금융 | Modeling Yields at the Zero Lower Bound: Are Shadow Rates the Solution? | 한국금융연구원

[LHKOREA]

2013-12-24 일자  [제 13-99 호]

Modeling Yields at the Zero Lower Bound: Are Shadow Rates the Solution?
FRB of San Francisco (2013-12-23)

Recent U.S. Treasury yields have been constrained to some extent by the zero lower bound (ZLB) on nominal interest rates. In modeling these yields, we compare the performance of a standard affine Gaussian dynamic term structure mo ..  more

A Probability-Based Stress Test of Federal Reserve Assets and Income
FRB of San Francisco (2013-12-23)

To support the economy, the Federal Reserve amassed a large portfolio of long-term bonds. We assess the Fed’s associated interest rate risk -including potential losses to its Treasury securities holdings and declines in remittance ..  more

The pricing of sovereign risk and contagion during the European sovereign debt crisis
ECB (2013-12-23)

The paper analyses the drivers of sovereign risk for 31 advanced and emerging economies during the European sovereign debt crisis. It shows that a deterioration in countries’ fundamentals and fundamentals contagion -a sharp rise i ..  more

제 목	발행기관	발행일자
Macroprudential policies and the growth of bank credit	AEI	13-12-23
The multiplying risks of public employee pensions to state and local government budgets	AEI	13-12-23
Evolving Lockbox to a Single Platform	BAI	13-12-23
HR Technology is Not Just About HR	BAI	13-12-23
Improving Sales Culture for Branch Profitability	BAI	13-12-23
Top Five Retail Banking Trends for 2014	BAI	13-12-23
Traditional and Matter-of-fact Financial Frictions in a DSGE Model for Brazil: the role of macroprudential instruments and monetary policy	Bank of Brazil	13-12-23
Why Prudential Regulation Will Fail to Prevent Financial Crises. A Legal Approach	Bank of Brazil	13-12-23
A Distributional Approach to Realized Volatility	Bank of Canada	13-12-23
CoMargin	Bank of Canada	13-12-23
Lessons from the Financial Crisis: Bank Performance and Regulatory Reform	Bank of Canada	13-12-23
Volatility Forecasting when the Noise Variance Is Time-Varying	Bank of Canada	13-12-23
Tax Collection, The Informal Sector, and Productivity	Bank of Mexico	13-12-23
A PCA Approach to Common Risk Exposures in the Chilean Banking System	Central Bank of Chile	13-12-23
Comparison of Model for Pricing Volatility Swaps	Central Bank of Chile	13-12-23
Declining Labor Force Attachment and Downward Trends in Unemployment and Participation	FRB	13-12-23
Systemic Risk, International Regulation, and the Limits of Coordination	FRB	13-12-23
Unemployment Insurance Experience Rating and Labor Market Dynamics	FRB	13-12-23
Estimating the Output Gap in Real Time	FRB of Dallas	13-12-23
A Probability-Based Stress Test of Federal Reserve Assets and Income	FRB of San Francisco	13-12-23
Modeling Yields at the Zero Lower Bound: Are Shadow Rates the Solution?	FRB of San Francisco	13-12-23
Five Challenges for Janet Yellen at the Federal Reserve	IIE	13-12-23
Policy Options for China	Levy	13-12-23
Economic Conditions Snapshot, December 2013: McKinsey Global Survey results	McKinsey	13-12-23
China's Growth, Stability, and Use of International Reserves	NBER	13-12-24
Is Bitcoin a Real Currency?	NBER	13-12-24
Simulating the Elimination of the U.S. Corporate Income Tax	NBER	13-12-24
The Output and Welfare Effects of Fiscal Shocks over the Business Cycle	NBER	13-12-24

제 목	발행기관	발행일자
Euro Monitor 2013	Allianz	13-12-23
Global economy set to gather steam in 2014	Allianz	13-12-23
Has weak lending and activity in the United Kingdom been driven by credit supply shocks?	Bank of England	13-12-23
Likelihood inference in non-linear term structure models: the importance of the lower bound	Bank of England	13-12-23
Risk news shocks and the business cycle	Bank of England	13-12-23
Assessing the exchange rate exposure of US multinationals	Bank of Finland	13-12-23
Financial and economic downturns in OECD countries	Bank of Finland	13-12-23
Is Europe growing together or growing apart?	Bank of Finland	13-12-23
Money demand models for Russia: A sectoral approach	Bank of Finland	13-12-23
Soviet foreign trade and the money supply	Bank of Finland	13-12-23
Fiscal Sustainability and the Value of Money: Lessons from the British Paper Pound, 1797-1821	Bank of France	13-12-23
French firms exports during downturns: evidence from past crises	Bank of France	13-12-23
Bank earnings management through loan loss provisions: a double-edged sword?	Bank of Netherlands	13-12-23
Employment polarisation in Spain over the course of the 1997-2012 cycle	Bank of Spain	13-12-23
Ending uncertainty: recapitalisation under European Central Bank supervision	Bruegel	13-12-23
How Macroeconomic Imbalances Interact? Evidence from a Panel VAR Analysis	CEPII	13-12-23
The Asset Quality Review and Capital Needs: Why re-capitalise banks with public money?	CEPS	13-12-23
The Bank Resolution Compromise: Incomplete, but workable?	CEPS	13-12-23
The SRM and the dream to resolve banks without public money	CEPS	13-12-23
What Drives the Business Cycle in a Small Open Economy? Evidence from an estimated DSGE Model of the Danish Economy	Danmarks Nationalbank	13-12-23
Central & Eastern Europe Credit Monitor: 2014 a better year for GDP, less so for credit	DB Research	13-12-23
The third Merkel government: a lot of senior personnel and experience but flawed policy platform	DB Research	13-12-23
Dealing with a liquidity trap when government debt matters: optimal time-consistent monetary and fiscal policy	ECB	13-12-23
Market pricing of credit rating signals	ECB	13-12-23
Observation driven mixed-measurement dynamic factor models with an application to credit risk	ECB	13-12-23
The pricing of sovereign risk and contagion during the European sovereign debt crisis	ECB	13-12-23
Trade, productivity improvements and welfare: an endogenous market structure framework	ECB	13-12-23
EU governance and EU funds - testing the effectiveness of EU funds in a sound macroeconomic framework	EUROPA	13-12-23
The distribution of debt across euro area countries : The role of individual characteristics, institutions and credit conditions	National Bank of Belgium	13-12-23
Why firms avoid cutting wages : Survey evidence from European firms	National Bank of Belgium	13-12-23
Debt Dynamics and Monetary Policy: A Note	Sveriges Riksbank	13-12-23

제 목	발행기관	발행일자
Recent Increase in Foreign Visitors and Impact on Japan's Economy	Bank of Japan	13-12-23
New Measures of FTA Liberalization Level	JETRO	13-12-24
Some Practical Guidance for the Computation of Free Trade Agreement Utilization Rates	JETRO	13-12-24
Trends in the Funding and Lending Behaviour of Australian Banks	Reserve Bank of Australia	13-12-23
Non Deliverable Forward and Onshore Indian Rupee Market: A Study on Inter-linkages	Reserve Bank of India	13-12-23

제 목	발행기관	발행일자
Cyclical macroeconomic policy, financial regulation and economic growth	BIS	13-12-23
Global spillovers and domestic monetary policy	BIS	13-12-23
International monetary policy coordination: past, present and future	BIS	13-12-23
A Financial Conditions Index for Poland	IMF	13-12-24
Adding China to the Global Projection Model	IMF	13-12-24
External Imbalances and Financial Crises	IMF	13-12-24
Inequality, Leverage and Crises: The Case of Endogenous Default	IMF	13-12-24
Monetary Transmission in Brazil: Has the Credit Channel Changed?	IMF	13-12-24
Policy Analysis and Forecasting in the World Economy: A Panel Dynamic Stochastic General Equilibrium Approach	IMF	13-12-24
Procyclicality and the Search for Early Warning Indicators	IMF	13-12-24
Real Money Investors and Sovereign Bond Yields	IMF	13-12-24
Securitization: Lessons Learned and the Road Ahead	IMF	13-12-24
System Priors: Formulating Priors about DSGE Models' Properties	IMF	13-12-24
This Time They Are Different: Heterogeneity and Nonlinearity in the Relationship Between Debt and Growth	IMF	13-12-24
New Indicators of Competition Law and Policy in 2013 for OECD and non-OECD Countries	OECD	13-12-24
The Effect of Government Debt, External Debt and their Interaction on OECD Interest Rates	OECD	13-12-24
The State of the Banking Sector in Europe	OECD	13-12-23

제 목	발행기관	발행일자
Banks Mostly Avoid Providing Bitcoin Services	AWSJ	13-12-23
China Pushes Ahead on Deposit-Insurance Plan	AWSJ	13-12-23
China Central Bank Injects Cash Into Market	AWSJ	13-12-20
China Bitcoin Exchange Ends Third-Party Yuan Cooperation	AWSJ	13-12-19
Low Inflation Tests World's Central Banks	AWSJ	13-12-18
Fed Proposes Limits on Emergency Lending Under Dodd-Frank	Bloomberg	13-12-24
Fed's Fisher Says He Argued for $20 Billion Taper to Asset Buys	Bloomberg	13-12-24
Japan Unveils Record 2014 Budget Draft as Debt Burden Mounts	Bloomberg	13-12-23
OPEC Ministers See No 2014 Glut Amid Signs of Demand Growth	Bloomberg	13-12-23
CFTC Opens Probe Into Fees Charged by Managed Futures Funds	Bloomberg	13-12-20
Obama to Sign First Budget by Divided Congress Since 1986	Bloomberg	13-12-20
Fed Trims QE Pace to $75 Billion on Labor Market Outlook	Bloomberg	13-12-19
China cash squeeze worsens despite central bank efforts	Financial Times	13-12-24
US corporate bonds rally on Fed taper	Financial Times	13-12-24
World Bank unit toughens staff rules	Financial Times	13-12-24
Lagarde cheers 'much stronger outlook' for US in 2014	Financial Times	13-12-23
Fed taper pressures emerging markets	Financial Times	13-12-20
Europe agrees to pool control of bank wind-ups	Financial Times	13-12-19
EU ministers set to define banking union	Financial Times	13-12-18
JPMorgan sues FDIC for more than $1bn	Financial Times	13-12-18