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Articles 1 - 4 of 4
Full-Text Articles in Macroeconomics
Financial Market Risk And Macroeconomic Stability Variables: Dynamic Interactions And Feedback Effects, Agnieszka M. Chomicz-Grabowska
Financial Market Risk And Macroeconomic Stability Variables: Dynamic Interactions And Feedback Effects, Agnieszka M. Chomicz-Grabowska
Doctoral Dissertations (DBA)
This study investigates dynamic interactions and feedback effects between financial market risk proxied by VIX and key macroeconomic stability variables that include the rate of unemployment, headline inflation and market-based inflation expectations reflected by the breakeven inflation. I argue that market risk should play a stronger role in macroeconomic modeling and forecasting than it has been recognized thus far in the literature. I employ vector autoregression with impulse response functions, as well as two-state Markov switching tests to examine these interactions on the longest available US monthly data. The empirical tests show that the association between market risk and macroeconomic …
The Effect Of Excess Reserves On U.S Real Gross Domestic Product, Prince J. Adjei
The Effect Of Excess Reserves On U.S Real Gross Domestic Product, Prince J. Adjei
Doctoral Dissertations (DBA)
The recent financial crisis has triggered questions regarding the role of the Federal Reserve Bank and the effectiveness of its intervention in the financial markets, post the crisis. This paper investigates the impact of huge spikes in excess reserves on the U.S. real gross domestic product. U.S. Federal Reserve in an effort to deal with the 2008 financial crisis instituted a series of programs aimed at taming the impact of the crisis. Through its emergency lending activities and Quantitative Easing (QE) programs, the Federal Reserve created a huge spike in excess reserves to levels not seen before. The empirical findings …
Resolution Of Bad Loan Problem: Bank-Level Evidence From A Low-Income Country, Abu S. Amin, Lucy Chernykh, Mahmood Osman Imam
Resolution Of Bad Loan Problem: Bank-Level Evidence From A Low-Income Country, Abu S. Amin, Lucy Chernykh, Mahmood Osman Imam
WCBT Faculty Publications
How do banks resolve a severe bad loan problem in a capital-constrained, low income country when a government bailout is not an option? We address this question by examining new evidence of a sharp decline in bad loan ratios in a panel of domestic banks in Bangladesh. On the aggregate level, the share of nonperforming loans in this market has dropped six fold, from above 41% in 1999 to below 7% in 2010. Notably, this dramatic improvement did not involve the creation of any centralized asset management facilities but relied on the bank management and governance reforms. We find that …
Monetary Convergence And Risk Premiums In The Eu Accession Countries, Lucjan Orlowski
Monetary Convergence And Risk Premiums In The Eu Accession Countries, Lucjan Orlowski
WCBT Faculty Publications
This study examines the impact of various monetary policy regimes on the ability to lower inflation and exchange rate risk premiums in the EU accession countries as they undergo monetary convergence to the eurozone. It proposes a monetary policy framework of flexible targeting of relative inflation risk premium that is believed to be credible and useful for managing these two categories of risk. A model of inflation and exchange rate risk premiums within the context of inflation targeting is developed. Recent trends in these risk premiums in Hungary, the Czech Republic and Poland are tested by employing the threshold ARCH …