, Patrick Weber
We use a unique data set that comprises each bank’s bids in the Eurosystem’s main
refinancing operations and its recourse to the LOLR facility (a) to derive banks’ willingness-topay for liquidity through a one-week repo and (b) to show that a bank’s willingness-to-pay is a
good indicator for the probability that this bank draws on the LOLR facility. Our results suggest
(i) that banks’ willingness-to-pay for liquidity indeed reflects refinancing conditions in the
interbank market and (ii) that the willingness-to-pay can serve as an early warning indicator
for banking distress.
Interest Rate Risk and the Swiss Solvency Test
Armin Eder, Sebastian Keiler, Hannes Pichl
In this paper, we present a new approach to measuring interest rate risk for insurers within the
Swiss Solvency Test, which overcomes the shortcomings of the standard model. The standard
model of the Swiss Solvency Test is based on more interest rate risk factors than are actually
needed to capture interest rate risk, it allows for significantly negative interest rates and it
tends toward procyclical solvency capital requirements. Our new approach treats interest
rate risk with direct reference to the underlying term structure model and interprets its
parameters as a canonical choice of the relevant interest rate risk factors. In this way, the
number of interest rate risk factors is substantially reduced and interest rate risk measurement
is linked to the term structure model itself. The consideration of empirical interest rate data
and the acceptance of the economical implausibility of persistently negative interest rates
significantly below the cost of holding cash motivate the introduction of a truncated
Gaussian process to simulate innovation in the future development of the parameters of the
underlying term structure model. In a natural way this leads to mean-reverting interest rate
behaviour and to countercyclical solvency capital requirements.
Is Proprietary Trading Detrimental to Retail Investors?
Falko Fecht, Andreas Hackethal, Yigitcan Karabulut
We study a conict of interest faced by universal banks that conduct proprietary trading
alongside their retail banking services. Our dataset contains the stock holdings of each and
every German bank and of their corresponding retail clients. We investigate (i) whether banks
deliberately push stocks from their proprietary portfolios into their retail customer portfolios, (ii)
whether those stocks subsequently underperform, and (iii) whether retail customers of banks
with proprietary trading earn lower long-term portfolio returns than their peers. We present
affirmative evidence on all three questions and conclude that proprietary trading can, in
fact, be very detrimental to retail investors.
21
Disentangling Economic Recessions and Depressions
Bertrand Candelon, Norbert Metiu, Stefan Straetmans
We propose a nonparametric test that distinguishes “depressions” and “booms” from ordinary
recessions and expansions. Depressions and booms are defined as coming from another
underlying process than recessions and expansions. We find four depressions and booms in
the NBER business cycle between 1919 and 2009, including the Great Depression and the
World War II boom. Our results suggest that the recent Great Recession does not qualify as a
depression. Multinomial logistic regressions show that stock returns, output growth, and
inflation exhibit predictive power for depressions. Surprisingly, the term spread is not a leading
indicator of depressions, in contrast to recessions.
Collateral Requirements and Asset Prices
Johannes Brumm, Felix Kubler, Michael Grill, Karl Schmedders
Many assets derive their value not only from future cash flows but also from their ability to
serve as collateral. In this paper, we investigate this collateral value and its impact on asset
returns in an infinite-horizon general equilibrium model with heterogeneous agents facing
collateral constraints for borrowing. We document that borrowing against collateral
substantially increases the return volatility of long-lived assets. Moreover, otherwise identical
assets with different degrees of collateralizability exhibit substantially different return dynamics
because their prices contain a sizable collateral premium that varies over time. This premium
can be positive even for assets that never pay dividends.
Monetary Policy and Stock Market Volatility
Dirk Bleich, Ralf Fendel, Jan-Christoph Rülke
We estimate forward-looking interest rate reaction functions in the spirit of Taylor (1993) for
four major central banks augmented by implicit volatilities of stock market indices to proxy
financial market stress. Our results suggest that the Bank of England, the Federal Reserve Bank
and the European Central Bank systematically respond to an increase of the implicit volatility
by a decrease in the interest rate. We take our results as strong evidence that central banks
use interest rates to stabilize financial markets in periods of financial market stress.
22
Cash holdings of German open-end equity funds: Does
ownership matter?
Niko Dötz, Mark Weth
In the light of the recent financial crisis, the discussion on the nature of runs and on the
stabilizing role of liquidity holdings has intensified. This paper explores the cash management
conducted by German open-end equity funds for the period between 2005 and 2010. Since
ownership structures may have important consequences according to recent work, we
distinguish funds whose shares are predominantly held by retail investors from funds with a
stronger institutional orientation. Conditional on poor portfolio liquidity, we find that managers
of permanently retail-oriented funds tend to move towards higher cash-to-asset positions.
Cashbuilding intensities are found to be lower when illiquid funds are institutional-oriented or
when the portfolio liquidity of retail-based funds is higher. The striking effort undertaken by
poorly liquid funds with a lasting retail-orientation is likely to be linked to their exposure to the
risk of strategic investor behavior at times of distress. We conclude that conditional on their
liquidity status, these funds use cash as a device to provide for the ownership-related fragility
of their funding base, thereby contributing to the self-stabilization of the financial system.
Assessing house prices in Germany: evidence from an
estimated stock-flow model using regional data
Florian Kajuth, Thomas A. Knetsch, Nicolas Pinkwart
Based on a stock-flow model of the housing market we estimate the relationship of house
prices and explanatory macroeconomic variables in Germany using a regional panel dataset
for 402 administrative districts. Using regional data exploits the variation across local housing
markets and overcomes time-series data limitations. We take the regression residuals as a
measure for deviations of actual house prices from their fundamental equilibrium level. The
model specification allows to aggregate district-level residuals for various regional subsets.
During the past two years for Germany as a whole single-family house prices appeared to be
in line with their fundamental equilibrium level, whereas apartment prices significantly
exceeded the fundamental price suggested by the model. The overvaluation of apartments
is higher in towns and cities and most pronounced in the major seven cities, while single-family
houses in cities appear to be only moderately above their fundamental levels.
23
6. Banka e Austrisë
A Global Macro Model for Emerging Europe
Martin Feldkircher
This paper puts forward a global macro model comprising 43 countries and covering the
period from Q1 1995 to Q4 2011. The author’s regional focus is on countries in Central, Eastern
and Southeastern Europe (CESEE) and the Commonwealth of Independent States (CIS).
Applying a global VAR (GVAR) model, he is able to assess the spatial propagation and the
time profile of foreign shocks to the region. The author’s results show that first, the region’s real
economy reacts nearly equally strongly to an U.S. output shock as it does to a corresponding
euro area shock. The pivotal role of the U.S.A. in shaping the global business cycle thus seems
to partially offset the region’s comparably stronger trade integration with the euro area.
Second, an increase in the euro area’s short-term interest rate has a negative effect on
output in the long run throughout the region. This effect is stronger in the CIS as well as in
Southeastern Europe, while it is comparably milder in Central Europe. Third, the region is
negatively affected by an oil price hike, with the exception of Russia, one of the most
important oil exporters worldwide. The oil-driven economic expansion in Russia seems to spill
over to other – oil-importing – economies in CIS, thereby offsetting the original drag brought
about by the hike in oil prices. Finally, the author’s results corroborate the strong integration of
advanced economies with the global economy. By contrast, the responses in emerging
Europe are found to be more diverse, and country-specifics seem to play a more important
role.
http://www.oenb.at/en/presse_pub/research/020_workingpapers/_2013/working_paper_185.jsp#tcm:16-258125
One Money, One Cycle? The EMU Experience
Martin Gächter, Aleksandra Riedl
The authors examine whether the introduction of the euro had a significantly positive impact
on the synchronization of business cycles among members of Economic and Monetary Union
(EMU) which might arise due to the lack of country-specific monetary policy shocks in the
euro area. Empirical evidence on this relationship is rare so far and suffers from methodical
weaknesses, such as the absence of time variability, which is crucial for addressing this issue.
Using a synchronization index that is constructed on a year-by-year basis (1993{2011), the
authors uncover a strong and robust empirical finding: the adoption of the euro has
significantly increased the correlation of member countries’ business cycles above and
beyond the effect of higher trade integration. Thus, the authors’ results substantially
strengthen the conclusion by Frankel & Rose (1998), i.e. a country is more likely to satisfy the
criteria for entry into a currency union ex post rather than ex ante. Remarkably, however, this
reasoning is even verifed when controlling for the effect of increased trade linkages implied
by entering a currency union.
http://www.oenb.at/en/presse_pub/research/020_workingpapers/_2013/working_paper_186.jsp#tcm:16-258132
24
Fjalime të guvernatorëve
Ben S Bernanke, Chairman of the Board of Governors of
the US Federal Reserve System
The speech held in Mexico City (via prerecorded video), at the "Central bank independence
- progress and challenges", a conference sponsored by the Bank of Mexico. The governor
focused on Celebrating 20 years of the Bank of Mexico's independence. He stated that the
improved monetary policy framework, together with other reforms, has thus far helped
reduce Mexico's susceptibility to financial crises. When the recent financial crisis in the United
States and other advanced economies threatened to spill over to Mexico, the inflation
credibility enjoyed by the Bank of Mexico allowed it to counter economic weakness by
easing monetary conditions, even though headline inflation was running above its target
range at the time. We should not be surprised that central bank independence has
contributed to Mexico's improved macroeconomic stability over the past two decades.
http://www.bis.org/review/r131107a.htm
***
The speech held in Washington DC, at the Fourteenth Jacques Polak Annual Research
Conference. The governor discussed about the crisis as a classic financial panic. He stressed
that our continuing challenge is to make financial crises far less likely and, if they happen, far
less costly. The challenge for policymakers is to identify and isolate the common factors of
crises, thereby allowing us to prevent crises when possible and to respond effectively when
not.
http://www.bis.org/review/r131111b.pdf?frames=0
***
The speech held in Washington DC, at a Teacher Town Hall Meeting "100 Years of the Federal
Reserve". The governor focused on teaching and learning about the Federal Reserve. He
stated that teaching is a thankless profession. As many of you have discovered, the Federal
Reserve has a variety of classroom tools available through our education portal,
FederalReserveEducation.org . Notably, the System's economic and financial education staff
is introducing today a set of three lesson plans that examine the past 100 years of central
banking. He hopes they will provide practical help in your classes.
http://www.bis.org/review/r131114a.htm
***
The speech held in Beirut, Lebanon, at the Annual Conference of the Union of Arab Banks.
The governor focused on 40th Anniversary of the Annual Conference of the Union of Arab
Banks. He stressed that past and current crises underscore an additional lesson. Then as now,
25
international or regional financial crises require a coordinated response to safeguard the
stability of the world's financial system. To that end, the UAB can play an important regional
role by facilitating efforts to address potential cross-border issues, and by providing a local
platform for strong cooperation between home and host supervisors during normal and crisis
periods.
http://www.bis.org/review/r131115g.htm
Mark Carney, Governor of the Bank of England and
Chairman of the Financial Stability Board
At the speech held in London, during the celebrating event for the 125th anniversary of the
Financial Times, the Governor Mark Carney discussed about the UK at the heart of a renewed
globalization. He put his point more succinctly, in the style of the FT 125 years ago and the
position of Bank of England today as a friend of resilient banks, continuous markets, and good
collateral; and they are the enemy of taxpayer bailouts, fragile markets and financial
instability. Along his speech he focused on the importance of robust markets and the role of
central banks in global markets.
http://www.bis.org/review/r131025g.pdf?frames=0
Ignazio Visco, Governor of the Bank of Italy
The speech held in Rome, at the presentation of the Rosselli Foundation’s 18th Report on the
Italian Financial System. The governor discussed about the Italian banks and single European
supervision. He stated that the Banking Union is the first important step towards a budgetary,
and ultimately a political, union through a process that should not be taken as purely
sequential: on the one hand, the pooling of national resources is necessary to complete the
Banking Union and the Italian banking system must continue to work towards restoring
profitability and strengthening capital, as well as adapting their corporate strategies to the
changed technological and market conditions.
http://www.bis.org/review/r131018c.pdf?frames=0
***
The speech held in Cambridge (USA), at Harvard Kennedy School. The governor focused on
the aftermath of the crisis – regulation, supervision and the role of central banks. He stated
that the central bank produces an intangible but essential good – trust – of which capitalism
has an immense need. In fact the legitimacy of central banks does not lie in their policy
activism, or the ability to generate income, or even, save in a highly indirect sense, their
efficiency.
http://www.bis.org/review/r131021b.pdf?frames=0
***
26
The speech held in Rome, at the 89th World Savings Day, organised by the Association of
Italian Savings Banks (ACRI). The governor discussed about 2013 World Savings Day. He stated
that Italy's banks are feeling the repercussions of a financial and economic crisis for which
they bear no responsibility. But banks are also suffering the consequences of slowness or
failure to adapt their business operations, efficiency, service quality and organization to the
evolution of the markets, and thus they must continue to do their part with a courageous
effort of renovation.
http://www.bis.org/review/r131108d.htm
Ewald Nowotny, Governor of the Central Bank of the
Republic of Austria
The text of the lecture held in Vienna, at the Joint Vienna Institute. The governor focused on
the future of monetary policy. He stated that regarding the future of monetary policy in the
long term, the main question is: How close will monetary policy return to the pre-crisis
framework? The opinions on this question vary greatly. The most probable outcome is that
recent innovations will be part of the future monetary policy framework. For emerging
economies, costs are significant. If the trend of reserve accumulation continues, global
cooperation of central banks may become increasingly desirable. Formal arrangements,
such as swap lines between central banks, have the potential to consistently prevent
shortages of liquidity in foreign currencies. Given their success during the recent crisis, they
may well become a more permanent element of the international monetary policy
framework.
http://www.bis.org/review/r131024d.pdf?frames=0
***
The speech held in Vienna, at the Conference on European Economic Integration (CEEI) 2013
"Financial cycles and the real economy - lessons for CESEE". The governor discussed about the
financial cycles and the real economy - lessons for CESEE. He stated that the interaction
between finance and growth depends on the time dimension. In the long run, financial
deepening still helps growth. Both the IT revolution and global financial integration or
financial globalization, have added to financial sector dynamics and thus reinforced the
impact financial developments can have on the real economy.
http://www.bis.org/review/r131119f.htm
Luis M Linde, Governor of the Bank of Spain
The speech held in Madrid, at the First Bank of Spain- OMFIF Economists Club Meeting. The
governor discussed about the reflections on the planned Banking Union in Europe. He stated
that we have in front of us a year “fully loaded” – to use the jargon we all use in connection
with of the Regulatory Basel Framework. The European Union is trying to make a big step
forward and we will need the intelligence and best cooperation of all for this great design to
be carried out.
http://www.bis.org/review/r131025h.pdf?frames=0
27
The speech held in Madrid, at the XVI Congreso Nacional de la Empresa Familiar, Instituto de
la Empresa Familiar. The governor discussed about the recovery of the Spanish economy. He
stated that with all due caution, the data available allow us to think that we may be at the
start of an economic recovery in the EU and in Spain. This will never be something
mechanical, but rather the result of a major effort to correct the serious imbalances that our
economy built up in the period to 2008. The risks of this expectation not being fulfilled are not
only and strictly in the economic sphere: legal security and political stability will be pivotal to
the engine of recovery.
***
The speech held in Madrid, at the 6th Santander International Banking Conference. The
governor discussed about the key issues on today's banking industry. He stated that while
sharing the main objective of bail-in, many of the Eurosystem Central Banks, including Banco
de España, have shown concerns on the early application of bail-in tools for senior creditors,
due to its potential destabilizing effects. We would advice against too short a sequencing.
http://www.bis.org/review/r131106c.htm
***
The speech held in Barcelona, at the Círculo de Economía. The governor discussed about the
exit from the crisis and the firming of the recovery in the euro area and in Spain. He stated
that the firming of the recovery and the absorption of the burdensome legacy of the crisis will
require perseverance in the strategy adopted to complete and strengthen the design of
Economic and Monetary Union and to lay sound foundations for sustained growth in all
member countries. In the arena of national policies, there is a risk that a degree of reform
fatigue may emerge as the situation improves. On the contrary, the favourable effects now
becoming apparent from the fiscal consolidation and structural reform measures should
encourage us to maintain these policies.
http://www.bis.org/review/r131114b.htm
Øystein Olsen, Governor of Norges Bank (Central Bank of
Norway)
The speech held in Oslo, at the meeting of the Norwegian Savings Banks Association. The
governor discussed about the macroprudential policy and financial stability. He stated that
new and improved regulation of banks will help to reduce the likelihood of deep financial
crises. One important contribution will be to ensure that those who take financial risks on
behalf of others hold more capital. However, regulation must not be seen as a panacea for
future financial crises. Good banking is essential for a sound and stable economy. Resilient
banks are the first line of defence against shocks to the financial system.
28
Dimitar Bogov, Governor of the National Bank of the
Republic of Macedonia
The Interview in Utrinski Vesnik, conducted by Ms Nina Nineska-Fidanoska. The governor
discussed about that we will need foreign loans also in the coming years. He stated that in
2015 the amount that will fall due in the public sector is around Euro 380 million. The rest is in
the private sector. We have in mind those payments maturing in the next period. We have
the potential, in both the foreign reserves and the economy, and certainly we expect that
there will be new loans from abroad, which will repay part of the liabilities that will mature.
http://www.bis.org/review/r131025e.pdf?frames=0
***
The interview in Radio Free Europe, conducted by Mr Aleksandar Pesev. The governor
discussed about the savings deposits soar also during crisis. He stated that the Euro area and
the European Union are the largest trading partners of the Republic of Macedonia, the
largest portion of our export is placed there, and as a result, the demand in the Euro area has
large influence on the production in Macedonia. The growth in the Euro area and the
European Union is still very fragile, meaning, there are still risks, but we are optimistic, the
indicators that emerge in the Euro area economy every day are mainly positive, so it is
expected that it will reflect adequately on the Macedonian economy growth, as well.
http://www.bis.org/review/r131113c.htm
Mugur Isărescu, Governor of the National Bank of
Romania
The speech held in Bucharest, at the 3rd Danube Financing Dialogue. The governor discussed
about the financing investment projects in the Danube region. He stated that this conference
has two main objectives. One is to bring together Romanian financial sector representatives
and project initiators; the other one is to find appropriate financial instruments to better
highlight the remarkable business potential of the lower Danube basin.
http://www.bis.org/review/r131108i.pdf?frames=0
Carlos da Silva Costa, Governor of the Bank of Portugal
The speech held in London, to OMFIF (Golden Series Lecture). The governor discussed about
the progress on financial stability in Portugal. He stressed that the Portuguese banking system
is currently more capitalized, more transparent and in a more favourable liquidity position.
They benefit from improved supervision and a stronger regulatory framework. He was sure
that they are now in a much better position to handle financial strains then they were at the
outset of the current financial crisis.
29
Stefan Ingves, Governor of the Sveriges Riksbank and
Chairman of the Basel Committee on Banking Supervision
The speech held in Abu Dhabi, United Arab Emirates, at the Ninth High Level Meeting for the
Middle East & North Africa Region, jointly organised by the Basel Committee on Banking
Supervision, the Financial Stability Institute and the Arab Monetary Fund (AMF). The governor
discussed about strengthening bank capital – Basel III and beyond. He stated that bank
capital is seen to be of sufficient quantity, quality, consistency and reliability. The Basel III
reforms themselves deliver two of the four characteristics that were essential – higher quantity
and quality of capital.
Erkki Liikanen, Governor of the Bank of Finland and
Chairman of the Highlevel Expert Group on reforming the
structure of the EU banking sector
The speech held in London, at the EBA Policy Research Workshop "How to regulate and
resolve systemically important banks". The governor focused on the question: How to improve
financial stability and resilience of systemically important financial institutions after the crisis?
He stated that the banks serve central functions in a well-functioning economy. Their role in
providing finance to the real sector is particularly important in Europe. The regulatory reform
agenda to prevent future banking crises is very ambitious, and it is essential to take it into
completion. There are short-term adjustment costs to the banking sector, but societies must
keep the focus on the long-run benefits.
30

Përmbajtja - Banka e Shqipërisë

Transcrição

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