Commercial Paper Market as a Forward-Looking Component for EURIBOR Interest Rates During the COVID-19 Pandemic

2021 ◽  
Author(s):  
Juha-Matti Tauriainen ◽  
Juha-Pekka Junttila
Keyword(s):  
Interest Rates ◽  
Commercial Paper ◽  
Forward Looking

The Development of the National Money Market, 1893-1911

1976 ◽  
Vol 36 (4) ◽  
pp. 878-897 ◽  
Author(s):  
John A. James
Keyword(s):  
Interest Rates ◽  
Capital Requirements ◽  
Late Nineteenth Century ◽  
Capital Asset Pricing ◽  
Central Importance ◽  
Asset Pricing Model ◽  
Minimum Capital ◽  
Commercial Paper ◽  
National Bank ◽  
Portfolio Selection Model

In this article the convergence of U.S. interregional interest rates in the late nineteenth century is examined and two major hypotheses are tested in the framework of a bank portfolio selection model based on the capital-asset-pricing model. Both the spread of the commercial paper market and the lowering of entry barriers through the reduction of national bank minimum capital requirements are rejected as principal explanations. The erosion of local monopoly power is shown to have been of central importance, and this development was due to the growth of state rather than national banks.

Monetary Policy and the Future of Central Banking

2021 ◽  
pp. 9-14
Author(s):  
Mitsuhiro Furusawa
Keyword(s):  
Monetary Policy ◽  
World War Ii ◽  
Interest Rates ◽  
Global Economy ◽  
Commodity Prices ◽  
Central Banking ◽  
African Countries ◽  
Advanced Economies ◽  
Policy Frameworks ◽  
Forward Looking

The chapter highlights the state of monetary policy in Africa and explores the challenges that central banks face as they address the increasingly complex forces at work in the global economy. It sequences the evolution of monetary policy from the time of World War II under the Bretton Woods system to the more recent forward-looking monetary policy in advanced economies and relates it to influencing the evolution of monetary policy frameworks in Africa. Some challenges affecting African countries are identified, including the collapse of commodity prices, persistent high interest rates spreads, and limitations of high frequency data that constrain monetary authorities’ abilities to take corrective actions in a timely manner. The chapter concludes by providing seven principles towards increasing the effectiveness of monetary policy for countries seeking to move towards forward-looking monetary policy frameworks.

Fifteen Years of Central Banking in Honduras

1967 ◽  
Vol 9 (4) ◽  
pp. 488-506 ◽  
Author(s):  
Richard A. LaBarge ◽  
Frank Falero
Keyword(s):  
World War Ii ◽  
Central Bank ◽  
Interest Rates ◽  
Central Banking ◽  
Primary Sources ◽  
World War ◽  
Monetary Policies ◽  
The Public ◽  
History Of ◽  
Commercial Paper

The purpose of this paper is to draw together from primary sources the case history of formative policy years for the Central Bank of Honduras. This bank, like others formed throughout the underdeveloped world in the post-World War II era, was created in 1950 as a vehicle for stimulating economic growth. In retrospect over 186 months of operations this particular Central Bank has an unusually outstanding policy record—a record which argues forcefully for appropriate monetary policy as a stimulant to economic advance.The first meeting of Central Bank directors was held on May 31, 1950, for the purpose of establishing the major monetary policies under which the Bank would commence operations July 1. At that meeting the directors established a schedule of maximum interest rates to be charged by the public commercial banks and a schedule of rates at which eligible commercial paper of 12 months maturity or less could be rediscounted with the Central Bank.

Price Level Stability: Some Issues

2000 ◽  
Vol 174 ◽  
pp. 68-79 ◽  
Author(s):  
Vitor Gaspar ◽  
Frank Smets
Keyword(s):  
Lower Bound ◽  
Interest Rates ◽  
Optimal Policy ◽  
Economic Activity ◽  
Price Level ◽  
Conventional Wisdom ◽  
Nominal Interest Rates ◽  
Limited Degree ◽  
Forward Looking

This article challenges the conventional wisdom that price level targeting necessarily increases the volatility of inflation and economic activity. It shows that the optimal policy under commitment for a society that cares only about the variability of output and inflation involves only a limited degree of base drift. The result crucially depends on the importance of forward-looking behaviour and on the credibility of the commitments. The case for price level targeting is strengthened when the possibility of a binding lower bound on nominal interest rates is considered. This may be increasingly relevant in a low inflation environment. This justifies renewed interest on price level targets in the context of thinking through how to prevent and respond to deflationary risks.

scholarly journals Testing cointegration in quantile regressions with an application to the term structure of interest rates

2015 ◽  
Vol 0 (0) ◽  
Author(s):  
Nina Kuriyama
Keyword(s):  
Interest Rates ◽  
Term Structure ◽  
Null Hypothesis ◽  
Serial Correlation ◽  
Partial Sums ◽  
Quantile Regressions ◽  
Cusum Test ◽  
Test Statistic ◽  
Expectations Hypothesis ◽  
Commercial Paper

AbstractThis paper proposes a cumulated sum (CUSUM) test for the null hypothesis of quantile cointegration. A fully modified quantile estimator is adopted for serial correlation and endogeneity corrections. The CUSUM statistic is composed of the partial sums of the residuals from the fully modified quantile regression. Under the null, the test statistic converges to a functional of Brownian motions. In the application to US interest rates of different maturities, evidence in favor of the expectations hypothesis for the term structure is found in the central part of the distributions of the Treasury bill rate and financial commercial paper rate, but in the tails of the constant maturity rate distribution.

scholarly journals Monetary policy and news shocks: are Taylor rules forward-looking?

2016 ◽  
Vol 16 (2) ◽  
Author(s):  
Gabriela Best ◽  
Pavel Kapinos
Keyword(s):  
Monetary Policy ◽  
Interest Rates ◽  
Taylor Rule ◽  
New Keynesian ◽  
Monetary Shocks ◽  
Taylor Rules ◽  
Macroeconomic Conditions ◽  
Econometric Methods ◽  
Keynesian Model ◽  
Forward Looking

AbstractThis paper extends a standard New Keynesian model by introducing anticipated shocks to inflation, output, and interest rates, and by incorporating forward-looking, forecast-targeting Taylor rules. The latter aspect is parsimoniously modeled through the presence of an expected future interest rate term in the Taylor rule that recent literature has found to be economically and statistically important in a variety of settings without anticipated shocks. Using Bayesian econometric methods, we find that the presence of anticipated shocks improves the model’s fit to the US data but substantially decreases the weight on future macroeconomic variables in the forward-looking Taylor rule. Our results suggest that, although communicating its intentions regarding future monetary policy conduct, as modeled by anticipated monetary shocks, plays an important role for the Fed, responding to its expectations of future macroeconomic conditions does not. Furthermore, we conduct extensive robustness checks with respect to modeling the forward-looking specification of the Taylor rule that confirm our baseline results.

The Exchange Rate, Interest Rates and the Current Balance ln a Forward-Looking Model

1988 ◽  
Vol 125 ◽  
pp. 40-45 ◽  
Author(s):  
Andrew Gurney
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Interest Rates ◽  
Balance Of Payments ◽  
Capital Inflows ◽  
The Other ◽  
Other Hand ◽  
The Exchange Rate ◽  
Temporary Rise ◽  
Forward Looking

In March this year, after a year in which policy appeared to be aimed at achieving stability against EMS currencies, the pound was allowed to rise sharply in response to large capital inflows. As with many fluctuations in exchange rates, this development was puzzling in that the prospects for the balance of payments suggested that the rise in sterling would not prove sustainable. On the other hand, high UK interest rates, particularly in relation to those available in EMS countries, provided some rationale for a temporary rise. This note uses a simple forward-looking equation for the exchange rate to illustrate the implications of alternative paths for interest rates and the balance of payments. A number of simulations are presented to illustrate the key elements of this approach.

The Fall of Banco Espírito Santo: Holy Spirit or Devil in Disguise?

2016 ◽  
pp. 1-18
Author(s):  
James B. Shein ◽  
Jason P. Hawbecker
Keyword(s):  
Interest Rates ◽  
Holy Spirit ◽  
Capital Investment ◽  
Third Parties ◽  
Publicly Traded ◽  
Espírito Santo ◽  
Publicly Traded Companies ◽  
House Of Cards ◽  
Commercial Paper ◽  
Espirito Santo

In 2014, after nearly 150 years as one of Portugal's most wealthy and powerful families, the Espirito Santo family completely lost control of its empire, which included Banco Espirito Santo, Portugal's largest bank by market capitalization and second-largest private-sector bank in terms of assets, along with stakes in numerous financial, non-financial, privately held, and publicly traded companies. During the European financial crisis of 2010 to 2014, many of the family's companies required capital investment. To avoid family equity dilution, the family's patriarch, Ricardo Espirito Santo Silva Salgado, engaged in a creative money-go-round structure whereby Banco Espirito Santo would legally raise short-term commercial paper with high interest rates and sell them to third parties that were partially owned by the Espirito Santo family. These third parties then would sell that paper back to the bank's retail clients as safe investments similar to Portuguese deposits. The plan failed, and the house of cards that was the Espirito Santo empire collapsed. Students will consider whether Salgado and the board of Banco Espirito Santo acted appropriately or if they failed their fiduciary duties to the non-family shareholders of the bank.

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