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Wyświetlanie pozycji 1-9 z 9
Natural Rate of Interest in a Small Open Economy with Application to CEE Countries
(2023-09)
This paper extends the Laubach-Williams (2003) framework, which is widely used to estimate the natural rate of interest, to make it more suitable for studying small open economies. The model is augmented with consumer ...
Does a bank levy increase frictions on the interbank market?
(2018-03)
The crisis has shown that a drop in liquidity, as well as the shortened
maturity of interbank transactions, has caused many problems for banks. We analyze how the introduction of a bank levy on bank assets ...
Central bank credibility, long-term yields and the effects of monetary integration
(2021-01)
Forming a monetary union implies equalization of short-term interest rates across the member states as monetary policy is delegated to a common central bank, but also leads to integration of risk-free bond markets. In this ...
Is Poland at risk of the zero lower bound?
(2016-07)
In early 2015, the policy (open market operations) rate of Narodowy Bank Polski was reduced to an all-time low of 1.5%. At the same time, prices of consumer goods and services dropped by 1.5% in year-on-year terms. This ...
Markovian and multi-curve friendly parametrisation of HJM model used in valuation adjustment of interest rate derivatives
(2018-06)
We consider feasible Heath-Jarrow-Morton framework specifications that are easily implementable in XVA engines when pricing linear and non-linear interest rate derivatives in multicurve environment. Our particular focus ...
Why may large economies suffer more at the zero lower bound?
(2016-06)
This paper compares the consequences of hitting the zero lower bound in small open and large closed economies. I costruct a two-economy New Kenynesian model and calibrate it so that one economy is small and open and the ...
On the trade-offs in money market benchmarks' stabilisation
(2018-09)
We propose a theoretical stochastic set-up for a panel of contributors to a volume weighted raw money market index, which is the main contribution of this research. 'The hypothetical problems with: changes in the panel's ...
A Theory of The Procyclical Effectiveness of Forward Guidance
(2022-12)
I study the dependence of the forward guidance effectiveness on the level of economic slack. I use the model with price rigidities and uninsured unemployment risk and apply both analytical and numerical methods to study ...
The non-linear nature of country risk and its implications for DSGE models
(2018-05)
Country risk premia can substantially affect macroeconomic dynamics. We concentrate on one of their most important determinants - a country’s net foreign asset position and - in contrast to the existing research - investigate ...